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
Recommended Citation
WANG, Kai and WANG, Zhao-hui
(2021)
"Research on the influence of investor sentiment on the characteristic volatility and expected return of stock price,"
Journal of Science and Technology Management: Vol. 23:
Iss.
5, Article 9.
DOI: 10.16315/j.stm.2021.05.009
Available at:
https://jstm.researchcommons.org/journal/vol23/iss5/9
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
