Sentiment‐scaled CAPM and market mispricing
研究了情绪调整的资本资产定价模型，发现贝塔和市场风险溢价随时间变化，该模型的状态贝塔能解释价值溢价和由错误定价驱动的异常现象，并得到向上倾斜的证券市场线。
Abstract This study explores the conditional version of the capital asset pricing model on sentiment to provide a behavioural intuition behind the value premium and market mispricing. We find betas ( β ) and the market risk premium to vary over time across different sentiment indices and portfolios. More importantly, the state β derived from this sentiment‐scaled model provides a behavioural explanation of the value premium and a set of anomalies driven by mispricing. Different from the static β –return relation that gives a flat security market line, we document upward security market lines when plotting portfolio returns against their state β s and portfolios with higher state β s earn higher returns.