Sentiment asset pricing model with consumption

Chunpeng Yang and Rengui Zhang

Economic Modelling, 2013, vol. 30, issue C, 462-467

Abstract: We present an asset pricing model by incorporating investor sentiment. The sentiment equilibrium price could be decomposed to the rational term and the sentiment term, and the investor sentiment has a systematic and significant impact on the risky asset price. In the model, the sentiment term has a wealth-weighted average structure and the investor's wealth proportion could amplify the sentiment shock on the asset price. The model could offer a partial explanation of some financial anomalies in the stock market: the phenomenon of savings transfer to the stock market, pricing bubble and high volatility.

Keywords: Investor sentiment; Asset pricing model; Financial anomalies; Sentiment force (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:30:y:2013:i:c:p:462-467

DOI: 10.1016/j.econmod.2012.11.004

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