本文關(guān)鍵詞： 投資者情緒 媒體情緒 賣空約束 股票收益率　出處：《華僑大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：據(jù)米勒分析，股票收益受賣空約束和異質(zhì)信念兩大因素的影響。作為新興經(jīng)濟(jì)體之一，我國的金融市場不完善，特別是賣空機(jī)制的長期缺乏，投資者的異質(zhì)信念難以表達(dá)，使得國內(nèi)市場追漲殺跌、羊群效應(yīng)等非理性交易現(xiàn)象不斷發(fā)生，市場單邊情緒化現(xiàn)象較為嚴(yán)重。在國內(nèi)賣空約束逐步放松的情況下，本文以個(gè)股數(shù)據(jù)為樣本，利用主成分因子分析法和文本內(nèi)容分析法，區(qū)別構(gòu)建個(gè)股投資者情緒和媒體情緒，在Fama-French三因素模型的基礎(chǔ)上，檢驗(yàn)不同賣空約束程度下投資者情緒偏差帶來的股票異常收益是否具有負(fù)向顯著性，媒體情緒是否還存在“螺旋效應(yīng)”，短期動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng)是否具有顯著性。得出以下幾點(diǎn)結(jié)論： 第一，賣空限制下，情緒因子與股票收益呈正相關(guān)關(guān)系。前期樂觀情緒具有“動(dòng)量效應(yīng)”，而悲觀情緒組合較樂觀情緒組合有較大幅度的“反轉(zhuǎn)效應(yīng)”。個(gè)股情緒兩極化的股票組合異常收益普遍大于情緒較緩和的股票組合的收益。并且，賣空限制下媒體情緒是助推個(gè)股投資者情緒偏向性形成的重要因素；第二，賣空約束放松后，媒體情緒與股票收益呈負(fù)相關(guān)關(guān)系。媒體情緒對(duì)個(gè)股投資者的“螺旋效應(yīng)”消失，取而代之的是個(gè)股投資者對(duì)媒體情緒的理性規(guī)避。股票異常收益一定程度修正，投資者情緒較緩和的股票平均收益反而較高，該結(jié)論與米勒的觀點(diǎn)一致。其中，月度投資周期中賣空約束因子對(duì)投資者情緒組合存在“動(dòng)量效應(yīng)”，負(fù)向修正性較明顯，趨向股票內(nèi)在價(jià)值。媒體情緒因子對(duì)投資組合異常收益的影響與投資者情緒相似，但在季度和半年投資周期中“動(dòng)量效應(yīng)”趨弱；第三，前期賣空最活躍且投資者情緒最樂觀的組合股票異常收益向下修正并不明顯，甚至大幅反彈呈現(xiàn)“反轉(zhuǎn)效應(yīng)”，該結(jié)果與米勒的觀點(diǎn)不同，這是由中國股市發(fā)展滯后，渠道受限推高賣空成本，制約賣空作用的發(fā)揮所決定的。基于情緒因子對(duì)股票收益偏差的影響，，可以考慮買入前期賣空最活躍股票組合，特別是情緒較樂觀組合，賣出前期賣空最不活躍股票組合以獲得超額收益。 總體而言，賣空放松對(duì)個(gè)股異常收益的修正并不完全，甚至一定程度成了短期投機(jī)交易的工具，這與我國賣空放松的力度、范圍以及采用的方式直接相關(guān)。同時(shí)也說明了傳統(tǒng)的三因素模型無法完全解釋股價(jià)的實(shí)際變動(dòng)，有必要在資產(chǎn)定價(jià)模型中加入投資情緒因素。
[Abstract]:According to Hans Muller's analysis, stock returns are influenced by two major factors: short selling constraints and heterogeneous beliefs. As one of the emerging economies, China's financial market is imperfect, especially because of the long-term lack of short selling mechanism, and investors' heterogeneous beliefs are difficult to express. This makes the domestic market go up and down, the herd effect and other irrational trading phenomena occur constantly, the market unilateral emotional phenomenon is more serious. In the case of domestic short selling restrictions gradually loosening, this paper takes the individual stock data as the sample. By using principal component factor analysis and text content analysis, this paper distinguishes the individual stock investor emotion from the media emotion, based on the Fama-French three-factor model. To test whether the abnormal return of stock caused by investors' emotional deviation under different short selling constraints has negative significance, Whether there is "spiral effect" in media emotion, whether the short-term momentum effect and reversal effect are significant. The following conclusions are drawn:. First, under the restrictions on short selling, The positive correlation between the emotion factor and the stock return is positive. The former optimistic emotion has "momentum effect", while the pessimistic emotion combination has a larger "reversal effect" than the optimistic emotion combination. The stock portfolio with the polarization of individual stock sentiment is abnormal. Returns are generally greater than those of less emotional stock portfolios. And, Media sentiment is an important factor to promote the formation of emotional bias of individual stock investors under the restriction of short selling. Secondly, after the relaxation of short selling constraints, the media sentiment has a negative correlation with stock returns, and the "spiral effect" of media sentiment on individual stock investors disappears. Instead, there is rational circumvention of media sentiment by individual stock investors. The abnormal returns of stocks are corrected to a certain extent, and the average returns of stocks with more moderate investor sentiment are higher. This conclusion is consistent with Hans Muller's view. In the monthly investment cycle, the short selling constraint factor has a "momentum effect" on the investor emotional portfolio, and the negative correction is obvious and tends to the intrinsic value of the stock. The influence of the media emotion factor on the abnormal return of the portfolio is similar to that of the investor emotion. However, the momentum effect weakens in the quarterly and semi-annual investment cycles. Third, the abnormal returns of portfolio stocks with the most active short selling and the most optimistic investor sentiment are not significantly corrected. Even a sharp rebound presents a "reversal effect", which is different from Hans Muller's view that the development of the Chinese stock market lags behind, and that channel constraints push up the cost of short selling. Based on the influence of emotional factors on the deviation of stock returns, we can consider buying the most active stock portfolios in the early period, especially the more optimistic ones. Sell short-selling the least active stock portfolio to get excess returns. In general, the correction of the short selling relaxation to the abnormal returns of individual stocks is not complete, and to some extent has become a tool for short-term speculative trading, which is in line with the strength of the relaxation of short selling in China. At the same time, the traditional three-factor model can not fully explain the actual change of stock price, so it is necessary to add the investment sentiment factor into the asset pricing model.
【學(xué)位授予單位】：華僑大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.51

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