中小板市场投资者情绪与股票收益研究分析

发布时间：2018-03-18 21:36

本文选题：行为金融学　切入点：投资者情绪　出处：《重庆理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：大量的实证研究发现，传统金融理论对于现代金融市场出现的很多异象难以起到合理的解释。而建立在传统金融学理论基础之上的行为金融学，大胆借鉴认知心理学的研究成果，认为投资者不是完全理性的，投资者的情绪能对决策行为产生重大的影响。行为金融学重新把投资者的不完全理性引入到理论模型中，成功的对金融市场的异象进行了合理的解释。本文在参考相关文献的基础上，以行为金融学理论作为投资者情绪的理论基础，从金融市场寻找投资者情绪存在的证据，并选取封闭式基金折价率、市场换手率、IP0首日回报率、IPO数目、IPO首日募集资金、消费者信心指数等6个隐性情绪指标,剔除宏观经济影响的因素后，采用主成分分析法构建成一个反映中小板市场的综合投资者情绪指数。在实证分析中，首先利用Fama和French三因素模型的基础上引入构造的中小板市场的综合投资者情绪指标，研究了投资者情绪对市场收益的影响程度，发现投资者情绪是影响市场整体收益除风险外的具有显著独立影响的因子。并利用回归模型，，验证投资者情绪对于不同市值规模公司的股票收益的影响，结论表明在市场存在投资者情绪的影响下，中小板上市公司的股票收益与公司的市值规模是正向波动的，市值规模越大，股票收益也就越高，说明在中小板市场上不存在明显的规模效应。
[Abstract]:A large number of empirical studies have found that the traditional financial theory is difficult to provide a reasonable explanation for many anomalies in modern financial markets. Using the research results of cognitive psychology for reference, the author thinks that investors are not completely rational, and that investors' emotions can have a significant impact on decision-making behavior. Behavioral finance reintroduces investors' imperfect rationality into the theoretical model. The vision of the financial market was successfully explained reasonably. In this paper, based on the reference of relevant literature, the behavioral finance theory is used as the theoretical basis of investor sentiment, the evidence of investor sentiment is found from the financial market, and the discount rate of closed-end funds is selected. Market turnover rate and IP0 rate of return on the first day of IP0 the number of IPOs, the number of IPOs on the first day of IPOs, the index of consumer confidence and other hidden emotional indicators, and so on, after taking into account macroeconomic factors, The principal component analysis method is used to construct a comprehensive investor sentiment index which reflects the small and medium scale board market. In the empirical analysis, based on the Fama and French three-factor model, this paper introduces the comprehensive investor sentiment index of the small and medium-sized board market, and studies the influence of investor sentiment on the market returns. It is found that investor sentiment is a significant independent factor that affects the overall market returns except risks. The regression model is used to verify the influence of investor sentiment on the stock returns of companies with different sizes of market value. The conclusion shows that under the influence of investor sentiment in the market, the stock returns of the small and medium-sized board listed companies and the size of market value are positively fluctuated, and the larger the size of market value, the higher the stock returns. It shows that there is no obvious scale effect in the small and medium board market.
【学位授予单位】：重庆理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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