私人信息检索
信息不对称
资本资产定价模型
经济
金融经济学
投资者概况
资产(计算机安全)
市场情绪
理性预期
库存(枪支)
货币经济学
微观经济学
行为经济学
业务
计量经济学
计算机科学
计算机安全
机械工程
工程类
作者
Xuetong Zhang,Weiguo Zhang
标识
DOI:10.1016/j.najef.2023.101920
摘要
We develop an asset pricing model with sentiment interactions between institutional and individual investors under the condition of information asymmetry. Our model considers private information and investor sentiment, two imperfections in securities markets, and integrates them into a theoretical model to investigate the role of the interaction between information asymmetry and investor sentiment in asset pricing. We show that the joint effect of private information and investor sentiment deviate the price of risky assets and efficiently explains anomalies in the stock market. Investor sentiment changes the effect of information on the equilibrium price relative to a world where all investors are completely rational. Private information changes the effect of investor sentiment on the equilibrium price in comparison with a scenario with symmetric market information. In addition, the individual investors’ learning and the disclosure of information both allow private information to be better integrated into the price and simultaneously changes the effect of investor sentiment on the equilibrium price.
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