Research on the sentiment asset pricing with information

被引：0
|
作者：
Li J. [1 ,2 ]
机构：
[1] School of Business, Luoyang Normal University, Luoyang
[2] School of Economics and Commerce, South China University of Technology, Guangzhou
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2016年 / 36卷 / 05期
基金：
中国国家自然科学基金;
关键词：
Behavioral asset pricing; Informed trading; Investor sentiment; Market efficiency;
D O I：
10.12011/1000-6788(2016)05-1156-13
中图分类号：
学科分类号：
摘要：
We present a generalized sentiment asset pricing model under asymmetric information, which shows that the investor sentiment has a systematic and significant impact on the asset price. In the model, sentiment is contrasted with information. The insiders possess valuable information and trade in such a way that the fundamental information is incorporated into prices, the sentiment investors trade on their own sentiments so that the investor sentiment is also factored into prices, and the outsiders occasionally chase sentiment as if it were information, thereby amplifying sentiment shocks and moving the asset price away from fundamental values. Moreover, the proportion of sentiment investors, the information quality and so on could amplify the sentiment shock on the asset price, thus reducing the efficiency of the market. © 2016, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
引用
收藏
页码：1156 / 1168
页数：12
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