Research On The Effect Of Financial Mismatch On Enterprise Innovation

What factors determine the stock return and what factors affect it?For this core problem of finance,the multi factor pricing model attempts to answer from market factors and fundamental factors,thus forming a series of asset pricing theoretical models.But has the pricing factor been fully exploited?The frequent occurrence of financial anomalies shows that the classical asset pricing model can not fully reflect the market situation.Therefore,more and more scholars expand the asset pricing model combined with behavioral finance theory,study the impact of investor sentiment on stock return,and further explore sentiment factors.By combing the relevant literature,this paper puts forward the definition and measurement method of investor sentiment,and analyzes the theoretical mechanism of investor sentiment affecting stock return.In the part of empirical research,five stock technical indicators are constructed:stock relative intensity index(RSI),psychological line index(PSY),turnover rate(TUR),logarithm of trading volume(LTV)and volatility(SWA).The individual stock investor sentiment index(sent)is constructed by principal component analysis,and then the relationship between investor sentiment and stock return is tested by fixed effect panel regression model,which lays an empirical foundation for expanding the Fama French five factors model.So far,Fama French five factors model is a generally recognized asset pricing model at home and abroad,but many scholars have found that there are still some unexplained excess returns in the five factors model.Therefore,this paper attempts to add investor sentiment factors to the five factors model for extended research;Next,this paper constructs a six factors model including emotion factor(EMO)by the method of 2 × 3,and constructs 100 portfolio excess returns as explanatory variables by the method of 5 × 5;When testing the applicability of each factor,refer to the method of Fama and French(2015)[1],orthogonalize the redundant investment factor CMA to obtain CMAO to participate in the final regression.The regression results show that the six factors model has a significant explanation for most of the excess returns in the A-share market and 18 industries.Further,GRS test shows that the six factors model has a smaller intercept than the three factors model and the five factors model,so the six factors model performs better.This paper creatively adds behavioral finance theory to the traditional finance,and extends the investor sentiment factor into the five factors model to the six factors model.On the basis of Fama French five factors model considering market factors and company fundamentals,this paper attempts to explain the stock excess return from investor sentiment factors,which broadens the research vision of factor pricing model;In the empirical aspect,this paper selects five technical indicators about stock information,constructs the investor sentiment index(Sent)through the principal component analysis method,creatively measures the investor sentiment from the individual stock technical indicators,and fills the blank of the individual stock sentiment panel data in the A-share market;In practical application,this paper demonstrates that the six factors model with investor sentiment is advanced,and the multi factor stock selection strategy containing investor sentiment will be more effective,which is of great significance for individual and institutional investors to choose stocks and choose time.