A PCA Model for Analyzing the Impact of Investor Sentiment on Stock Returns

doi:10.47297/wspceWSP2516-251905.20210504

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A PCA Model for Analyzing the Impact of Investor Sentiment on Stock Returns

Volume 5, Issue 4

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A PCA Model for Analyzing the Impact of Investor Sentiment on Stock Returns
A PCA Model for Analyzing the Impact of Investor Sentiment on Stock Returns
Vol. 5, Issue 4, Pages: 72-77(2021)
Published： 30 April 2021 ，
DOI：10.47297/wspceWSP2516-251905.20210504
Accepted：

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.A PCA Model for Analyzing the Impact of Investor Sentiment on Stock Returns[J].Creative Economy,2021,05(04):72-77.
DOI：

.A PCA Model for Analyzing the Impact of Investor Sentiment on Stock Returns[J].Creative Economy,2021,05(04):72-77. DOI： 10.47297/wspceWSP2516-251905.20210504.

摘要

Abstract

Investor sentiment plays an important role in behavioral finance. A consistent combination of value

growth and sentiment is believed to be the key to good investment results. However

there is a lack of consensus on how to define investor sentiment. Therefore

This paper selects four emotional proxy variables and constructs a comprehensive index of investor sentiment through principal component analysis. Through the establishment of investor sentiment index

this paper makes a comprehensive analysis of the impact of investor sentiment on stock returns. The results show that when investor sentiment is optimistic

the thought is more rational and can drive stock returns.

关键词

Keywords

Stock returnsPrincipal component analysis

references

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Yao Y.,Yao B. B., Zhong Q. (2019) Research on the Impact of Investor Sentiment on Stock Return-An Empirical Analysis Based on Shanghai A-share Data[J]. Price: Theory and Practice, 5: 88-91.

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