TITLE

Sentiment Capital Asset Pricing Model

AUTHOR(S)
Chunpeng Yang; Jun Xie; Wei Yan
PUB. DATE
February 2012
SOURCE
International Journal of Digital Content Technology & its Applic;Feb2012, Vol. 6 Issue 3, p254
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
This paper presents a capital asset pricing model based on investor sentiment, while derive the sentiment capital market line and sentiment securities market line. The results show that: Investor sentiment is a nonlinear systematic factor for asset pricing, and the optimistic investor will have high perceived price, the pessimistic investor will have low perceived price. The sentiment capital asset pricing model can effectively explain the trading among different sentiment investors and can illustrate the excessive trading anomaly in the stock market.
ACCESSION #
76388497

 

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