Construction and Analysis of Individual Stock Sentiment Anomalies in the A-share Market

Abstract

Behavioral finance heralds investor sentiment as an anomaly in traditional asset pricing models, and the financing and financing business is an important indicator of individual stock sentiment. In this paper, this paper try to use the growth rate of monthly balance of financing and financing securities as a factor SEN to explain stock returns in the context of Chinese A-share market. This paper finds that market capitalization and SEN have a significant inverse monotonicity, and their information crosses to a large extent to make SEN redundant. This paper argues that the reason for the redundancy of SEN due to market capitalization is that the A-share stock market has set a high margin for financing and financing business, which leads to a weaker liquidity of market transactions and limits the investment choices of rational investors to stocks with relatively small market capitalization. Based on the conclusion, this paper suggests that small investors adopt a strategy of going long on small-cap stocks and short on large-cap stocks.