新兴市场投资者情绪与价值溢价异象——基于中国内地、香港和台湾地区的比较分析

Research on Investor Sentiment and Value Anomaly in Emerging Market——Based on Evidence from the Stock Markets of China Mainland,Hong Kong and Taiwan

本文首先采用主成分分析法分别构建了中国内地、香港和台湾地区三大新兴市场月度投资者情绪指数。然后,基于账面市值比、盈利价格比、现金流价格比和红利价格比四种指标,全面探讨了三大新兴市场存在的价值溢价异象,发现投资者情绪对价值型和成长型股票收益率的影响程度不一致,导致了价值溢价异象的产生。最后,采用转换回归法验证了投资者情绪对价值溢价的预测能力,发现投资者情绪对三大股票市场的价值溢价均具有预测能力,但预测效果存在差异。

Using principal component analysis, this paper forms composite investor sentiment index in China Mainland, Hong Kong and Taiwan stock markets. And then we investigate the value premium in these three emerging markets, and find that the asymmetry effect of investor sentiment index on value stock and growth stock leads to value premium in these three emerging markets. At last, we find that investor sentiment index displays predictive power on value premium, but the forecasting ability is inconsistent in three emerging markets.