投资者情绪与股票收益:总体效应与横截面效应的实证研究

发布时间：2018-06-02 06:23

本文选题：投资者情绪 + 股票收益　；参考：《南开管理评论》2010年03期

【摘要】：本文探讨了投资者情绪对股票收益的总体效应与横截面效应,结果表明就总体效应而言,情绪与短期市场收益正相关,与长期市场收益负相关,说明投资者情绪对于股票收益产生系统性影响。就横截面效应而言,股票收益对于情绪的敏感度存在差异,股息率、有形资产率、价格、市净率、市盈率、波动率、户均持股比例等特征值低的股票和资产负债率高的股票,更容易受到情绪影响;在情绪乐观时,该类股票在当期或滞后一期具有超额收益,情绪悲观时则相反,投资者情绪对于该超额收益具有一定的解释作用和预测能力。
[Abstract]:This paper discusses the overall and cross-sectional effects of investor sentiment on stock returns. The results show that as far as the overall effect is concerned, emotion is positively correlated with short-term market returns and negatively correlated with long-term market returns. It shows that investor sentiment has a systemic impact on stock returns. As far as cross-section effect is concerned, there are differences in the sensitivity of stock returns to emotion. Stocks with low characteristic values such as dividend yield, tangible asset ratio, price, price-to-book ratio, price-to-earnings ratio, volatility ratio, and the proportion of household stock holding are of low characteristic value and stocks with high asset-liability ratio. It is more susceptible to the influence of emotion. When the stock is optimistic, it has excess return in the current period or in the lag period, but on the contrary when the mood is pessimistic, the investor sentiment has a certain explanatory role and predictive ability to the excess return.
【作者单位】：山东经济学院金融研究所;同济大学经济与管理学院;
【分类号】：F224;F832.51

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