摘要
风险补偿系数表示投资者承担单位风险所要求的收益补偿,也反映了风险与收益之间的关系.本文以美国股票市场为研究对象,首先通过构建的TVA-GARCH-M模型考察了投资者风险补偿系数的时变特征,在此基础上运用格兰杰因果关系检验和线性回归方法研究了美国市场上整体投资者情绪与时变的风险补偿系数的关系,结果表明:投资者的风险补偿系数随时间发生变化,投资者情绪与时变风险补偿系数存在显著的负相关关系,且美国股市整体投资者情绪能格兰杰引起时变风险补偿系数的变化;同时投资者情绪负向影响着时变风险补偿系数,乐观情绪的变动会导致时变风险补偿系数降低,而悲观情绪的变动会使得时变风险补偿系数增加.
The coefficient of risk compensation shows the compensation required by investors for taking each unit of risk, which also reflects the tradeoff between risk and return. Using data in the US stock market, this paper firstly builds a TVA-GARCH-M model to analyze the time-varying characteristics of investors＇ risk compensation coefficient. Then the relationship between the aggregate investor sentiment and the time-varying risk compensation coefficient in US stock market are investigated by using the granger causality test and the linear regression model. The results show that the coefficient of investors＇ risk compensation changes over time, and it is negatively related to aggregate investor sentiment. What＇ s more, the aggregate investor sentiment has a negative effect on the time-varying risk compensation coefficient. Particularly, investors with optimism sentiment will decrease their time-varying risk compensation coefficient while investors with pessimism sentiment will make their time-varying risk compensation coefficient increase.
作者
贺志芳
文凤华
黄创霞
杨晓光
郑石明
HE Zhi-fang;WEN Feng-hua;HUANG Chuang-xia;YANG Xiao-guang;ZHENG Shi-ming(School of Business, Jiangnan University, Wuxi 214122, China;School of Business, Central South University, Changsha 410081, China;School of Mathematics and Computer Science, Changsha University of Science and Technology, Changsha 410114, China;Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;School of Public Administration, South China University of Technology, Guangzhou 510641, China)
出处
《管理科学学报》
CSSCI
CSCD
北大核心
2017年第12期29-38,共10页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(71701081
71471020
71371195)
江苏省教育厅高校哲学社会科学基金资助项目(2017SJB0816)
