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Liu Yuan1; Shang Yan2; Shi Jianming3; Wang Shouyang1
Source Publicationjournalofsystemsscienceandinformation
AbstractThis 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.
Document Type期刊论文
3.Graduate School of Management,Tokyo University of Science
Recommended Citation
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.
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