| This paper has studied the influence of investor sentiment on stock returns.This paper selects new investment amount,active market indicators,the amount of IPO,the returns in the first of IPO and consumer confidence index to construct investor sentiment index via principal component analysis with the deletion of IAV,CPI,PPI and MECI.Then,this paper introduces the investor sentiment index,as emotion factor,into the Carhart Four-Factor Asset Pricing Model,using which to analyze the effect of investor sentiment on stock returns.We find that investor sentiment has significant negative effect on stock return with stronger effect in the bull market with negative effect than in the bear market with positive effect.This paper further studies the investor sentiments’performance in difference in overall effect,clocking effect and cross section effect on the main board market and gem market and provides two aspects from characteristics of listed companies and investors in the market to explain internal mechanism for above conclusion.Conclusively,this paper puts forward the suggestions from the aspects of financial theory research,financial policy decision-marking and investor behavior. |
