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 expected return when the parameters change in different situations.

EconPapers: Sentiment approach to negative expected return in the stock market

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Sentiment approach to negative expected return in the stock market

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Bibliographic Info Article provided by Elsevier in its journal Economic Modelling. Negative expected return ; Investor sentiment ; Asset pricing model ; Behavioral finance ; Find related papers by JEL classification: G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading References References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: International and further U.

International and Further U. Evidence ," NBER Working Papers , National Bureau of Economic Research, Inc.

Stocks as lotteries and the cross-section of expected returns ," Journal of Financial Economics , Elsevier, vol. Affective attitudes and stock market expectations ," CFR Working Papers [rev. Full references including those not matched with items on IDEAS Citations The CitEc project has not yet found citations to this item.

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Yang, Chunpeng Yan, Wei Zhang, Rengui. Article provided by Elsevier in its journal Economic Modelling. HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading.

References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Full references including those not matched with items on IDEAS.

The CitEc project has not yet found citations to this item. This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS. Access and download statistics.

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