| More and more empirical studies have found that there are many anonymous phenomena that traditional capital asset pricing theory cannot be explained in capital market,stock price usually deviates from its basic value in the real capital market,therefore it forces economists to seek a new asset pricing paradigm.Some scholars believe that psychological factors affect investors' perceptions and emotions about the future market,and ultimately affect stock prices,such as psychological activities,cognitive bias,etc.Some scholars try to relax the homogeneity hypothesis,to look for new rules of asset pricing from the perspective of heterogeneous beliefs.The existing behavioral finance theory draws lessons from the research results of psychology,behavior and sociology,has formed a series of representative behavioral asset pricing models,and tries to reveal the irrational behavior and decision-making rules in the financial market,in order to make a reasonable explanation of some financial anomalies that cannot be explained by some traditional financial theories.However,existing studies often only study the impact of investor sentiment or heterogeneous beliefs on investment decisions and stock prices,and ignore the close connection between investor sentiment and heterogeneous beliefs,do not take into account the interaction between investor sentiment and disagreement on stock returns.In the case of great divergency,when investor sentiment is high,current stock returns are likely to rise even more;driven by different emotions,different types of investors will react more differently to the market.As Chemmanur et al.(2010)points out: investor sentiment can be seen as the optimistic level of investor beliefs(mean),while disagreement is equivalent to the divergence degree of investor beliefs(variance).In this sense,investor sentiment and disagreement are two unified concepts that measure investor beliefs,and investor characteristics can be fully covered by two variables: investor sentiment and opinion divergence.Therefore,under a more complete framework,this paper examines the influence of investor sentiment and heterogeneous beliefs on stock returns from the perspective of the combination of different opinions and investor sentiment.Moreover,this paper makes an empirical test based on the Chinese A-share market,to deeply understand the investor behavior in Chinese stock market.By seeking mispriced factor,this paper researches the influence of investors' irrational behavior on stock price in depth,discusses whether investor sentiment and difference of opinion will lead to stock mispricing,and the interaction between investor sentiment and difference of opinion on stock returns,that is,whether investor sentiment affects the relationship between difference of opinion and stock returns,and whether the difference of opinion affects the relationship between investor sentiment and stock returns.Firstly,this paper discusses the influence mechanism of investor sentiment and different opinions on stock price in theory,constructs a behavioral asset pricing model with investor sentiment and disagreement,and solves the equilibrium solution of the model.It is found that the action of investor sentiment and disagreement on stock price is the same and positive.Unlike most studies,which only emphasize the subjective factors generated by emotional transactions,this paper qualitatively analyzes how investor sentiment affects stock prices and their returns under the influence of factors such as the quality of accounting information in companies,analysts and media intermediaries,as well as investorsundefined cognitive bias and risk preference,etc.It also demonstrates that there may be heterogeneous beliefs between institutional investors and institutional investors,between individual investors and individual investors,between institutional investors and individual investors in the real financial market.Moreover,the precondition that heterogeneous belief has influence on stock returns(i.e.short selling restriction)is still hold,thus,Miller(1977)hypothesis is also true.Under the joint action of investor sentiment and difference of opinion,when investors have great different opinions,it is harder to value stocks,and stock prices are more vulnerable to the impact of investor sentiment;when investors have less different opinions,there may be less trading volume in the market,and stock prices are relatively less affected by investor sentiment;driven by high sentiment,investors have cognitive biases to market information,the greater the divergence of opinion among investors,the higher the price of the corresponding resale option,which pushes up the stock price;when investors are depressed,it is good for exposing the bad news,market quotation is usually poor,and there exists short selling pressure,investors tend to behave more rationally,and differences of opinion have a relatively small impact on stock mispricing.Thus,from the theoretical analysis,it is concluded that investor sentiment and differences of opinion are all positively related to current stock returns and negatively correlated with future stock returns respectively,and they are important factors influencing asset pricing,the stock price is more overvalued under the combined action of the investor sentiment and heterogeneous beliefs.Empirical study on the Chinese A-share market was made and considered the actual situation of Chinese stock market,this paper comprehensively discusses the influence of investor sentiment and disagreement on the stock returns and their volatility from the market level and the individual stock level.The conclusions are as follows: First,based on the overall effect analysis,investors' differences of opinion have a certain ability to predict the next stock market return,there is a negative correlation between investor sentiment and future return of stock market.Based on daily and monthly data,the effect of disagreement on the mid-and long-term returns is obviously greater than that on short term returns,and the influence of different opinions on stock returns is more dependent on market sentiment in the short term,whether using the investor sentiment from guba messages or the classic BW investor sentiment index,each of them and opinion divergences have a significant cross effects on stock market future earnings.Second,at the second-order level,it is confirmed that the change of investor sentiment is the Granger cause of the change of A-share yield through the Granger causality test,but the effect of stock returns on the change of opinion is more obvious than that of the change of opinion on the stock returns.Changes in investor sentiment depend on previous yields but not on previous trading volumes,Changes in investor sentiment from guba have an impact on the market trading volume,but the impact will gradually fade until they return to equilibrium.Moreover,based on the daily data,by constructing the VAR-GARCH-DCC model,the results are obtained that the dynamic correlation between investor sentiment and stock market returns is also high,however,the dynamic correlation between divergence of opinion and stock market returns is relatively small.Third,based on the cross-section effect analysis,by portfolio analysis,Fama-Macbeth regression analysis and panel data regression analysis,this paper verifies that higher disagreement predicts significantly lower future stock returns,especially during higher investors' sentiment;investor sentiment has a negative impact on future stock returns,the stock prices are more likely to be overvalued when the sentiment is higher,especially,investor sentiment has a greater impact on future stock returns when investors have great different opinions.Moreover,under the mutual influence of investors' sentiment and disagreement,investors' irrational responses to the stock price are more powerful when the disagreement is more serious and investor sentiment is higher,at this time,the deviations from fundamental value is very large and the stock return in the future is lower.Fourth,from three dimensions of their own characteristics,trade characteristics,industry characteristics,the study find that companies with small scale,low book market value,high price-earnings ratio and high volatility are more susceptible to irrational factors such as investor sentiment and heterogeneous beliefs,and differences of opinion have a greater negative impact on future earnings when sentiment is higher.However,the degree of short selling restriction in Chinese stock market has no significant effect on the relationship between investors' differences of opinion and stock returns.However,investor sentiment and different opinions have different cross-sectional effects on stock returns of companies in different industries.The research in this paper has important enlightenment and reference value for investors,listed companies,securities firms and government regulators,it has certain guiding significance for perfecting the operation mechanism of Chinese stock market and promoting the stock market to develop steadily and healthily. |
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