Sentiment approach to negative expected return in the stock market |
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Institution: | 1. School of Economics and Commerce, South China University of Technology, Guangzhou, China;2. GF Securities Limited Company, Guangzhou, China;3. School of Economics, Shenzhen Polytechnic, Shenzhen, China |
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Abstract: | A large number of researches have shown that the negative return of risky asset exists and has the profound significance whether for actual investment or theory studies. This paper investigates the effect of sentiment by establishing the sentiment asset pricing model, and explores the negative expected return when the parameters change in different situations. We provide the necessary and sufficient conditions for the negative expected return. |
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