个股情绪与股市周期性波动——对我国A股市场的实证分析

Analysis on Mood Beta and Seasonality in Stock Returns of Chinese A-shares

投资者情绪是影响资产定价的重要因素,本文首次构建了衡量个股情绪的beta指数,对A股收益的周期性波动进行研究。研究表明,A股市场存在显著的情绪重复和反转效应,个股情绪可对其进行解释;个股情绪与情绪高涨(低迷)期股票超额收益率正(负)相关,与传统市场情绪相比,个股情绪对股票未来收益的预测能力更强;对不同特征的公司加以区分后,上述结果稳健,非国企、存在海外业务及处于西部地区的公司,受个股情绪的影响更大。

Investor sentiment plays an important role in determining asset pricing.We construct a mood beta for individual shares and examine the cross-sectional seasonality of stock excess returns in A-shares in China.We find that stocks’historical excess returns are positively related to their future excess returns under a congruent-mood period and negatively associated with their future excess returns under a noncongruent-mood period.We further find that seasonal variations of A-shares stock prices in China are,if not all,partly explained by mood beta.Thirdly,we indicate that mood beta is a better predictor than sentiment beta across mood periods.Stocks with high mood beta stocks tend to outperform in ascending mood months and underperform in descending mood months.Mood beta has stronger explanatory power compared to sentiment beta during ascending and descending mood months.Finally,after separating companies based on different characteristics,the above results remain robust.Non-SOE companies with overseas businesses and those located in western regions of China are prone to be affected by mood beta.