An Empirical Study On The Effects Of Investor Sentiment And Corporate Characteristics On Stock Portfolio Revenue

At present, it is great significant to study how investor sentiment effects the capital asset pricing model and investment strategy. Foreign theoretical research shows that when beginning-of-period proxies for sentiment are low, subsequent returns are relatively high for young stocks, small stocks, high volatility stocks, non-dividend-paying stocks, unprofitable stocks, extreme growth stocks and distressed stocks. On the other hand,when sentiment is high, these categories of stock earn relatively low subsequent returns.This phenomenon proves that a wave of investor sentiment has larger effects on the cross-section of stock returns.The future cross-section of stock returns is determined by the sentimental agent variable in the beginning period.And domestic theoretical research is relatively backward in this field. Domestic scholars’ research is mainly focused on sentiment index structure and the relationship between investor sentiment and stock returns or volatility. Therefore, the study that the investor sentiment with certain characteristics of the company effects the investment portfolio returns in Chinese stock market has a theoretical and practical significance.This paper studies the main contents include: The first system the research background, research significance, research program and asset pricing theory and empirical research at home and abroad based on investor sentiment Systematically. Secondly, this paper introduces the investor sentiment index and the selection of the characteristics of the company, the characteristics of the stock market investor sentiment and the impact of investor sentiment on China’s stock market.Secondly, this paper introduces the investor sentiment index and the selected company characteristic index, investor sentiment characteristics in the stock market and the impact of investor sentiment on China’s stock market. Thirdly, by turnover substituting for investor sentiment index, Chinese stock market is divided into investor sentiment high and investor sentiment low period. Then using for reference from Baker and Wurgler(2006, 2007) to the investor sentiment of the New York stock exchange data with the company features of portfolio returns the empirical research method and by using the data of all A shares from July 1991 to March 2015 in China,the paper makes an empirical research into the impact of stock portfolio returns based on investor sentiment and the company features. The company characteristics are clever divided into different portfolio, subsequently according to the different investor sentiment empirical analyzing portfolio income differences with different characteristics investor sentiment; The investor sentiment is made one element linear regression by the different company characteristic investment portfolio.Subsequently the investor sentiment is introduced into the FF four factor model and the multiple linear regression is conducted to further examine the impact of investor sentiment on the portfolio with the characteristics of the company. Finally, the empirical results are analyzed, and the limitations of the study and the direction of future research are pointed out.The main conclusions of this paper are: China’s stock returns are significantly affected by investor sentiment and different characteristic stock affected by the degree of investor sentiment is also different. Whether the high market value company or the low market value company in all aspects on the company’s stock price, investor sentiment is a very important factor.The small market value company effected investor sentiment is greater, and also presents a positive correlation.When the investor sentiment is relatively low, the smaller companies are also likely to receive a greater negative impact.When investor sentiment is high, investors also show the demand for the young stock. High volatility stocks subsequently get higher returns. Stocks subsequent earnings rate with fixed assets ratio low or low liquidity ratio is also high.Investors prefer stocks with high volatility. The stocks with high earnings ratio subsequently gains higher.From the research of this paper, it can be found that stock returns is really affected by the investor sentiment in the stock market of our country. It is necessary to consider the influence of investor sentiment on stock pricing.This conclusion is consistent with the conclusion of Baker and Wurgler(2006). This proves that we should take into account the important impact of investor sentiment in the asset pricing model.