تمایلات سرمایه گذار و ارزش گذاری دارایی ها

Using the Chinese stock market data as sample, this paper investigates the impact of investor sentiment on the assets valuation. In order to classify stocks objectively, our sample stocks are sorted by double indicators (B/M and PE). In the portfolio, we find stocks with low B/M and high PE are sensitive to investor sentiment, which are considered to be costly to arbitrage. Investor sentiment has incremental power to explain stock return co-movements, which indicates that these stocks would perform higher (lower) excess returns when investors are bullish (bearish).Our findings support a role for investor sentiment in the formation of return and the change of investor sentiment should be taken as an important systemic risk in asset pricing and portfolio management.

Using the market data of Chinese stock market, we investigate the effect of investor sentiment on the cross-section of stock returns. First, we conduct a comprehensive investor sentiment index with several alternative indexes following the principal component analysis method. Then, we estimate a five-factor time series model to study the relation between investor sentiment changes and stock return co-movement. In our research, we find that investor sentiment has incremental explanatory ability for both hot stocks and value stocks, which indicates that these stocks would perform higher (lower) excess returns when investors are bullish (bearish). Investor sentiment is another important systemic risk factor in asset pricing models. Our findings are consistent with the theory of behaviour finance, and highlight to better understand the role for investor sentiment in the assets pricing theory.