Dynamic sentiment asset pricing model |
| |
| Affiliation: | 1. School of Economics and Commerce, South China University of Technology, Guangzhou, China;2. School of Economics, Shenzhen Polytechnic, Shenzhen, China;1. Bielefeld University, Germany;2. International Labor Organization, Switzerland;3. Goldsmiths, University of London and University of Warwick, UK;4. University of Bamberg, Germany and Centre for Applied Macroeconomic Analysis (CAMA), Australia;5. Queen Mary University of London, UK;1. Central Bank of the Republic of Turkey, Haci Bayram Mah. Istiklal Cad. No:10 06050, Ankara, Turkey;2. Department of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026-1102, USA;3. Department of Economics, University of Pretoria, Pretoria, 0002, South Africa;4. Department of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O.B. 700822, Hamburg 22008, Germany;1. Leicester Castle Business School, De Montfort University, UK;2. Kent Business School, University of Kent, UK;3. School of Management, University of Bradford, Bradford, UK;4. Leeds University Business School, Leeds, UK |
| |
| Abstract: | Conventional wisdom suggests that the equilibrium stock price is not affected by investor sentiment, and the equilibrium price at an early time is higher than the one at a later time. In contrast to this wisdom, we present a dynamic asset pricing model with investor sentiment and we find that investor sentiment has a significant impact on the equilibrium stock price. The equilibrium stock price, which is affected by pessimistic sentiment at time 0, may be lower than the one at time 1. Moreover, consistent with the reality stock market, our model shows that time varying sentiments can lead to various price changes. Finally, the model could offer a partial explanation for the financial anomaly of high volatility. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
