投资者情绪影响下资本资产定价的区制性研究——基于股票论坛发帖的情感分析

发布时间：2018-04-11 12:02

本文选题：投资者情绪 + 资本资产定价　；参考：《运筹与管理》2017年10期

【摘要】：本文首先建立一个考虑投资者情绪的资本资产定价模型,研究发现,投资者情绪是资产定价的系统性因子且对其影响具有区制性(存在三个区制)。在此基础上通过仿真揭示投资者情绪对资产定价影响存在区制性的原因在于当投资者情绪增加时,最优组合超额收益受组合效应与情绪效应的综合影响。最后基于股票论坛发帖的情感分析构建投资者情绪指标,实证检验了本文的理论模型,并发现基于普通的线性回归模型得到的投资者情绪对股指超额收益影响,一方面会在投资者情绪处于第二区制内时将其对股指超额收益影响方向弄反,另一方面会在投资者情绪处于第三区制内时低估其增加导致的股指超额收益平均增加程度。
[Abstract]:In this paper, a capital asset pricing model considering investor sentiment is established. It is found that investor sentiment is a systematic factor of asset pricing and has a regional influence (there are three regions).On this basis, it is revealed by simulation that the influence of investor sentiment on asset pricing is limited by the combination of portfolio effect and emotional effect when investor sentiment increases.Finally, based on the emotional analysis of the stock forum posting, this paper empirically tests the theoretical model of this paper, and finds that investor sentiment based on the ordinary linear regression model has an impact on the excess return of the stock index.On the one hand, when investor sentiment is in the second zone system, it will reverse the direction of its influence on the excess return of stock index, on the other hand, when investor sentiment is in the third zone system, it will underestimate the average increase degree of the index excess return caused by the increase of investor sentiment.
【作者单位】：天津大学管理与经济学部;天津大学金融工程研究中心;
【基金】：国家自然科学基金资助项目(71271146,71671122)
【分类号】：B842.6;F832.51

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