农历节气视阈下投资者情绪对股票超额收益的影响研究基于新浪微博的经验数据

The Influence of Investor Sentiment on Excess Stock Returns under the Perspective of Solar Terms in the Lunar Calendar——Evidence from Sina Weibo

论文以新浪微博中“上证指数”为搜索关键词进行计算机文本挖掘,构建投资者情绪指数;基于Fama-French三因子、五因子模型构建考虑农历节气效应的新模型并分析农历节气与投资者情绪对股票超额收益的交乘效应。实证结果表明,投资者情绪对股票超额收益率的影响较为显著;农历节气和投资者情绪指数的交乘效应不确定。

This paper uses Shanghai Composite Index as the searching keyword of Sina Weibo in order to do computer text mining, and then constructs investor sentiment index. Based on Fama-French three factor and five factor models, new models are built according to effect of lunar solar terms.After that, the intersection effect is analyzed between solar terms effects and investor sentiment which may or may not generate an excess stock returns. Results show that investor sentiment does have a significant correlation with excess stock returns, and that the intersection effect of lunar solar terms and investor sentiment is uncertain.