Can Sentiment Affect Asset Pricing? Evidence from Chinese Security Market

摘要：

The controversy between EMH and BF is whether investor sentiment or noise can influence asset pricing. In this paper we have proved that sentiment is a key factor of asset pricing. Firstly, using closed-end-funds and IPOs data, we have proved that there exist the long-term negative and the short-term positive impact of sentiment on the stock market returns, and in turn vice versa.Secondly, we have brought forward and testified that sentiment can explain volatility clustering and thick tail of returns as a financial time series.

关键词： Sentiment Noise Trader Asset Pricing Behavior finance (BF)

作者: Wu Yanran

作者单位: Central University of Finance and Economics, P.R.China, 100081

会议类型: 国际会议

会议名称: 第六届管理学国际会议(Proceedings of ICM2007 the 6th International on Management)

会议地点: 武汉

会议语种:英文

页码: 643-647

在线出版日期: 2007-08-03（万方平台首次上网日期，不代表论文的发表时间）