证券投资基金持股、情绪β与股票收益

Mutual Fund Holdings, Sentiment Beta and Stock Return

本文作者以2008年1月至2016年12月我国沪深A股上市公司为研究对象,从行为金融学领域的投资者情绪入手,研究股票情绪β对收益率及证券投资基金持股行为的影响。研究发现:情绪β与股票收益率呈负相关,证券投资基金倾向于少持有情绪β高的股票。相比市场情绪低落时,市场情绪高涨时,情绪β与收益率负相关性更为显著,与此相应,在市场情绪高涨之时,证券投资基金也更倾向于少持有情绪β高的股票。进一步研究发现,无论市场情绪高低,相比证券投资基金持股少的股票,证券投资基金持股多的股票情绪β对股票收益的负向影响均显著降低。本研究为证券投资基金及个人投资者的投资决策提供了实证依据。

Using a sample of A-share listed companies over a period of 2008 to 2016, we identify how sentiment beta affects the cross-section of stock returns and how mutual funds employ portfolio strategies based on market sentiment. We find that sentiment beta are negatively correlated to stock return and the mutual funds tend to hold less stocks with high sentiment beta. This link is stronger when the market tone is pessimistic. We also find that no matter the market tone is pessimistic or optimistic, the negative correlation between senti- ment beta and stock return will decrease in the stocks held in heavy positions by the mutual fund. This paper provides an empirical reference for both mutual funds and individual investors to make investment decisions.