Study on Regime Switching of Capital Asset Pricing Model Considering Investor Sentiment:Based on the Emotion Analysis of the Stock Forum Discussion
In this paper,we first establish a capital asset pricing model considering investor sentiment.We find that the investor sentiment is a key factor in the asset pricing and there is regime switching in the influence to investor sentiment about asset pricing(three regimes exist).Next,through simulation we show that the reason of regime switching is that when investor sentiment increases,the optimal portfolio excess return is affected by both portfolio effect and emotional effect.Finally,we construct a proxy of investor sentiment based on the emotion analysis of the stock forum discussion,and empirically confirm the theoretical model in this paper.In the empirical study,we find that the results from linear regression reverse the positive or the negative of investor sentiment's influence on the stock index excess return when investor sentiment is in the second regime,and underestimate investor sentiment's influence on the stock index excess return when investor sentiment is in the third regime.
国家科技期刊平台
NSTL
万方数据
维普
