投资者情绪、Fama-French五因子模型与投资组合收益

Investor Sentiment,Fama-French Five Factor Model and Portfolio Returns

传统投资组合模型应用过程中,选定资产后,投资者可以通过输入期望收益率和协方差阵来得到最优资产配置权重。本文首先按不同市场情绪划分测试时间段,选择我国沪深股票资产组合;然后运用FamaFrench五因子模型求解选定资产的期望收益率向量,并将稳健中位数协方差阵应用到投资组合的构建,比较其与Fama-French三因子模型和传统协方差阵构建的投资组合在不同市场情绪时间段的表现。结果表明,FamaFrench五因子模型构建的投资组合收益率及其稳健性受市场情绪影响,而稳健中位数协方差阵能够降低投资组合收益率波动性,不过在市场情绪高涨期效果不明显。在上述研究的基础上本文对投资者投资组合的构建提出一些建议。

In the traditional portfolio model,investors calculate the expected return of assets and the covariance matrix for optimal asset allocation.This paper divided market sentiment period into three states and selected the securities in the Chinese stock market to construct portfolios.We implemented both the FamaFrench five-factor model and the robust median covariance matrix approach for predicting the expected return of the selected stocks and portfolio optimization respectively.Then we compared the performance of the portfolio constructed by the FamaFrench three-factor model with that of the traditional covariance matrix in different market sentiment periods.The empirical results indicate that the performance of the portfolio constructed by the Fama-French five-factor model is sensitive to the fluctuation of stock market sentiment,and that the robust median covariance matrix approach tends to have relatively stable portfolio return,while ineffective in the bull market.The main contribution of this paper is to empirically test different model combinations in portfolio theory using Chinese data on which market sentiment has unique impact.To some extent,this paper provides a reference to the portfolio strategy.