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Investor Sentiment, Liquidity And Asset Returns

Posted on:2009-07-31Degree:DoctorType:Dissertation
Country:ChinaCandidate:L Z LiangFull Text:PDF
GTID:1119360272988887Subject:Accounting
Abstract/Summary:PDF Full Text Request
Investor sentiment plays a significant role in the processes of security investment, and it is one of the two important foundations of the behavioral finance theory. This thesis constructs a brief theoretical model with the investor sentiment, by which the sentiment is connected with the market liquidity. Based on the theoretical model, this paper sets up investor sentiment measures, and examines whether the sentiment measures can affect the behavior of asset pricing significantly in the empirical test and studies the investor sentiment from different aspects including investor sentiment, the predictability of investor sentiment for the future return. In the end, this paper takes the investor sentiment measures as the benchmarks to shape an investment strategy and analyzes whether this strategy can get excessive return in Chinese stock Market.This paper focuses on the following questions: how to construct the investor sentiment measures on the firm level? Does the investor sentiment affect the asset pricing? Do the market factors, fundamental factors or the technical factors affect the investor sentiment? Furthermore, does the first three moments of investor sentiment (including the lag sentiment) can forecast the return or sentiment? Last one, whether the sentiment can offer more information for the momentum portfolio?In this paper, there are several main contributions:(1) To improve the theoretical model of investor sentiment and to construct the measures of investor sentiment from the aspect of firms. Based on improved theoretical model, the empirical results which use the high-frequency data in this paper show that the investor sentiment and the measures are closely correlative to the indicators of the investment sentiment moreover, this empirical study finds that the measures of investor sentiment affect the asset price significantly and the investor sentiment has a positive correlation with the market liquidity.(2) To examine the market factors, fundamental factors, technical factors and to analyze the data between 2000 and 2006, this paper finds that the individual stock sentiment is not significantly affected by the market, but the market does affect the sentiment only in a short period; and finds that the stock price, P/E, one period lag momentum and three to two period lag momentum have a distinctive influence on the investor sentiment. It is very significant meaning that the result could make investors to understand the market running, the real investment and the intrinsic mechanism of the capital market.(3) To apply the time series regression with the data between 2000 and 2006, this paper finds that the measurement of investor sentiment has a significant influence on the future return, investor sentiment and it's the 2nd moment information and also on its future research on the investor sentiment. There is an interactive relationship among market return, individual stock return and the measurement of the investor sentiment.
Keywords/Search Tags:Investor sentiment, Liquidity, Asset return
PDF Full Text Request
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