

@mastersthesis {7042,
	title = {Research on investor behavior based on investor sentiment},
	year = {2005},
	note = {H118137},
	school = {Fudan University (People{\textquoteright}s Republic of China)},
	type = {phdPh.{D}.},
	address = {Ann Arbor},
	abstract = {The agent is rational and the market is efficient in The Modern Financial Theory (MFT). So the investor behavior has no influence on financial market, even if there are irrational investors, they will be wash out by the arbitrageurs. So it is not significance to research on investor behavior. But the Behavioral Finance Theory (BFT) relaxes the rational agent hypothesis and gives the explanation more close to the reality than MFT. The investor behavior has more influence on asset pricing and financial market in BFT. The thesis focuses on investor sentiment and the influence of investor sentiment on investor behavior and tries to find the mechanism of the investor behavior based on investor sentiment influencing the asset pricing and economy. The thesis tries to measure the investor sentiment with the empirical studies through the compares of closed-end fund discount index, consumer confidence index, the investor confidence index. The thesis tests the framework through the overconfidence belief in Chinese online trader. The thesis contains four main parts. First, the mechanism of investor sentiment to behavior is focus. The thesis research investor decision-making model through cognition structure, information processing and decision motives. The agent decision-making is constrained by intuition system and reasoning system. The monitor of reasoning system to intuition system is lax. So the agent makes the heuristic judgments. When the agent gets the information, he will reduce the complexion through simple, mental accounting, availability and ignorance. The information process makes systematic biases. The agent decision motives is not only the income or wealth maximization, the psychology satisfactions is one of the most important motives. The psychology satisfactions are avoiding cognitive dissonance and satisfying the control feeling. Second, through the model construction, a conclusion is got that the noise trader cannot be washed out by the arbitrager in the game between the noise trader and the arbitrager. In this situation the sentiment investment strategic may be the best strategic. More noise trader can create more noise trader risks, more volatility of asset price and less financial quantity. From macro control aspects, three measures should be taken to reduce the noise trade: open market operation; trade tax and short-term capital income tax. In the game between noise trader and the arbitrageur, the role of arbitrageur is not always stabling. When the arbitrageur expectation the behavioral model of noise trader and take positive feedback strategic to make the money, the action will increase the market volatility. At the second part conclusion that sentiment investment strategic may be the best strategic is got, the strategic requires to measure the investor sentiment accurately. Through comparing the closed-end fund discount index, consumer confidence index and investor confidence index, we get the conclusion that consumer confidence indexed is the best measure to investor sentiment. The closed-end fund discount index is not suitable because the validity will fall when the market situation changes or the fund-holder structure changes. The individual investor confidence index made by ShenZhen Security Information Company has the good validity, but the time-spread is short, so the future examination should be taken. To apply the analysis framework, we compare the history trade account of online trader and the non-online trader, and get the conclusion that the online trader is more overconfidence than the non-online trader, this situation makes the online trader overtrade, so get the low return. When the trader mode changes from non-online to online, the trade frequency will increase. The overtrading low the return. At the end of the thesis, the conclusion, the limitation and the future works of the thesis are giving.},
	keywords = {(UMI)AAIH118137, 0508:Finance, Finance, Social sciences},
	url = {http://search.proquest.com/docview/1024724631?accountid=14270},
	author = {Xue, Fei}
}
