我国投资者情绪与股票收益实证研究

Empirical Research on Investor Sentiment and Stock Returns in China

根据投资者情绪是股票价格形成重要影响因素这一研究观点,围绕投资者情绪是否构成系统性风险及其对不同类型股票的差异化影响,运用我国股市交易数据进行的实证研究结果表明,投资者情绪不构成股市的系统性风险,但对不同市值的股票有着差异化的影响,随着股票的"投机性"增加,投资者情绪对其影响也增大。此外,投资者情绪会削弱股票收益与其波动的正相关性,且对于"投机性"越高的股票,这一影响也越大。

Investor sentiment is an important factor on the forming of stock＇s price.In this paper,an empirical study is made to analyze if investor sentiment give rise to systematic risk in stock market and its impact on different types stocks.The results show that investor sentiment is not a systematic risk,and the ＂speculative＂ stocks are more sensitive to the investor sentiment.Furthermore investor sentiment will weaken the risk return tradeoff.The more ＂speculative＂ the stocks are,the more weaken the mean-variance relation should be by the investor sentiment.