卖空约束、个股投资情绪与股票收益率

发布时间：2018-02-22 01:54

本文关键词： 投资者情绪媒体情绪卖空约束股票收益率　出处：《华侨大学》2014年硕士论文　论文类型：学位论文

【摘要】：据米勒分析，股票收益受卖空约束和异质信念两大因素的影响。作为新兴经济体之一，我国的金融市场不完善，特别是卖空机制的长期缺乏，投资者的异质信念难以表达，使得国内市场追涨杀跌、羊群效应等非理性交易现象不断发生，市场单边情绪化现象较为严重。在国内卖空约束逐步放松的情况下，本文以个股数据为样本，利用主成分因子分析法和文本内容分析法，区别构建个股投资者情绪和媒体情绪，在Fama-French三因素模型的基础上，检验不同卖空约束程度下投资者情绪偏差带来的股票异常收益是否具有负向显著性，媒体情绪是否还存在“螺旋效应”，短期动量效应和反转效应是否具有显著性。得出以下几点结论：第一，卖空限制下，情绪因子与股票收益呈正相关关系。前期乐观情绪具有“动量效应”，而悲观情绪组合较乐观情绪组合有较大幅度的“反转效应”。个股情绪两极化的股票组合异常收益普遍大于情绪较缓和的股票组合的收益。并且，卖空限制下媒体情绪是助推个股投资者情绪偏向性形成的重要因素；第二，卖空约束放松后，媒体情绪与股票收益呈负相关关系。媒体情绪对个股投资者的“螺旋效应”消失，取而代之的是个股投资者对媒体情绪的理性规避。股票异常收益一定程度修正，投资者情绪较缓和的股票平均收益反而较高，该结论与米勒的观点一致。其中，月度投资周期中卖空约束因子对投资者情绪组合存在“动量效应”，负向修正性较明显，趋向股票内在价值。媒体情绪因子对投资组合异常收益的影响与投资者情绪相似，但在季度和半年投资周期中“动量效应”趋弱；第三，前期卖空最活跃且投资者情绪最乐观的组合股票异常收益向下修正并不明显，甚至大幅反弹呈现“反转效应”，该结果与米勒的观点不同，这是由中国股市发展滞后，渠道受限推高卖空成本，制约卖空作用的发挥所决定的。基于情绪因子对股票收益偏差的影响，，可以考虑买入前期卖空最活跃股票组合，特别是情绪较乐观组合，卖出前期卖空最不活跃股票组合以获得超额收益。总体而言，卖空放松对个股异常收益的修正并不完全，甚至一定程度成了短期投机交易的工具，这与我国卖空放松的力度、范围以及采用的方式直接相关。同时也说明了传统的三因素模型无法完全解释股价的实际变动，有必要在资产定价模型中加入投资情绪因素。
[Abstract]:According to Hans Muller's analysis, stock returns are influenced by two major factors: short selling constraints and heterogeneous beliefs. As one of the emerging economies, China's financial market is imperfect, especially because of the long-term lack of short selling mechanism, and investors' heterogeneous beliefs are difficult to express. This makes the domestic market go up and down, the herd effect and other irrational trading phenomena occur constantly, the market unilateral emotional phenomenon is more serious. In the case of domestic short selling restrictions gradually loosening, this paper takes the individual stock data as the sample. By using principal component factor analysis and text content analysis, this paper distinguishes the individual stock investor emotion from the media emotion, based on the Fama-French three-factor model. To test whether the abnormal return of stock caused by investors' emotional deviation under different short selling constraints has negative significance, Whether there is "spiral effect" in media emotion, whether the short-term momentum effect and reversal effect are significant. The following conclusions are drawn:. First, under the restrictions on short selling, The positive correlation between the emotion factor and the stock return is positive. The former optimistic emotion has "momentum effect", while the pessimistic emotion combination has a larger "reversal effect" than the optimistic emotion combination. The stock portfolio with the polarization of individual stock sentiment is abnormal. Returns are generally greater than those of less emotional stock portfolios. And, Media sentiment is an important factor to promote the formation of emotional bias of individual stock investors under the restriction of short selling. Secondly, after the relaxation of short selling constraints, the media sentiment has a negative correlation with stock returns, and the "spiral effect" of media sentiment on individual stock investors disappears. Instead, there is rational circumvention of media sentiment by individual stock investors. The abnormal returns of stocks are corrected to a certain extent, and the average returns of stocks with more moderate investor sentiment are higher. This conclusion is consistent with Hans Muller's view. In the monthly investment cycle, the short selling constraint factor has a "momentum effect" on the investor emotional portfolio, and the negative correction is obvious and tends to the intrinsic value of the stock. The influence of the media emotion factor on the abnormal return of the portfolio is similar to that of the investor emotion. However, the momentum effect weakens in the quarterly and semi-annual investment cycles. Third, the abnormal returns of portfolio stocks with the most active short selling and the most optimistic investor sentiment are not significantly corrected. Even a sharp rebound presents a "reversal effect", which is different from Hans Muller's view that the development of the Chinese stock market lags behind, and that channel constraints push up the cost of short selling. Based on the influence of emotional factors on the deviation of stock returns, we can consider buying the most active stock portfolios in the early period, especially the more optimistic ones. Sell short-selling the least active stock portfolio to get excess returns. In general, the correction of the short selling relaxation to the abnormal returns of individual stocks is not complete, and to some extent has become a tool for short-term speculative trading, which is in line with the strength of the relaxation of short selling in China. At the same time, the traditional three-factor model can not fully explain the actual change of stock price, so it is necessary to add the investment sentiment factor into the asset pricing model.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

【参考文献】