Investor Sentiment, Company Characteristics And Stock Returns

A large number of real example in financial market discover a lot of anomalies which cann't be explained by modern financial theory and effective market theory, including the cross section income anomaly, which discovers is different and alike that the cross section data adopting the average income on counting carry on the real example, for instance, the winner - loser's effect, book to market value effect,etc, and the one that found through the data of the market of total amount is different and alike, for instance the mystery of the stock right premium, mystery of the fluctuation, etc. In addition, some company characteristic variables, such as scale, income stock price, financial lever, book to market value have very strong explanation strength to earning ratio, and relevance is very strong. It learn behavioral finances in trying explain these anomalies grow vigorously. Studying stage in modern finance behavioral finance, the scholars utilize the research results of cognitive psychology, begin to notice roles acted in decision of mood, explore psychological characteristics such as cognition, emotion and attitude that investors are in the investment decision actively, and the mood of market caused by this, has set up relevant theories.This text starts with excavating factor influencing stock yield, study the impact on stock yield of investor's sentiment in terms of different elephant of market. The one different from studying in the past is that this text chooses five recessive sentiment indexes in the real example, use the main composition analytic approach to aggregate into the sentiment index of a market, which is different from the past single sentiment index, analyze the cross section to the stock yield through the sentiment index, the impact on different stock yield of the sentiment of positive research.First of all, the article explaine theoretically the mechanism of impact on stock yield of investor's sentimen. Because the research object is a security market of our country, and consider our country's market and investors' particularity, have further analyzed the structure of the securities investors of our country and sentiment characteristic, and the actual influence on the security market. Then combine the actual conditions of China's securities market, analyze the impact on stock yield of the sentiment of investor of the domestic stock market in real example, draw the conclusion: Sentiment has prominent factor that acts on to the stock yield independently besides market risk in the security market of our country, the sentiment index can expect well the stocks of the risk type, flowing characteristic make incomes up, company's scale and valuation do not exist on the obvious condition characteristic effect.