关键词: BSV模型, 反应过度, 反应不足, 情绪因子模型, 非对称性

Abstract: The classical BSV cognitive model narrows down the scope of investor underreaction and overreaction and ignores the influence of emotional factors on the degree of cognition. Therefore, this paper introduces the two-way emotion factor on the basis of the BSV model to construct the Sentiment BSV (SBSV). The results of the test reveal that the BSV model is only a special assumption of investors’ neutral emotions, and the bidirectional emotions of individual investors can lead to asymmetric reactions of investors to the positive and negative shocks to company earnings. Further study reveals that the stronger the degree of asymmetry of the emotion factor itself, the more extreme the investor sentiment, and the shorter the time for underreaction to turn into overreaction, which provides an explanation for the reality of the long-run reversal phenomenon. Moreover, it is found that in the short-run, pessimistic investors have lower investment returns than optimistic investors, while in the long-run, this is exactly the opposite. Therefore, the government should cultivate more resilient capital markets, implement efficient mechanisms to monitor or guide market sentiment, and align policy communication and formulation with targeted sentiment management. Moreover, investor education programs should be tailored to address the asymmetric impacts of sentiment on decision-making.

Key words: BSV model, overreaction, underreaction, sentiment factor model, asymmetry