股市收益、个股情绪与市场监管

投资者情绪是影响资产定价的重要因素。本文以我国A股市场为研究对象,构造了个股情绪beta指数,并基于1991—2020年的股票样本,借助Fama-MacBeth回归进行了实证分析。实证结果表明:A股市场存在投资者情绪重复和反转效应,个股情绪beta指数,在情绪高涨期与股票超额收益正相关,在情绪低迷期与股票超额收益负相关;股权分置改革后,个股情绪beta指数较大的股票,在未来情绪高涨期回报率更高,在未来情绪低迷期回报率更低;与市场情绪beta指数相比,个股情绪beta指数对股票未来收益的预测能力更强。鉴此,监管部门对股票市场应该关注“情绪监管”,依据投资者的情绪变化,识别潜在市场泡沫或非理性繁荣,建立完善的风险预警机制,以确保资本市场的稳定运行。

Investors’sentiments have a significant impact on asset pricing.This paper introduces the concept of mood beta for China’s A-shares stock martket.We conduct an empirical analysis using Fama-MacBeth regressions for samples from 1991 to 2020.The empirical results show that China’s A-shares exhibit mood recurrence and reversal effects across mood months.Stocks with higher mood betas subsequently earn higher returns during ascending mood periods and earn lower returns during descending mood periods.After the splitshare structure reform,the forecasting power of the mood beta has improved.Compared with the market sentiment beta,the ability of mood beta to predict returns across high and low mood periods performs better.Therefore,the regulatory authorities should pay close attention to the"sentiment supervision",identifying potential market bubbles or irrational prosperity through changes in investor sentiment,and establishing a sound risk warning mechanism to ensure the capital market's smooth functioning.