投资者情绪、意见分歧与股票错误定价——基于中国A股市场经验数据

Investor Sentiment,Disagreement and Stock Mispricing——Evidence from Chinese A-share market

基于行为金融学的视角,研究了二级市场上投资者情绪、意见分歧对股票未来收益率的解释能力。研究发现,意见分歧程度与未来收益率存在显著的负相关关系,且在情绪高涨期尤为突出;投资者情绪对股票未来收益产生负向影响,投资者情绪越高涨,股价越容易被高估,当意见分歧较大时,投资者情绪的影响更大。而且,在意见分歧与投资者情绪的共同作用下,意见分歧越严重、投资者情绪越高,投资者对股价的非理性反应越强烈,股票价格偏离其基本价值的幅度越大,随后一期股票收益率回调得越多。本研究试图从意见分歧与投资者情绪相结合的角度,理解我国股票市场中投资者的行为,可为监管部门提供决策参考。

This paper studies the effects of investors＇ sentiment and disagreement on the future stock returns based on the behavioral finance perspective.We find that higher disagreement among investors＇ opinions predicts significantly lower future stock returns,especially during higher investors＇ sentiment.Investors＇ sentiment has a negative impact on future stock returns,the stock prices are more likely to be overvalued when the sentiment is higher,especially when the disagreement is big,the impact of sentiment is more serious.Moreover,under the mutual effects of investors＇ sentiment and disagreement,investors＇ irrational responses to the stock price are more powerful when the disagreement is big and investor sentiment is higher,at this time,the deviations from fundamental value is very large and the stock return in the future is lower.This study tries to understand the behavior of stock market in China from the perspective of investor sentiment and disagreement,it can provide decision-making reference for regulators.