Two-period trading sentiment asset pricing model with information
We present a dynamic asset pricing model with investor sentiment and information, which shows that the investor sentiment plays a systematic and important role in the asset prices and the information is gradually incorporated into prices. The model has an analytical solution to the sentiment equilib...
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| Published in | Economic modelling Vol. 36; pp. 1 - 7 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Amsterdam
Elsevier B.V
01.01.2014
Elsevier Science Ltd |
| Subjects | |
| Online Access | Get full text |
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| Abstract | We present a dynamic asset pricing model with investor sentiment and information, which shows that the investor sentiment plays a systematic and important role in the asset prices and the information is gradually incorporated into prices. The model has an analytical solution to the sentiment equilibrium price. We find that sentiment trading quantity not only increases the market liquidity, but also causes the asset prices' overreaction if the intensity of sentiment demand is more than a constant value. Therefore, the continuing overreactions result in a short-term momentum and a long-term reversal. The model could offer a partial explanation to some financial anomalies such as price bubbles, high volatility, asset prices' overreaction and so on.
•We examine the changes of price with different sentiment.•The information is gradually incorporated into prices.•The sentiment trading quantity causes the asset prices' overreaction.•We describe a dynamic price path anchoring to the initial price. |
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| AbstractList | We present a dynamic asset pricing model with investor sentiment and information, which shows that the investor sentiment plays a systematic and important role in the asset prices and the information is gradually incorporated into prices. The model has an analytical solution to the sentiment equilibrium price. We find that sentiment trading quantity not only increases the market liquidity, but also causes the asset prices' overreaction if the intensity of sentiment demand is more than a constant value. Therefore, the continuing overreactions result in a short-term momentum and a long-term reversal. The model could offer a partial explanation to some financial anomalies such as price bubbles, high volatility, asset prices' overreaction and so on.
•We examine the changes of price with different sentiment.•The information is gradually incorporated into prices.•The sentiment trading quantity causes the asset prices' overreaction.•We describe a dynamic price path anchoring to the initial price. We present a dynamic asset pricing model with investor sentiment and information, which shows that the investor sentiment plays a systematic and important role in the asset prices and the information is gradually incorporated into prices. The model has an analytical solution to the sentiment equilibrium price. We find that sentiment trading quantity not only increases the market liquidity, but also causes the asset prices' overreaction if the intensity of sentiment demand is more than a constant value. Therefore, the continuing overreactions result in a short-term momentum and a long-term reversal. The model could offer a partial explanation to some financial anomalies such as price bubbles, high volatility, asset prices' overreaction and so on. [PUBLICATION ABSTRACT] All rights reserved, Elsevier We present a dynamic asset pricing model with investor sentiment and information, which shows that the investor sentiment plays a systematic and important role in the asset prices and the information is gradually incorporated into prices. The model has an analytical solution to the sentiment equilibrium price. We find that sentiment trading quantity not only increases the market liquidity, but also causes the asset prices' overreaction if the intensity of sentiment demand is more than a constant value. Therefore, the continuing overreactions result in a short-term momentum and a long-term reversal. The model could offer a partial explanation to some financial anomalies such as price bubbles, high volatility, asset prices' overreaction and so on. [PUBLICATION ABSTRACT] |
| Author | Yang, Chunpeng Li, Jinfang |
| Author_xml | – sequence: 1 givenname: Chunpeng surname: Yang fullname: Yang, Chunpeng organization: School of Economics and Commerce, South China University of Technology, Guangzhou 510006, China – sequence: 2 givenname: Jinfang surname: Li fullname: Li, Jinfang email: ychpgroup@hotmail.com organization: School of Economics and Commerce, South China University of Technology, Guangzhou 510006, China |
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| CitedBy_id | crossref_primary_10_1016_j_najef_2018_12_008 crossref_primary_10_1016_j_iref_2014_07_006 crossref_primary_10_1371_journal_pone_0268387 crossref_primary_10_1007_s11147_015_9118_3 crossref_primary_10_1016_j_najef_2018_11_015 crossref_primary_10_1080_00036846_2015_1008770 crossref_primary_10_1016_j_najef_2014_09_001 crossref_primary_10_1016_j_econmod_2015_07_014 crossref_primary_10_1016_j_najef_2022_101812 crossref_primary_10_1016_j_najef_2017_08_006 crossref_primary_10_1016_j_najef_2019_101111 |
| Cites_doi | 10.2307/1913210 10.1111/j.1540-6261.1986.tb04513.x 10.1016/S0378-4266(01)00202-3 10.1257/jep.21.2.129 10.1080/15427561003589680 10.1016/j.jfineco.2011.02.018 10.1016/j.jfineco.2011.11.002 10.1111/j.1540-6261.2006.01063.x 10.1016/j.jfineco.2010.10.011 10.1016/j.econmod.2012.11.004 10.2469/faj.v64.n2.8 10.1086/427633 10.1016/j.jfineco.2011.12.001 10.1016/j.jempfin.2002.12.001 10.1111/0022-1082.00184 10.1016/j.econmod.2013.03.026 10.1086/294743 10.1111/0022-1082.00077 10.1287/mnsc.1100.1167 10.1086/296523 10.1111/j.1540-6261.2006.00885.x 10.1016/j.econmod.2013.07.015 10.2307/2298057 10.1287/mnsc.1110.1386 10.1006/obhd.2000.2914 10.1016/S0304-405X(98)00027-0 10.1086/261703 |
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| Snippet | We present a dynamic asset pricing model with investor sentiment and information, which shows that the investor sentiment plays a systematic and important role... |
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| SubjectTerms | Asset pricing Dynamic asset pricing Economic equilibrium Economic theory Investment policy Investor behavior Investor sentiment Investors Liquidity Morals Overreaction Price models Prices Securities trading Stock prices Studies Volatility |
| Title | Two-period trading sentiment asset pricing model with information |
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