A Study On The Relationship Between Investor 's Emotion And Enterprise' S Inefficient Investment

Throughout the phenomenon of financial market, we can find that it is difficult to explain the market anomalies for traditional financial theories. But the behavioral finance which is based on traditional financial theories and release hypothesizes give reasonable explanation through combining with psychology and sociology. The research about investor sentiment and inefficient investment is one of research hotspots of behavioral finance.This paper enlarges the research category of investor sentiment and inefficient investment based on the existing research, chooses SMEs board as research example. First, the paper chooses five proxy indicators, consumer confidence index, the number of IPO, IPO rate of return, market PE ratio and turnover ratio, to get investor sentiment index with the method of PCA. Furthermore, this article proves the effectiveness of measurement and enriches the measurement of investor sentiment. After that, makes panel data regression with the Richardson model, and divides inefficient investment according to positive and negative residuals. Then, makes the regression analysis about investor sentiment and inefficient investment. It turns out that there is remarkable correlativity between investor sentiment and inefficient investment on SMEs board. The last, there is a contrastive analysis between Main-board and SMEs board. It finds that the inefficient investment of SMEs board is more sensitive to investor sentiment than Main-board, the strict supervision does not reduce the effect of investor sentiment fluctuation. In addition, this paper gives some suggestions to supervision organization, public company and investor according to features of SMEs board and research result.