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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作者单位
邓学斌, 高 鲜 (广东财经大学 金融学院, 广东 广州 510320) 
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
 
Is Investor Sentiment a Pricing Factor in China’s A-Share Market?
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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