A Study On Asset Pricing Based On Investor Sentiment Disagreement

Behavioral finance theory has shown that investor sentiment has a systematic impact on asset pricing by influencing investor behavior and investor decision.Most previous researches are based on homogeneous investor sentiment,but investor sentiment is heterogeneous,and investor sentiment disagreement is an important factor that affects asset pricing.However,the empirical evidence on the impact of investor sentiment disagreement on asset pricing is mixed,and few theoretical studies can provide satisfactory answers.Therefore,this paper uses the cross-sectional variance of investor sentiment to measure investor sentiment disagreement,and studies the influence of investor sentiment disagreement on asset pricing,aiming to provide a uniform explanation for the mixed empirical results.In addition,most of existing studies focus on the impact of investor sentiment disagreement on asset pricing,while few focus on the change in investor sentiment disagreement around public information disclosure and its effect on asset pricing.The empirical evidence has shown that public information disclosure may increase or decrease investor sentiment disagreement and has an impact on trading volume,and the change in investor sentiment disagreement around public information disclosure can significantly impact price reactions to public information.Based on this,this paper further uses the cross-sectional variance of investor interpretation about the mean of public information to measure heterogeneous interpretations about public information,and analyzes the trend of investor sentiment disagreement change and its influence on the market from the perspective of heterogeneous interpretations.Firstly,this paper develops asset pricing models based on investor sentiment disagreement to study the influence of investor sentiment disagreement on asset pricing,and examine the market reaction around public information disclosure from the perspective of heterogeneous interpretations.First,this paper introduce investor sentiment into the framework of Grossman-Stiglitz?1980?^[105]model.The result shows that when investor sentiment affects investor perception of fundamental value risk,both the relations between investor sentiment disagreement and asset price and trading volume are positive,and in the bull?bear?market,the impact of investor sentiment disagreement on asset price is smaller?larger?,and the impact on trading volume is larger?smaller?.Second,extending the static investor sentiment disagreement asset pricing model to the dynamic investor sentiment disagreement asset pricing model,this paper develops investor sentiment disagreement asset pricing model considering heterogeneous interpretations.The results show that if the degree of heterogeneous interpretations is relatively smaller?larger?than prior investor sentiment diagrememt,public information disclosure would decrease?increase?investor sentiment disagreement and trading volume.Furthermore,based on the assumption that investor is overconfident about public information accuracy,this paper studies the affect of heterogeneous interpretations on asset price,the result shows that when the degree of overconfidence is at appropriate levels,the affect of heterogeneous interpretations on asset price depends on the public information,if the public information is relatively good?bad?information,the relation between heterogeneous interpretations and asset price is negative?positive?.Secondly,based on the idea of high-order expectations,this paper establishes investor sentiment disagreement asset pricing models to study the influence of investor sentiment disagreement on asset pricing,and examine the market reaction around public information disclosure from the perspective of heterogeneous interpretations.First,this paper develops investor sentiment disagreement asset pricing model considering high-order expectations,and finds that the impact of investor sentiment disagreement on asset price depends on the average investor sentiment.If the average investor sentiment is relatively optimistic?pessimistic?,the relation between investor sentiment disagreement and asset price is negative?positive?.Second,based on the Kondor?2012?^[129]model framework,this paper establishes investor sentiment disagreement asset pricing model considering second-order expectation and heterogeneous interpretation.The results show that the impact of public information disclosure on trading volume depends on whether the prior investor sentiment is the same,if the prior investor sentiment is the same,trading volume decreases in public information disclosure,otherwise,trading volume increases in public information disclosure.Moreover,the influence of heterogeneous interpretations on asset price depends on the public information,if the public information is relatively good?bad?information,the asset price decreases?increase?in the degree of heterogeneous interpretations.Thirdly,based on the framework of Campbell and Viceira?1999?^[54]model,this paper develops investor sentiment disagreement asset pricing models considering consumption to study the influence of investor sentiment disagreement on asset pricing.First,this paper introduces investor sentiment into the framework of static consumer asset pricing model and finds that when investor sentiment influences risk perception of dividend growth,if the investor sentiment disagreement is large?small?,the asset price increases?decreases?in investor sentiment disagreemet.Second,in order to reflect the effect of wealth fluctuation on equilibrium,this paper builds wealth weighted investor sentiment disagreement indicator and develops a dynamic investor sentiment disagreement asset pricing model considering consumption.The model shows that the impact of investor sentiment disagreement on asset price depends on the average investor sentiment,if the average investor sentiment is relatively optimistic?pessimistic?,the asset price increases?decreases?in investor sentiment disagreement.In addition,the conclusions of the dynamic model still hold when investor sentiment is updated in a bayesian fashion.