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Measure Opinion Divergence with Obnormal Overturn and Build Investment Portfolios

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DOI: 10.25236/emcs.2018.056


Fan Zhenzhou

Corresponding Author

Fan Zhenzhou


The capital asset pricing model(CAPM) assumes that investors have homogenous expectation, which is obviously an idealized assumption of the real world. Behavioral finance expands the hypothesis of rational people, analyzes many bias of investors behaviores in the real world , and notices two of them: 1.information in the real world is not sufficient and asymmetrical; 2.investor's attention is limited and the prior belief are different among them. Many researches broaden the hypothesis of homogeneous expectation of capital asset pricing model and study the impact of investor heterogeneous beliefs on stock market equilibrium. Based on prior research, this paper uses the Chinese stock market(A-share) data from 2016 to 2017, modeling with daily frequency, calculates the daily abnormal turnover rate, and build portfolios with the abnormal turnover rate. The result of the portfolio is that the abnormal return of the day is significantly negatively correlated with the yield of the second trading day. This research introduce that abnormal overturn can be a efficient factor of asset pricing model.


Behavioral Finance, Turnover decomposition, Heterogeneous beliefs, Opinion divergence, Investment portfolio