We present a dynamic asset pricing model with investor sentiment and information, which shows that the investor sentiment plays a systematic and important role in the asset prices and the information is gradually incorporated into prices. The model has an analytical solution to the sentiment...

The systematic and important role of investor sentiment has been supported by some recent empirical and theoretical literatures. In this paper, we present a dynamic asset pricing model with heterogeneous sentiments and we find that the equilibrium stock price is the wealth-share-weighted average...

We examine whether mixed-frequency investor sentiment affects stock returns. In line with recent evidence from China, we find that the aggregate effect and the individual effect of mixed-frequency investor sentiment are statistically significant, and mixed-frequency investor sentiment is more...

Purpose– The purpose of this paper is to research and analyze the price of gold futures based on heterogeneous investors' overconfidence. Design/methodology/approach– This paper divides the traders of gold futures market into two kinds: the speculators and arbitrageurs, and then constructs a...

Conventional wisdom suggests that the equilibrium stock price is not affected by investor sentiment, and the equilibrium price at an early time is higher than the one at a later time. In contrast to this wisdom, we present a dynamic asset pricing model with investor sentiment and we find that...

In the spirit of beauty contests, we study the effect of higher order expectations on sentiment asset pricing. The sentiment asset pricing model with higher order expectations shows that, in general the higher sentiment causes the higher price, but, higher order expectations contribute to...

In the portfolio choice literatures and the financial market, diversification and concentration are the focus of debate of philosophers. In this paper, we develop a model of portfolio choice to integrate the diversification strategy and the concentration strategy. Our model relies on the...

A large number of researches have shown that the negative return of risky asset exists and has the profound significance whether for actual investment or theory studies. This paper investigates the effect of sentiment by establishing the sentiment asset pricing model, and explores the negative...

We present an asset pricing model with investor sentiment and information, which shows that the investor sentiment has a systematic and significant impact on the asset price. The equilibrium price's rational term drives the asset price to the rational, and the sentiment term leads to the asset...