投资者情绪和资产定价异象

Investor sentiment and asset pricing anomaly

在以个人投资者为主体的中国股票市场中,投资者情绪对资产价格的影响非常重要.本文将投资者情绪和宏观经济变量加入到条件CAPM模型中,采用Avramov和Chordia(2006)的两步回归分析框架,检验了包含投资者情绪信息和宏观经济变量的条件资产定价模型对我国股票市场收益异象的解释力.实证结果表明,包含IPO首日收益率为投资者情绪信息的条件CAPM模型能够显著解释我国股市中的特质波动率之谜,规模效应和价值效应,经济不确定性指数作为额外的宏观经济变量加入条件CAPM模型能够解释我国股票市场的非流动性溢价,实证结果对于不同的度量指标都很稳健,进而证实了投资者情绪因素在资产定价过程中的重要作用.

The impact of investment sentiment on.asset prices is very important in the Chinese stock market,which is dominated by individual investors.The investor sentiment and macroeconomic variables are added to the conditional CAPM model,using two steps regression analysis framework of Avramov and Chordia(2006).We examine the explanatory power of the conditional asset pricing model including investor sentiment information and macroeconomic variables on Chinese stock market’s anomalies.The empirical results show that the conditional CAPM model containing information about IPO first-day return as investor sentiment can explain the puzzle of the idiosyncratic volatility,the scale effect and value effect in China stock market significantly.Economic uncertainty index as an additional macroeconomic variable in conditional CAPM model can explain the illiquidity premium of the stock market in China stock market.The empirical results are robust for different measure of idiosyncratic volatility and illiquidity.The result confirms that the investor sentiment plays an important role in asset pricing.