投资者情绪、平均相关性与股市收益

Investor Sentiment,Average Correlation and Stock Market Returns

Pollet和Wilson的研究认为,股市平均相关性-收益关系比股市波动-收益关系能够更好的阐述总体风险-收益关系。本文研究了投资者情绪对股市平均相关性-收益关系的影响。实证结果表明,相比于股市波动,平均相关性对股市预期收益的解释能力明显增强,并且在低情绪期,平均相关性-收益之间的关系并不显著,而在高情绪期,平均相关性-收益关系被削弱为显著的负相关关系,这表明高情绪会削弱总体风险-收益关系。这一结论在随后的稳健性检验中被证明是稳健的。

Pollet and Wilson said that the average correlation–return relation will be better than the mean–variance relation as proxy for the overall risk-return relation in the capital market.The correlation between investor sentiment and the average correlation-return relation is studied in this paper.After using data from 2001 to 2011in the Chinese stock market to construct a investor sentiment index,the following empirical results are obtained.Compared with the stock market variance,the average correlation＇s ability is better than the stock market variance in forcasting earings,while in the low-sentiment periods,the average correlation-return relation is not significant,but during the high-sentiment periods,average correlation-return relation has been weakened significantly,even become a negative correlation.This shows that high sentiment will weaken the overall risk-return relationship.The conclusions＇ robustness has been proved in the subsequent robustness test,which shows a new mechanism of investor sentiment＇s influence on expected returns.