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Keywords

Special volatility, stock emotions, three factor models, puzzle of special volatility

Abstract

With the development of behavioral finance, the effective measurement of investor sentiment and its impact on stock investment returns have received increasing attention from financial risk management scholars. This paper constructs a measure of investor sentiment that can reflect a single stock based on the data of individual stock trading volume and turnover rate, and empirically explores the impact of individual stock sentiment on the fluctuation of stock price characteristics and expected returns. The study found that the high sentiment of individual stock investors will positively aggravate the characteristic volatility of the stock price, but it will reduce the expected return of the stock price, leading to the financial anomaly of "the mystery of characteristic volatility".

DOI

10.16315/j.stm.2021.05.009

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