This paper examines the impact of investor sentiment and limited arbitrage on stock returns from a behavioral finance perspective,using the Shanghai A-share market as a research sample for the period 2010-2022.Empirical methods,including single-factor portfolio analysis,dual-factor portfolio analysis,and fixed effects models,are employed to investigate the relationships and underlying interaction mecha-nisms between these factors and stock returns.The study finds a significant positive correlation between in-vestor sentiment,limited arbitrage,and stock returns,which remains robust even after controlling of firm size,debt-to-assets ratio,return on assets,AMIHUD illiquidity measure,and trading volume.Further a-nalysis reveals a bidirectional exacerbation effect between investor sentiment and limited arbitrage:investor sentiment exacerbates the impact of limited arbitrage on stock returns,and limited arbitrage exacerbates the impact of investor sentiment on stock returns.The magnitude of this exacerbation effect varies,with more pronounced effects observed in companies with higher levels of investor sentiment and limited arbitrage.
维普
万方数据
