基于投资者情绪的AH股条件资产定价研究

Investor sentiment and conditional asset-pricing of cross-listed AH shares

文章采用主成分分析法分别构造AH股市场综合情绪指数,再运用条件贝塔参数随着投资者情绪和公司特征值变化的两阶段条件资产定价模型进行实证分析,结果表明:加入投资者情绪的条件定价模型,AH股定价的规模效应变得不显著,A股定价的B/M效应显著性明显下降,因此投资者情绪可以帮助定价模型捕捉股票定价异象,但A股定价受投资者情绪影响程度强于H股,不同市场的投资者情绪对资产定价影响程度差异是导致AH股双重上市公司同股不同价的原因之一。

Using principal component analysis, this paper separately constructs A-share s and H-share s composite indexes as proxy for market investor sentiment. In the two-pass conditional asset-pricing framework, this paper allows the Beta varying with investor sentiment and firm characteristics. The empirical results indicate： after incorporating investor sentiments in conditional pricing models, the size effects of A-share market and H-share market are no longer significant; meanwhile, the B / M effect of A-share market becomes less significant. Therefore,this paper draws the conclusion that incorporating investor sentiment as conditioning information in conditional assetpricing models improves the model performance in capturing asset-pricing anomalies, however, the improvement on A-share pricing is stronger than that on H-shares, which demonstrates that different market investor sentiments have different degrees of impacts on asset pricing, resulting in the price difference of dual-listed A and H-shares.