投资者情绪与股票横截面收益的实证研究

Investor Sentiment and the Cross-Section of Stock Returns

本文以1999～2008年沪深两市A股一般上市公司为样本,探讨了投资者情绪对股票横截面收益的影响。结果表明,股票估值的主观程度和投资主体存在的特征差异使得股票收益对于情绪的敏感度存在差异,投资者情绪对于当期与未来短期的相对超额收益具有一定的影响作用,情绪对横截面收益存在影响效应。这种横截面影响具体表现在情绪乐观时,有形资产率低的、资产负债率高的、无现金分红的股票会有超额收益,情绪悲观时则相反;低价股、亏损型、高账面市值比、利润增长率比较极端的股票在情绪乐观时获得超额收益,情绪悲观时相反,但是并不显著;按照规模和机构持股比例构造的投资组合,投资者情绪对其收益的横截面影响均未表现出显著规律。

We investigate whether investor sentiment affects the cross-section of stock returns in China A-share market. The evidence shows that the sensitivity of stock returns to sentiment changes is different. When an index of investor sentiment takes high values, low tangible assets, high Debt-asset ratio, and non-dividend-paying stocks earn relatively higher returns, when sentiment is low, the aforementioned categories of stocks earn relatively lower returns. When sentiment is high, low-price, unprofitable and high book-market ratio stocks earn relatively higher returns and vice versa, but which is insignificant. The capitalization, volatility and institutional ownership appear to have no significant cross-section effect of investor sentiment on its characteristic Portfolio return.