| Traditional financial theory discovers the characteristics of high risk and high return in capital markets,so many scholars analyze the risk of securities yield based on it to achieve the purpose of asset pricing.With the birth of Markowitz's theory of mean variance,and now Fama-French's factor theory,these advances have advanced the innovation of asset pricing theory.However,the study of traditional financial theory is premised on the stock market's yield obeying the normal distribution,but after later scholars' research on the stock market,it was found that there is a "thick tail" phenomenon in the stock market.As early as 1988,Rietz explained the problem and said that this thick tail phenomenon could not be ignored,and he later observed that such tail events could effectively explain the "risk premium mystery" in finance.Then the scholar Barro analyzed the macro data of the United States for nearly 100 years and found that once a small probability event occurs in the outside world,the stock market yield will change strongly with it.Because of this nature of the stock market,people measure the impact of this extreme event of the outside world through the yield of the market's small probability range,which was later called tail risk.Since then,academic research on tail risk,both internally and externally,has become more and more concentrated,and they have all come to a similar conclusion,that is,the higher the expected return on stocks when the tail risk is greater.While the literature has similar conclusions,there is no explanation as to why tail risk can be priced in capital markets.In his 2017 thesis,Zhang Yi et al.analyzed the problems of investor sentiment and expected return on stocks,and gave the research direction of this thesis an idea.They theoretically believe that the impact of investor sentiment on tail risk is significant,because the tail risk proxy variable of the stock market itself is an extreme yield,containing information on the stock yield,while investor sentiment will cause market volatility,which shows that the two have a strong correlation.Therefore,this article will boldly guess that investor sentiment can explain the problem of tail risk premium,and explain the problem of tail risk and the expected return of stocks based on the perspective of investor sentiment.On the issue of investor sentiment,we found that most of the research at home and abroad is at the market level,and the indicators constructed are also market investor sentiment,and there are fewer problems in studying investor sentiment at the individual stock level.Therefore,this article will construct individual stock investor sentiment and comprehensively study the problem of investor sentiment and tail risk premium from the micro perspective of individual stocks to the market level.In order to better explore the problem of investor sentiment and tail risk premium,this thesis first looks for the proxy variable of individual stock tail risk,refers to Kelly and Jiang's method to construct market tail risk,and then obtains the factor load coefficient through the rolling regression results of individual stock yield and market tail risk,and uses this coefficient as a proxy variable reflecting the tail risk of individual stocks.After that,the mainstream risk factors in asset pricing are introduced in this thesis,and the rationality of the proxy variables is initially verified by the variable ranking method and the Pearson correlation test,and then we refer to the Fama-French method to analyze the proxy variables to verify their independent pricing ability,and further verify the empirical effect of the tail risk of the individual stocks constructed by the Fama-Macbeth cross-section regression method.Subsequently,after finding the indicators to construct the sentiment of individual stock investors,this thesis analyzes the main components through the construction indicators of individual stock investor sentiment,and thus constructs the individual stock investor sentiment,divides the individual stock investor sentiment into five groups according to the results,and returns to each group accordingly,and preliminarily analyzes the impact on the risk premium of individual stock tails under the asset portfolio of different individual stock investor sentiment.At the same time,in order to further study the effect of individual stock investor sentiment on the ability of individual stock tail risk premium,this thesis refers to Jeffrey's method to decompose tail risk,decomposes the individual stock tail risk and the rest of the stock that is explained by individual stock investor sentiment,and once again performs Fama-Macbeth cross-sectional regression on the expected return of stocks according to these two sets of data,so as to verify that the individual stock tail risk premium is related to individual stock investor sentiment.Finally,from the perspective of the market level,this thesis explores this problem again,decomposes the market tail risk according to the market investor sentiment,and returns the market tail risk containing market sentiment to the individual stock yield on a rolling basis,and the obtained factor load coefficient is used as the tail risk of the individual stock with market sentiment in this thesis.The ability of market investor sentiment to influence tail risk premiums is validated by Fama-French method variable ordering and Fama-Macbeth cross-section regression.At the same time,in order to further analyze whether market investor sentiment can affect the prediction ability of market tail risk,this thesis will also decompose the market tail risk before and after the time series regression,compare the empirical results of the two,and verify our conclusions.Through the above series of empirical analysis,this thesis draws the following conclusions:(1)The risk load factor obtained by the rolling regression of individual stock returns and market tail risk is reasonable as a proxy variable for individual stock tail risk,and has independent pricing power.(2)Tail risk,as a proxy variable of small probability left tail risk,has a stable positive predictive effect on the stock market.Whether using the Fama-Macbeth cross-sectional test at the individual stock level or passing the time series regression test at the market level,this thesis draws a consistent conclusion.At the same time,after increasing the risk control variables of the mainstream market in this thesis,although the parameters of tail risk are decreasing,the significance and its correlation have no impact.(3)This thesis verifies the proxy variables of the investor sentiment of the individual stocks,and fully proves the rationality of the data,and these variables play an important role in the decomposition of both the tail risk of individual stocks and the tail risk of the market.(4)This article proves that investor sentiment affects the problem of tail risk premium.This impact is valid,both at the individual stock level and at the market level.According to the empirical results,it is found that the tail risk premium ability of the part explained by the sentiment of individual stocks is significantly higher than that of the part that is not explained,and at the same time,the prediction ability of the part of the tail risk explained by the market investor sentiment is significantly higher than that of the rest,which fully shows that the investor sentiment has an important impact on the problem of tail risk and the expected yield of the stock. |
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