Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China

Research Article

Research on the Impact of Investor Sentiment on Beta Anomalies in China's A Stock Market

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  • @INPROCEEDINGS{10.4108/eai.17-11-2023.2342674,
        author={Rui  Zhang and Qiong  Liu and Qihan  Zhang and Jia  Chen},
        title={Research on the Impact of Investor Sentiment on Beta Anomalies in China's A Stock Market},
        proceedings={Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17--19, 2023, Beijing, China},
        publisher={EAI},
        proceedings_a={ICEMME},
        year={2024},
        month={2},
        keywords={beta vision investor sentiment behavioral finance},
        doi={10.4108/eai.17-11-2023.2342674}
    }
    
  • Rui Zhang
    Qiong Liu
    Qihan Zhang
    Jia Chen
    Year: 2024
    Research on the Impact of Investor Sentiment on Beta Anomalies in China's A Stock Market
    ICEMME
    EAI
    DOI: 10.4108/eai.17-11-2023.2342674
Rui Zhang1,*, Qiong Liu1, Qihan Zhang2, Jia Chen1
  • 1: Harbin Institute of Technology
  • 2: Guangdong University of Technology
*Contact email: 1669415678@qq.com

Abstract

Asset pricing is one of the research hotspots in the financial field. In classic asset pricing models, traditional asset pricing models assume that the market is completely efficient, investors are completely rational, and the expected return on stocks is positively correlated with systemic risk. However, due to overly strict assumptions, a large number of empirical studies have found that the greater the systemic risk of stocks, the lower the return. Due to the fact that systemic risk is usually measured in beta, this phenomenon is known as beta anomaly. With the rise of behavioral finance, scholars have found that behavioral finance theory has better explanatory power for stock market anomalies. More and more research has linked the occurrence of such anomalies to investor behavior. Therefore, there is the most research on explaining beta anomalies from the perspective of investor behavior. In view of this, on the basis of demonstrating the existence of beta anomalies in the Chinese stock market, this article explains beta anomalies from the perspective of investor sentiment, effectively expanding the analysis perspective of beta anomalies.