The Impact Of Heterogeneous Investor Sentiment On Stock Prices

With the gradual development of behavioral finance,continuous empirical results show that investor sentiment has a significant impact on stock prices.Existing research covers many aspects of the impact of investor sentiment on the stock market,but not all.In recent years,scholars have gradually paid attention to the research on sentiment of heterogeneous investors,and obtained corresponding research results.However,due to the complexity of heterogeneous investor sentiment,related research has not formed a complete system.Therefore,this article attempts to study the impact of heterogeneous investor sentiment on stock prices from several perspectives.This article divides the research issues into three sub-problems for research,namely: First,the impact of investor sentiment heterogeneity on stock returns;Second,the impact of investor sentiment duration heterogeneity on stock returns;The Impact of Heterogeneity of Investor Emotion Structure on Stock Price.In order to carry out the above research,this article uses monthly stock data of 48 companies that have been included in the constituent stock list for ten consecutive years from January 2009 to December 2018 in the SSE 180 Index.Based on the four-factor panel data model and quantification of heterogeneous emotional structure risk asset pricing models,to study the impact of heterogeneous investor sentiment on stock returns and stock prices.The results show that investor sentiment has a positive impact on the stock market as a whole,and the impact is heterogeneous.Heterogeneity is mainly reflected in the following three aspects: High investor sentiment has a significant positive impact on stock returns,and low Investor sentiment has a significant negative impact on stock returns;the length of rising investor sentiment has a significant positive impact on stock returns.The longer the duration of the rising sentiment,the higher the stock return,and the duration of the low investor sentiment.Stock returns have asignificant negative effect.The longer the duration of the downturn,the lower the stock returns;investor sentiment of both homogeneous and heterogeneous structures has a significant impact on stock prices,but after considering heterogeneous structures of emotions,sentiment affects The impact of stock prices is higher,that is,they are more inclined to think that investors have different needs for risk assets under different emotions,and when the mood is high,the demand for risk assets is higher.