Testing the Sentiment-Scaled CAPM Model in China: Evidence from the Shanghai Stock Exchange
Purpose The purpose of this study is to use investor sentiment as a conditional variable in the Capital Asset Pricing Model (CAPM) and test the validity of this sentiment-scaled CAPM by conducting cross-sectional return tests on Shanghai Stock Exchange. Data For all the stocks listed on the Shang...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2020
|
| Online Access: | https://eprints.nottingham.ac.uk/66442/ |