| 我国A股市场投资者情绪是定价因子吗？ |
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| 引用本文：邓学斌， 高 鲜.我国A股市场投资者情绪是定价因子吗？[J].经济数学,2019,(3):1-8 |
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| 中文摘要:以股票价格变化的强弱和方向反映投资者的心理预期，选取流通性指标作为股票交易强弱的指标，股票买卖行为的人气指标作为投资交易方向的指标，从交易强弱和交易方向两个角度构建了投资者情绪综合指标（简记为ISI）.选取2006年1月至2017年6月沪市A股上市公司为样本，进行了ISI与股票收益的时间序列分析和截面效应分析.研究结果表明，投资者情绪综合指标提高了预期收益率但降低了本期收益率，预期收益率具有显著的正向风险溢价.ISI自身也具有显著的正向风险溢价，对股票市场超额收益具有很好的解释能力.投资者情绪指标是中国股市一个重要的资产定价因子. |
| 中文关键词:金融学 投资者情绪 主成分分析 资产定价 |
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| Is Investor Sentiment a Pricing Factor in China’s A-Share Market? |
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| Abstract:The strength and direction of stock price changes reflect the psychological expectations of investors. This article selects liquidity index as a strength index of stock trading, stock trading behavior of sentiment index as the index of investment direction. Based on the sample of A-share listed companies in Shanghai from January 2006 to June 2017, this paper constructs the investor sentiment index (ISI) and conducts the time series analysis and cross-sectional effect analysis on the ISI and stock returns. The results show that the investor sentiment index improves the expected return rate but reduces the current return, presenting a significant positive risk premium for the expected return. At the same time, the ISI itself has a significant positive risk premium, which has a good explanatory ability to excess earnings of the stock market. Investor sentiment index (ISI) is an important asset pricing factor in China's stock market. |
| keywords:Finance Investor sentiment Principal Component Analysis Asset pricing |
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