| The current stock market in China has excessive volatility,the stock price deviates from the economic value of the market itself,and it shows a deviation from the trend of macro economy in 2014-2016.The "stock market disaster" of 2015-2016 has brought losses to China’s stock market and even the entire financial market,and the large outflow of short-term capital has resulted in the failure of many monetary policies.The reasons for these phenomena are worthy of further discussion,especially the influence of investor sentiment on stock pricing in different situations in the stock market.Therefore,this article from the traditional capital pricing theory,behavioral finance theory,the theory basis of construct the measure of investor sentiment index to measure the mood of the investors in the market.Then this paper constructs the investor sentiment asset pricing model based on the f-f three factor model(1993)and f-f five factor model(2015).Based on the analysis of the actual situation of China’s stock market,this paper analyzes the influence of investor sentiment on stock pricing.This paper discusses the quantification of investor sentiment and the construction and improvement of the asset pricing model.This paper empirically tests the impact of investor sentiment on stock pricing in the Shanghai a-share market and the six market segments,and the fitting effect of investor sentiment on the asset pricing model.This paper has theoretical value and practical significance.In this paper,the main research contents include the following aspects:at first,this paper combed the stock market of our country,the combination of domestic and foreign scholars on investor sentiment and asset pricing research,put forward on investor sentiment and asset pricing theory direct link.The second part,the paper discusses the traditional capital asset pricing theory and behavioral finance theory,through the theoretical analysis of investor sentiment can be incorporated into asset pricing model,combined with the previous researchers to the study of investor sentiment,gives the definition of investor sentiment,and explains the influence factors of investor sentiment and the measurement method.In the fourth part,this paper constructs an investor sentiment asset pricing model based on the f-f three factor and five factor model,and explains the change of the hypothesis condition and the structure of the model.Combining the situation of our stock market,analyzes the process of the occurrence of a crash in 2015-2016 and the effect of using MATLAB to build the investor sentiment of asset pricing model for different years empirical analysis and results comparison analysis of different industries.In this paper,the following results are obtained through theoretical and empirical analysis:1.The fitting effect is better in the five-factor model of China’s market.2.Through piecewise regression analysis,it was found that investor sentiment had a more significant impact on stock pricing in 2015-2016.3.The expected effect of the index of the previous partial data is more significant than that of the CICSI index on stock pricing.4.In 2015-2016,investor sentiment has more influence on growth and cyclical industry enterprises,and investor sentiment has a more significant impact on the defensive industry between 2007 and 2014. |
