anewinvestorsentimentindicatorbasedonreturndecomposition

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	anewinvestorsentimentindicatorbasedonreturndecomposition
	Liu Yuan1 ; Shang Yan 2; Shi Jianming 3; Wang Shouyang1
	2016
发表期刊	journalofsystemsscienceandinformation
ISSN	1478-9906
卷号	4 期号:2 页码:121
摘要	This paper extends the DSSW model to accommodate rational arbitrageurs, optimistic investors and pessimistic investors. We model the price impact by using daily data and create a new methodology to calculate the optimistic and the pessimistic. The new sentiment indicator has high correlation with the other traditional ones, and as a proxy variable of individual share or financial market on daily, it could distinguish the optimistic and the pessimistic. In the empirical research, we develop a time-series model and a cross-section model respectively to explore the explanatory power of highly frequent investor sentiment to idiosyncratic volatility and capital asset mispricing. The results show that the new sentiment indicator can explain 21.31% of idiosyncratic volatility to individual share on average, and it has a great explanation of 36% to capital asset mispricing.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/46334
专题	应用数学研究所系统科学研究所
作者单位	1.中国科学院数学与系统科学研究院 2.中国科学院大学 3.Graduate School of Management,Tokyo University of Science
推荐引用方式 GB/T 7714	Liu Yuan,Shang Yan,Shi Jianming,et al. anewinvestorsentimentindicatorbasedonreturndecomposition[J]. journalofsystemsscienceandinformation,2016,4(2):121.
APA	Liu Yuan,Shang Yan,Shi Jianming,&Wang Shouyang.(2016).anewinvestorsentimentindicatorbasedonreturndecomposition.journalofsystemsscienceandinformation,4(2),121.
MLA	Liu Yuan,et al."anewinvestorsentimentindicatorbasedonreturndecomposition".journalofsystemsscienceandinformation 4.2(2016):121.