ASSET PRICING WITH INVESTOR SENTIMENT: EVIDENCE FROM CHINESE STOCK MARKETS

YIHAN XU; CHRISTOPHER J. GREEN

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ASSET PRICING WITH INVESTOR SENTIMENT: EVIDENCE FROM CHINESE STOCK MARKETS

机译：带有投资者情感的资产定价：来自中国市场的证据

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We study the impact of investor sentiment on stock returns in China, using as a benchmark the three-factor Fama-French model, and distinguishing between normal and positive sentiment. Sentiment helps explain the mis-pricing component of returns in the Fama-French model and the time variation in the factors themselves. Factor loading patterns noted by Fama-French are evident in China, but they can be equally well modelled by sentimental factors. Fama-French factors are less significant if factors are conditioned by sentiment, suggesting that in China sentiment affects both the way investors judge risks as well as portfolio returns directly.

机译：我们以三因素Fama-French模型为基准，并区分正常情绪和正面情绪，研究了投资者情绪对中国股票收益的影响。情绪有助于解释Fama-French模型中收益的定价错误以及因素本身的时间变化。 Fama-French指出的因素加载模式在中国很明显，但可以用情感因素同样很好地建模。如果Fama-French因素受情绪影响，则该因素不那么重要，这表明在中国，情绪会影响投资者判断风险的方式以及投资组合回报。

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来源
《The Manchester school》 |2013年第1期|1-32|共32页
作者
YIHAN XU; CHRISTOPHER J. GREEN;
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International Financial Research Institute, Bank of China;

Department of Economics, Loughborough University;

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正文语种 eng
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ASSET PRICING WITH INVESTOR SENTIMENT: EVIDENCE FROM CHINESE STOCK MARKETS

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