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首页> 外文期刊>The North American journal of economics and finance >Chasing investor sentiment in stock market
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Chasing investor sentiment in stock market

机译：在股市追逐投资者情绪

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摘要

In this paper, we present a sentiment asset pricing model with the Chasers, who believe investor sentiment has significant impact on asset pricing and tend to chase investor sentiment, optimally inferring investor sentiment from asset price. We find that the impact of investor sentiment on asset price depends not only on the number of the Sentiment investors but also on the number of the Chasers; and the Chasers can amplify the impact of investor sentiment on asset price. If investor sentiment is optimistic, the Chasers would increase stock price; and if investor sentiment is pessimistic, the Chasers would decrease stock price. Moreover, we demonstrate that the Chasers can also increase stock price volatility. The model could offer a partial explanation to the phenomenon of overvaluation, undervaluation and excess volatility.
机译：在本文中，我们与Chasers提出了一种情绪资产定价模型，该模型认为投资者情绪对资产定价具有重大影响，并且倾向于追逐投资者情绪，从而可以从资产价格中最佳地推断出投资者情绪。我们发现，投资者情绪对资产价格的影响不仅取决于情绪投资者的数量，还取决于追逐者的数量。追逐者可以扩大投资者情绪对资产价格的影响。如果投资者情绪乐观，追赶者将提高股票价格；反之亦然。如果投资者情绪悲观，追赶者将降低股票价格。此外，我们证明了追赶者还可以增加股票价格的波动性。该模型可以部分解释高估，低估和过度波动的现象。

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