| Asset pricing has always been one of the core research issues in the financial field.Under the assumption of investor rationality,traditional asset pricing models cannot explain many financial anomalies.With the rise of behavioral finance,scholars have attempted to portray investor psychology through emotions and incorporate them into the study of asset pricing models.This dissertation discusses the impact of investor sentiment on asset pricing issues in behavioral finance,drawing on existing research results at home and abroad to determine the important role of investor sentiment in asset pricing issues.Firstly,select indicator variables based on the actual situation of the Chinese market,adjust the calculation formula for relevant emotional indicator variables,and construct a comprehensive index of investor sentiment based on the principal component analysis method.Secondly,investor sentiment factors are added to the asset pricing model to establish an asset pricing model with investor sentiment.Next,assuming that the company characteristics and investor sentiment are the coefficients of market excess returns,the risk adjustment is performed on the market excess coefficients of the asset pricing model.Finally,using statistical software to empirically analyze the monthly data of Shanghai and Shenzhen A-shares using the idea of a second-order regression framework,we discuss the explanatory power of the single factor CAPM model,Fama French three-factor model,and asset pricing models with investor sentiment for financial anomalies.The results show that asset pricing models with investor sentiment can improve the explanatory power of asset pricing models and improve asset pricing models.Therefore,considering asset pricing models with investor sentiment has important guiding significance for the capital market,which is more consistent with the actual situation of the financial market and can solve the problems existing in traditional asset pricing. |
