投资者情绪理论、度量及应用研究综述

发布时间：2018-02-17 04:28

本文关键词： 投资者情绪资产定价网络情绪　出处：《金融评论》2017年03期 　论文类型：期刊论文

【摘要】：投资者情绪是行为金融学理论的两大基石之一,越来越多的学者认为投资者情绪是资产价格的决定性因素,这和标准的金融理论有所区别。随着互联网大数据时代的到来,投资者情绪度量指标和构建方法有了新的突破,最新的研究开始采用数据挖掘技术从网络用户行为中提取更为客观、实时、高频和精准的网络社会情绪度量指标来代理投资者情绪。为此,本文详细梳理和评述投资者情绪理论的提出过程,投资者情绪的分类和度量指标的构建方法,投资者情绪在资产定价领域的应用研究的新进展,最后提出投资者情绪形成、传染和扩散机制,投资者情绪在新兴市场和非股票市场的影响等四点未来可能的研究方向,以期为国内学者在该领域的后续研究提供参考和借鉴。
[Abstract]:Investor sentiment is one of the two cornerstones of behavioral finance theory. More and more scholars think that investor sentiment is the decisive factor of asset price, which is different from standard financial theory. New breakthroughs have been made in investor sentiment metrics and construction methods. The latest research has begun to use data mining technology to extract more objective and real-time information from the behavior of network users. The high frequency and accurate network social emotion measurement index is used to represent investor emotion. Therefore, this paper makes a detailed review of the proposed process of investor sentiment theory, the classification of investor sentiment and the construction method of measurement index. New advances in the application of investor sentiment in the field of asset pricing. Finally, four possible directions for future research are proposed, such as investor sentiment formation, contagion and diffusion mechanisms, and the impact of investor sentiment on emerging markets and non-stock markets. In order to provide reference and reference for domestic scholars in the field of follow-up research.
【作者单位】：南京航空航天大学经济与管理学院;
【基金】：南京航空航天大学研究生创新基地项目“股市制度变革、投资者情绪与股价过度波动关系研究”(项目编号:kfjj20150905)的资助
【分类号】：B842.6;F832.51

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