投资者情绪效应的度量方法述评

Review of investor sentiment measure ment methodology

文章简要回顾基于投资者情绪的定价模型,在基于投资者情绪的实证成果上,系统地梳理和归纳现有文献中有关投资者情绪度量的6种方法:直接调查法、间接表示法、主成分分析方法、偏最小二乘方法、动态因子建模方法及文本挖掘方法等.最后针对情绪效应研究方法中存在的不足,提出了未来的发展方向.

In this paper, asset pricing models based on investor sentiment are briefly reviewed. Based on many empirical research achievements, the existing six methods for measuring investor sentiment are systematically summarized： direct investigation, indirect representation, principal component analysis, partial least squares, dynamic factor model, test mining. Future development direction is finally pointed out according to the limita-tions of the research methods about investor sentiment analysis.