一冷一热总关“情”:情绪beta与股票市场动态风格转换

Up and Down of Stock Movement is Caused by Sentiment:Sentiment Beta and Stock Market Style Dynamic Preference Shift

交易量之谜是一种典型的金融异象。采用主成分分析法构造投资者情绪指数,基于滚动回归法提取个股的情绪beta,通过建立横截面回归模型,研究市场层面的“热点”产生和风格轮动现象。研究发现:股票的情绪beta最能捕捉到市场的“热点”产生和风格轮动特征,市场中“热点”的切换很大程度上存在于高情绪beta组合和低情绪beta组合之间;中期收益是市场风格偏好发生动态转换最为重要的影响因素,前6个月平均收益越低的情绪beta极端组合越有可能成为当前市场的“热点”;情绪beta风格偏好动态转换对资产组合收益有系统性的影响,这种影响在不同的情绪状态下会表现出不同的特征。

The mystery of trading volume is a typical financial anomaly.Employ the principal component analysis method to construct investor sentiment index,and extract the sentiment beta of individual stocks based on rolling regression method.Then,construct the cross section regression model to study the formation and switching of the market level"hot spot".By comparing several kinds of style categories,the results show that:Sentiment beta style category can capture the features of the formation and switch of the market-wide"hot spot"most,the rotation of the market wide"hot spot"is largely shifting between high and low sentiment beta portfolios.Medium-term return is the most important factor that can influence market dynamic style preference shift,the lower the past six month average return,the better chance the style to become the current"hot spot".Sentiment beta style preference shifts are systematic factor that influence asset returns,which shows different characteristics in different sentiment states.