投资者情绪与股票特征关系

Relationship between investor sentiment and stock characteristic

通过选取情绪变量,构造了情绪指数和反映股票收益对情绪变化敏感性的指标—情绪β.在此基础上,分析和研究了情绪与股票特征之间的关系.实证研究表明,我国A股市场在一定时期内,规模较大、波动率较高、市净率较高的股票易受情绪的影响,不同年龄的股票并未受投资者情绪的影响.

This paper constructed an aggregate measure of investor sentiment and sentiment Beta, which was defined as the sensitivity of returns to sentiment through choosing sentiment variables. By employing this index, it studied and analyzed the relationship between sentiment and stock characteristic. The empirical result shows that, during a certain period, larger capitalization, higher volatility and higher market-to-book ratio stocks are more sensitive to sentiment in Chinese A-share market. However, there is no significant link between stock age and sentiment.