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The controversy between Behavioural Finance and
Efficient Market Hypothesis focuses on whether
investor sentiment has influence on equilibrium
price. We implement empirical tests on sentiment in
Chinese stock market, which has already been more
than 130 million investors as the third biggest
stock market in the world. We use discount of close-
end-fund and the first-day return of IPOs to support
our conclusion: sentiment is the key risk factor in
asset pricing. In chapter 1, we discuss the academic
work about the theoretical models and empirical
results. In chapter 2, CEFs puzzle is explained by
sentiment. Then, we prove that there exist the long-
term negative and the short-term positive impact of
sentiment on returns. In chapter 3, IPOs puzzle is
also explained by sentiment. Then, we find that
there are feedback between sentiment and stock
market return. Finally, we bring forward and testify
that sentiment is an important reason of volatility
clustering and fat tail of financial data. In
chapter 4, we draw the conclusion. This book is
designed to the investors who want to understand
Chinese market and those who are interested in
Behavioural Finance.
Efficient Market Hypothesis focuses on whether
investor sentiment has influence on equilibrium
price. We implement empirical tests on sentiment in
Chinese stock market, which has already been more
than 130 million investors as the third biggest
stock market in the world. We use discount of close-
end-fund and the first-day return of IPOs to support
our conclusion: sentiment is the key risk factor in
asset pricing. In chapter 1, we discuss the academic
work about the theoretical models and empirical
results. In chapter 2, CEFs puzzle is explained by
sentiment. Then, we prove that there exist the long-
term negative and the short-term positive impact of
sentiment on returns. In chapter 3, IPOs puzzle is
also explained by sentiment. Then, we find that
there are feedback between sentiment and stock
market return. Finally, we bring forward and testify
that sentiment is an important reason of volatility
clustering and fat tail of financial data. In
chapter 4, we draw the conclusion. This book is
designed to the investors who want to understand
Chinese market and those who are interested in
Behavioural Finance.