本文選題：投資者情緒 + 股票收益��； 參考：《南開管理評論》2010年03期

【摘要】：本文探討了投資者情緒對股票收益的總體效應與橫截面效應,結果表明就總體效應而言,情緒與短期市場收益正相關,與長期市場收益負相關,說明投資者情緒對于股票收益產生系統(tǒng)性影響。就橫截面效應而言,股票收益對于情緒的敏感度存在差異,股息率、有形資產率、價格、市凈率、市盈率、波動率、戶均持股比例等特征值低的股票和資產負債率高的股票,更容易受到情緒影響;在情緒樂觀時,該類股票在當期或滯后一期具有超額收益,情緒悲觀時則相反,投資者情緒對于該超額收益具有一定的解釋作用和預測能力。
[Abstract]:This paper discusses the overall and cross-sectional effects of investor sentiment on stock returns. The results show that as far as the overall effect is concerned, emotion is positively correlated with short-term market returns and negatively correlated with long-term market returns. It shows that investor sentiment has a systemic impact on stock returns. As far as cross-section effect is concerned, there are differences in the sensitivity of stock returns to emotion. Stocks with low characteristic values such as dividend yield, tangible asset ratio, price, price-to-book ratio, price-to-earnings ratio, volatility ratio, and the proportion of household stock holding are of low characteristic value and stocks with high asset-liability ratio. It is more susceptible to the influence of emotion. When the stock is optimistic, it has excess return in the current period or in the lag period, but on the contrary when the mood is pessimistic, the investor sentiment has a certain explanatory role and predictive ability to the excess return.
【作者單位】： 山東經濟學院金融研究所;同濟大學經濟與管理學院;
【分類號】：F224;F832.51

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本文編號：1967755