کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5102198 1479772 2017 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Investor sentiment, heterogeneous agents and asset pricing model
ترجمه فارسی عنوان
احساس سرمایه گذار، عوامل ناهمگن و مدل قیمت دارایی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper presents a sentiment asset pricing model with heterogeneous agents. In the model, the sentiment equilibrium prices have a number proportion-weighted average structure among heterogeneous investors, and idiosyncratic sentiments can have a significant impact on the equilibrium price at the aggregate level because the demand function is nonlinear in the sentiment. Moreover, we also find that even if the individual sentiment affects the demand in a linear way, the sentiment may still has a significant effect on the equilibrium price in the aggregate due to the fluctuation of the number distribution of investors. The model could offer a partial explanation to the financial anomaly of overreaction.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 42, November 2017, Pages 504-512
نویسندگان
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