We examine whether mixed-frequency investor sentiment affects stock returns. In line with recent evidence from China, we find that the aggregate effect and the individual effect of mixed-frequency investor sentiment are statistically significant, and mixed-frequency investor sentiment is more...

Conventional wisdom suggests that the equilibrium stock price is not affected by investor sentiment, and the equilibrium price at an early time is higher than the one at a later time. In contrast to this wisdom, we present a dynamic asset pricing model with investor sentiment and we find that...

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...

We present an asset pricing model by incorporating investor sentiment. The sentiment equilibrium price could be decomposed to the rational term and the sentiment term, and the investor sentiment has a systematic and significant impact on the risky asset price. In the model, the sentiment term...