KMS Of Academy of mathematics and systems sciences, CAS
anewinvestorsentimentindicatorbasedonreturndecomposition | |
Liu Yuan1; Shang Yan2; Shi Jianming3; 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. |
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