Sentiment approach to negative expected return in the stock market

Chunpeng Yang, Wei Yan and Rengui Zhang

Economic Modelling, 2013, vol. 35, issue C, 30-34

Abstract: A large number of researches have shown that the negative return of risky asset exists and has the profound significance whether for actual investment or theory studies. This paper investigates the effect of sentiment by establishing the sentiment asset pricing model, and explores the negative expected return when the parameters change in different situations. We provide the necessary and sufficient conditions for the negative expected return.

Keywords: Negative expected return; Investor sentiment; Asset pricing model; Behavioral finance (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 (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:35:y:2013:i:c:p:30-34

DOI: 10.1016/j.econmod.2013.06.018

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