 The sentiment pricing dynamics with short-term and long-term learningJinfang Li The North American Journal of Economics and Finance, 2022, vol. 63, issue C Abstract: Combining the behavioral characteristics of rational uninformed investors with learning information behavior of sentiment investors, this paper establishes a mathematical model about the impact of learning information behavior on the investor's transaction and asset equilibrium price under asymmetric information. Research shows that when rational uninformed investors learn information in the short term, on the one hand, they choose to bet against sentiment investors, thus reducing the influence of sentiment; on the other hand, they occasionally mistake sentiment for information to chase sentiment investors, then amplifying sentiment shocks. Furthermore, sentiment investors can also gain valuable information indirectly by observing the price in the long term. When sentiment investors learn information in the long term, the price fluctuations caused by sentiment and information, informativeness of the price system and market efficiency are no longer dependent on the quality of information. Keywords: Sentiment investors; Learning; Behavioral asset pricing; Market efficiency (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001474 DOI: 10.1016/j.najef.2022.101812 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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