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...

This paper presents a multi-period trading sentiment asset pricing model under asymmetric information. In the model, the rational investor trades on information so that the information is gradually incorporated into prices, whereas the sentiment investor trades on sentiment as if it were...

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...