Research on the sentiment asset pricing with information
LI Jinfang1,2
1. School of Business, Luoyang Normal University, Luoyang 471934, China; 2. School of Economics and Commerce, South China University of Technology, Guangzhou 510006, China
Abstract：We present a generalized sentiment asset pricing model under asymmetric information, which shows that the investor sentiment has a systematic and significant impact on the asset price. In the model, sentiment is contrasted with information. The insiders possess valuable information and trade in such a way that the fundamental information is incorporated into prices, the sentiment investors trade on their own sentiments so that the investor sentiment is also factored into prices, and the outsiders occasionally chase sentiment as if it were information, thereby amplifying sentiment shocks and moving the asset price away from fundamental values. Moreover, the proportion of sentiment investors, the information quality and so on could amplify the sentiment shock on the asset price, thus reducing the efficiency of the market.
李进芳. 带信息的情绪资产定价研究[J]. 系统工程理论与实践, 2016, 36(5): 1156-1168.
LI Jinfang. Research on the sentiment asset pricing with information. Systems Engineering - Theory & Practice, 2016, 36(5): 1156-1168.
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2016, Vol. 36 
