E3S Web Conf.
Volume 275, 20212021 International Conference on Economic Innovation and Low-carbon Development (EILCD 2021)
|Number of page(s)||4|
|Section||Energy Application and Ecological Resource Sustainability|
|Published online||21 June 2021|
The impact of investor sentiment for the U.S. stock market based on Fama-French 3-factor model
HR Department, Bank of Shanghai Nanjing Branch, Nanjing, Jiangsu, 210000, China
* Corresponding author: firstname.lastname@example.org
Particularly, it is difficult to accurately measure investor sentiment due to the inherent complexity and dynamic change. This paper tests the impact of investors’ behavior in the U.S. equity market. By using monthly data from February 2014 to December 2018, the impacts of investor sentiment are examined. Besides, Fama-French risk factors are investigated in a new multiple factor asset pricing model. Specifically, the investor sentiment is measured by six-variable composite index. Empirical results indicate that the investor sentiment is a composition of systemic risk. In this case, the Fama-French three factor model with investor sentiment factor can fully explains the return of stocks in the USA stock market. By comparing the trend of investor sentiment and market index, investor sentiment will affect asset pricing and market volatility, i.e., verifies the effectiveness of investor sentiment index in the U.S, stock market.
© The Authors, published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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