投资者情绪对股票横截面收益的非对称影响研究

The Asymmetric Relation between Investor Sentiment and Cross-section of Stock Returns

Fama-French三因子模型未解释部分包含大量市场非理性信息,本文以周和月好淡指数作为投资情绪的代理变量,对其进行假日、季节调整,并将其分为乐观和悲观、极端和非极端四类;依据市值、账面市值比、市值-账面市值比将上市公司分为35个组合;运用FF三因子模型,检验投资者情绪,特别是极端情绪(包括乐观和悲观)对股票横截面收益的影响。研究发现:周投资者情绪对股票横截面收益有正向影响;月投资者情绪仅对小市值股票横截面收益有负向影响;周极端乐观和极端悲观情绪对股票横截面收益影响具有非对称性;市场对极端悲观情绪反应过度,对极端乐观情绪反应不足。

The unexplained variance of cross-section of stock returns by Fama-French model contains information on in- vestor sentiment. Using week- and month-horizon HAODAN index as the proxy of investor sentiment and adjusting them by holiday and seasonal variation, the paper groups the sentiment into four types ： optimistic, pessimistic, extreme, and non-extreme sentiment. By forming the size deeiles, BE/ME deci｜es, and size-BE/ME 35 portfolios, this paper tests whether the effect of（extreme） investor sentiment on eross-section of stock returns is significant after controlling for Fama-French factors. The results find that： the week-horizon sentiment has positive effect on stock returns; the month- horizon sentiment has negative effect only on small size stock returns; most importantly, the week-horizon extreme senti- ment has asymmetric effect on stock returns-the stock market tends to overreact to extreme pessimistic sentiment and underreaet to extreme optimistic sentiment.