投资者情绪与股票市场定价效率实证研究

发布时间：2018-04-01 00:03

本文选题：非系统风险　切入点：情绪综合指数　出处：《贵州财经大学学报》2014年04期

【摘要】：采用主成分分析方法,构造投资者情绪综合指数,并将所构造的标准化投资者情绪指数作为投资者情绪因子,代入Fama和French三因子定价模型。基于投资者情绪对不同风格指数、不同市值指数、不同行业指数的影响,分别选择上证A股指数、沪深300指数、上证50ETF、上证180ETF、大盘指数、小盘指数、银行板块、非银金融板块、房地产板块、有色金属板块、医药生物板块、钢铁板块作为投资组合代表,以研究投资者情绪对这些不同投资组合的差异性影响。并将耶鲁CCER中国股市投资者情绪信心指数标准化后,作为一个因子代入Fama和French三因子模型进行比较研究。实证检验证明了所构建的情绪资产定价理论模型的合理性,将投资者情绪作为一个因子加入到Fama和French三因子模型以后,资产定价模型定价效率有显著的提升。
[Abstract]:By using the method of principal component analysis, construct investor sentiment index, and the index of standard investor sentiment as investor sentiment factor, by Fama and French three factor pricing model. The index of investor sentiment on different styles based on different market value index, does not affect the industry index, respectively select the Shanghai A stock index, the Shanghai and Shenzhen 300 index, Shanghai 50ETF, Shanghai 180ETF, stock index, small cap index, the banking sector, the non bank financial sector, real estate sector, non-ferrous metal sector, pharmaceutical biotechnology sector, iron and steel plate as a portfolio, to study the influence of investor sentiment on these different portfolio differences. And the Yale CCER China standard stock market investors sentiment the confidence index, as a factor into Fama and French three factor model were compared. The empirical test proves that the asset pricing mood built The rationality of the theoretical model and the investor sentiment as a factor are added to the three factor model of Fama and French, and the pricing efficiency of asset pricing model is significantly improved.

【作者单位】：辽宁大学经济学院;
【分类号】：F224;F832.51

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