Sentiment approach to negative expected return in the stock market

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. We provide the necessary and sufficient conditions for the negative expected return.

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Year of publication:	2013
Authors:	Yang, Chunpeng ; Yan, Wei ; Zhang, Rengui
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 35.2013, C, p. 30-34
Publisher:	Elsevier
Subject:	Negative expected return \| Investor sentiment \| Asset pricing model \| Behavioral finance

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Type of publication:	Article
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010719414