关键词: 投资者情绪, 资本资产定价, 区制性, 东方财富论坛, 情感分析

Abstract: In this paper, we first establish a capital asset pricing model considering investor sentiment. We find that the investor sentiment is a key factor in the asset pricing and there is regime switching in the influence to investor sentiment about asset pricing(three regimes exist). Next, through simulation we show that the reason of regime switching is that when investor sentiment increases, the optimal portfolio excess return is affected by both portfolio effect and emotional effect. Finally, we construct a proxy of investor sentiment based on the emotion analysis of the stock forum discussion, and empirically confirm the theoretical model in this paper. In the empirical study, we find that the results from linear regression reverse the positive or the negative of investor sentiment’s influence on the stock index excess return when investor sentiment is in the second regime, and underestimate investor sentiment’s influence on the stock index excess return when investor sentiment is in the third regime.

Key words: investor sentiment, CAPM, regime switching, East Money forum, emotion analysis