Investor Sentiment, Beta, and the Cost of Equity Capital
研究发现，在乐观情绪时期，高贝塔股票因噪音交易者过度追捧而定价过高，导致证券市场线向下倾斜；而在悲观时期，传统贝塔定价有效，市场线向上倾斜。
The security market line accords with the capital asset pricing model by taking on an upward slope in pessimistic sentiment periods, but is downward sloping during optimistic periods. We hypothesize that this finding obtains because periods of optimism attract equity investment by unsophisticated, overconfident, traders in risky opportunities (high beta stocks), whereas such traders stay along the sidelines during pessimistic periods. Thus, high beta stocks become overpriced in optimistic periods, but during pessimistic periods, noise trading is reduced, so that traditional beta pricing prevails. Unconditional on sentiment, these effects offset each other. Although rational explanations cannot completely be ruled out, analyses using earnings expectations, fund flows, the probability of informed trading, and order imbalances do provide evidence that noise traders are more bullish about high beta stocks when sentiment is optimistic, whereas investor behavior appears to accord more closely with rationality during pessimistic periods, supporting our hypothesis. This paper was accepted by Wei Jiang, Finance.