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Idiosyncratic Risk, Stock Returns and Investor Sentiment

机译：特质风险，股票收益和投资者情绪

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摘要

A growing number of studies show that idiosyncratic risk is positively related to stock returns. However, the results of such works are not consistent with each other. Since the weighting function of prospect theory is not linear, this implies that when investors make decisions under uncertainty they use a dual-classification process. This paper thus argues that applying a more appropriate research method could help to clarify the relationship between idiosyncratic risk and stock returns. This paper applies a Panel Smooth Transition Regression model to conduct an empirical study. The results show that idiosyncratic risk is positively related to stock returns, as is investor sentiment. For a given idiosyncratic risk, retail investors with low sentiment require lower stock returns than investors with high sentiment.
机译：越来越多的研究表明，特质风险与股票收益成正相关。但是，这些工作的结果彼此不一致。由于前景理论的加权函数不是线性的，这意味着当投资者在不确定性下做出决策时，他们会使用双重分类过程。因此，本文认为，采用一种更合适的研究方法可能有助于阐明特质风险与股票收益之间的关系。本文应用面板平滑过渡回归模型进行了实证研究。结果表明，特质风险与股票收益正相关，投资者情绪也正相关。对于给定的特质风险，情绪低落的散户投资者要求的股票收益比情绪高落的散户投资者低。

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