Investor Sentiment And Asset Pricing

Investor sentiment,also known as the investor's irrational sentiment,refers to an investor's optimistic or pessimistic attitude toward the non-objective estimates of the future returns of risky assets.Traditional financial theory does not include the issue of investor sentiment and it only assumes that investors are rational and homogeneous.If there is a group of investors irrational sentiment,which will have a systemic impact on the asset pricing.Through the hypothesis of the influence of investor sentiment on the asset pricing,and try to find a proxy variable associated with investor sentiment to test the influence of investor sentiment on the asset pricing,which can further reveal the law of asset price changing and understand the inner logic of market anomalies.The full text is discussed and studied from three aspects:In the first part,based on asymmetric information theory,the paper studies whether sell-side analysts overall are irrational in the Chinese stock market and how they influence the asset pricing.After that,this paper studies the impact of the sell-side analyst rating report on the stock price after the extreme changes.In this paper,based on the market microstructure theory model,a information asymmetry index is constructed,and the results show that the analysts in the Chinese stock market overall can not reduce the degree of information asymmetry.We further put forward the theoretical assumptions,and explore the impact of the sell-side analyst rating report on the stock price after the extreme changes and its reason.In this paper,we find that sell-side analysts overall are irrational in the Chinese stock market,which has a significant impact on the stock price.In the second part,we study the impact of network sentiment on asset liquidity,and then study the impact of network sentiment on portfolio construction and asset pricing.With the development of Web2.0 technology and information network technology,the Internet has gradually become the main channel for the investors to obtain information.When retail investors access to information,they can also become a source of information,post information on the Internet,such as post bar,micro-blog and other forms.As a result,it not only enhances the speed of information access of retail investors,but also increases the exchange and interaction between investors.This kind of communication and interaction is a direct expression of investor sentiment.Through the text emotion analysis,we can get the network sentiment.Network sentiment can be more truly reflect investor sentiment.In this paper,it is found that network sentiment has an important influence on asset liquidity and pricing.In the third part,based on the East fortune forum post,we build social interaction,investor sentiment indicators to verify the relationship between investor interaction intensity,the contagion of market sentiment and stock bubbles.In recent years,in order to explain the financial bubbles and other anomalies,scholars have put forward the hypothesis of heterogeneous beliefs between investors,assuming that there are two types of investors in the market: irrational noise traders(trend investors)and rational arbitrage traders.Some researches even divide investors into more types,which make up for the shortcomings of traditional financial theory.However,these studies do not take into account that investors are not independent of each other,but communicate with each other,learn from each other and influence each other.Therefore,social interaction as a social and economic phenomenon deserves further study.In this paper,we find that under the condition of social interaction,the interaction between investors will aggravate the contagion of market sentiment and then increase the asset bubbles.