投资者情绪与股票横截面收益：中国A股市场实证研究

发布时间：2018-01-05 07:22

本文关键词：投资者情绪与股票横截面收益：中国A股市场实证研究　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：二十世纪80年代以来，基于理性人假设的传统金融理论受到了市场“异象”的挑战，行为金融成为引人注目的研究热点。大量国外实证研究表明市场受投资者情绪的影响。在投资者存在认知偏差以及套利存在风险的假设下，投资者情绪可以作为定价因子影响股票回报。中国市场由于历史较短，正处于完善制度、信息逐步透明、投资者积累理性经验的过程中，行为金融的两大假定在中国有一定的基础。因此，研究影响投资者行为的深层次原因——投资者情绪，对于更深刻地认识中国市场有极大的理论和实践意义。本文从市场收益率和横截面股票收益率两个角度考察了投资者情绪对中国A股市场股票定价的影响。样本期间1998年8月至2012年11月。本文首先在回顾现有国内外投资者情绪与股市关系的文献基础上，选取适合中国的5个市场指标和1个主观信心指标利用主成分分析方法构建了一个投资者情绪指数。在此基础上，检验了投资者情绪指数对股票市场收益的预测能力。进一步，文章从估值难易、套利难易的角度，选取了市场规模、年龄、历史波动性、账面市值比、机构投资者持股比例以及流通股比例作为公司特征构建投资组合，检验情绪对不同股票横截面收益的影响。结果表明，情绪指数对市场收益率存在一定反向预测能力，该反向预测能力在投资者情绪高涨时显著存在，在投资者情绪低落时预测能力不明显。在对横截面收益数据的描述中，投资者情绪对新上市股票、高波动性股票、低账面市值比股票、极小市值和极大市值股票影响较大。进一步回归发现，，不同特征的公司股票横截面收益受到投资者情绪影响的程度不同。2005年6月前的样本区间中，上月的投资者情绪对市值组合有正向预测能力，在2005年6月后的样本区间中，上月的投资者情绪对本月波动性、账面价值比、以及机构投资者持股比例组合有反向预测能力；同时此“反向修正”的预测能力最多存在4个月。
[Abstract]:Since 80s twentieth Century, the traditional financial theory hypothesis by market "anomalies" challenge based on behavioral finance has become a research hotspot. Compelling empirical research shows that a large number of foreign market affected investor sentiment. Investors have cognitive biases and arbitrage risk under the assumption that investor sentiment can be used as a pricing factor influencing stock returns China. Market due to the short history, is in the perfect information system, gradually transparent, the accumulation of experience in the process of rational investors, behavioral finance two assumed to be based in China. Therefore, the deep reason of investor sentiment -- influence investor behavior, deeper understanding is of great theoretical and practical significance Chinese Market.
This article from the market rate of return and cross-sectional stock return rate of two aspects: the impact of investor sentiment on Chinese A stock market stock pricing. The sample period from August 1998 to November 2012. Firstly, based on the literature review of the existing domestic and foreign investor sentiment and stock market's relationship, select the appropriate China 5 market indicators and 1 subjective confidence using the principal component index constructed an investor sentiment index analysis method. On this basis, test the ability of investor sentiment index to predict stock market returns. Further, the article from the valuation arbitrage difficulty, difficult point, the market size, age, historical volatility, book value ratio, the proportion of institutional investors holding and the proportion of tradable shares as the company characteristics of portfolio construction, examines the influence of emotion on the different cross-section of stock returns.
The results show that the market sentiment index to yield certain negative predictive ability, the ability to predict the reverse exists in investor sentiment, the investor sentiment when the prediction ability is not obvious. The cross sectional data description, investor sentiment on new listed stocks, the high volatility of the stock, low book to market ratio the stock market and the stock market, the minimum great influence. Further regression analysis showed that the company stock returns different characteristics by investor sentiment have different effects.2005 years before June last month in the sample interval, investor sentiment has a positive predictive ability of the market portfolio, in June 2005 after the sample interval, the monthly volatility last month, the investor sentiment, book value ratio, and the proportion of institutional investors holding a combination of reverse prediction ability; at the same time this "reverse revision" prediction ability There is a maximum of 4 months.

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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