本文關(guān)鍵詞：投資者情緒與股票橫截面收益：中國A股市場實(shí)證研究　出處：《上海交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：二十世紀(jì)80年代以來，基于理性人假設(shè)的傳統(tǒng)金融理論受到了市場“異象”的挑戰(zhàn)，行為金融成為引人注目的研究熱點(diǎn)。大量國外實(shí)證研究表明市場受投資者情緒的影響。在投資者存在認(rèn)知偏差以及套利存在風(fēng)險(xiǎn)的假設(shè)下，投資者情緒可以作為定價(jià)因子影響股票回報(bào)。中國市場由于歷史較短，正處于完善制度、信息逐步透明、投資者積累理性經(jīng)驗(yàn)的過程中，行為金融的兩大假定在中國有一定的基礎(chǔ)。因此，研究影響投資者行為的深層次原因——投資者情緒，對(duì)于更深刻地認(rèn)識(shí)中國市場有極大的理論和實(shí)踐意義。 本文從市場收益率和橫截面股票收益率兩個(gè)角度考察了投資者情緒對(duì)中國A股市場股票定價(jià)的影響。樣本期間1998年8月至2012年11月。本文首先在回顧現(xiàn)有國內(nèi)外投資者情緒與股市關(guān)系的文獻(xiàn)基礎(chǔ)上，選取適合中國的5個(gè)市場指標(biāo)和1個(gè)主觀信心指標(biāo)利用主成分分析方法構(gòu)建了一個(gè)投資者情緒指數(shù)。在此基礎(chǔ)上，檢驗(yàn)了投資者情緒指數(shù)對(duì)股票市場收益的預(yù)測能力。進(jìn)一步，文章從估值難易、套利難易的角度，選取了市場規(guī)模、年齡、歷史波動(dòng)性、賬面市值比、機(jī)構(gòu)投資者持股比例以及流通股比例作為公司特征構(gòu)建投資組合，檢驗(yàn)情緒對(duì)不同股票橫截面收益的影響。 結(jié)果表明，情緒指數(shù)對(duì)市場收益率存在一定反向預(yù)測能力，該反向預(yù)測能力在投資者情緒高漲時(shí)顯著存在，在投資者情緒低落時(shí)預(yù)測能力不明顯。在對(duì)橫截面收益數(shù)據(jù)的描述中，投資者情緒對(duì)新上市股票、高波動(dòng)性股票、低賬面市值比股票、極小市值和極大市值股票影響較大。進(jìn)一步回歸發(fā)現(xiàn)，，不同特征的公司股票橫截面收益受到投資者情緒影響的程度不同。2005年6月前的樣本區(qū)間中，上月的投資者情緒對(duì)市值組合有正向預(yù)測能力，在2005年6月后的樣本區(qū)間中，上月的投資者情緒對(duì)本月波動(dòng)性、賬面價(jià)值比、以及機(jī)構(gòu)投資者持股比例組合有反向預(yù)測能力；同時(shí)此“反向修正”的預(yù)測能力最多存在4個(gè)月。
[Abstract]:Since 80s twentieth Century, the traditional financial theory hypothesis by market "anomalies" challenge based on behavioral finance has become a research hotspot. Compelling empirical research shows that a large number of foreign market affected investor sentiment. Investors have cognitive biases and arbitrage risk under the assumption that investor sentiment can be used as a pricing factor influencing stock returns China. Market due to the short history, is in the perfect information system, gradually transparent, the accumulation of experience in the process of rational investors, behavioral finance two assumed to be based in China. Therefore, the deep reason of investor sentiment -- influence investor behavior, deeper understanding is of great theoretical and practical significance Chinese Market.
This article from the market rate of return and cross-sectional stock return rate of two aspects: the impact of investor sentiment on Chinese A stock market stock pricing. The sample period from August 1998 to November 2012. Firstly, based on the literature review of the existing domestic and foreign investor sentiment and stock market's relationship, select the appropriate China 5 market indicators and 1 subjective confidence using the principal component index constructed an investor sentiment index analysis method. On this basis, test the ability of investor sentiment index to predict stock market returns. Further, the article from the valuation arbitrage difficulty, difficult point, the market size, age, historical volatility, book value ratio, the proportion of institutional investors holding and the proportion of tradable shares as the company characteristics of portfolio construction, examines the influence of emotion on the different cross-section of stock returns.
The results show that the market sentiment index to yield certain negative predictive ability, the ability to predict the reverse exists in investor sentiment, the investor sentiment when the prediction ability is not obvious. The cross sectional data description, investor sentiment on new listed stocks, the high volatility of the stock, low book to market ratio the stock market and the stock market, the minimum great influence. Further regression analysis showed that the company stock returns different characteristics by investor sentiment have different effects.2005 years before June last month in the sample interval, investor sentiment has a positive predictive ability of the market portfolio, in June 2005 after the sample interval, the monthly volatility last month, the investor sentiment, book value ratio, and the proportion of institutional investors holding a combination of reverse prediction ability; at the same time this "reverse revision" prediction ability There is a maximum of 4 months.

【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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本文編號(hào)：1382123