【作者】 梁丽珍；

【导师】 傅元略；

【作者基本信息】 厦门大学 ， 会计学， 2008， 博士

【摘要】 投资者情绪在证券投资过程中发挥着重要的作用,而且它是行为金融理论的基石之一。本文结合噪声交易者、投资者情绪构建了一个理论模型作为研究的基础,并通过此模型将投资者情绪与市场流动性联系起来。基于理论模型构造了投资者情绪测度,并用证券市场的有关数据从实证方面检验情绪测度指标是否可以显著地影响未来的资产价格行为,主要验证什么指标影响了投资者情绪、投资者情绪的对未来收益和下期情绪的预测能力等等。最后,以情绪指标作为参照构建一种投资策略并考察该策略是否可以在中国股市获得超额收益。本文的研究结果解决了以下几个方面的问题:如何从个股层面对投资者情绪构建测度指标?投资者情绪是否进入的资产的定价过程?市场面因素、基本面因素以及技术面因素是否显著地影响投资者情绪的变化?更进一步的问题是,当期和滞后的投资者情绪前三阶矩对未来的资产收益及其自身是否存在显著的预测力?最后,投资者情绪是否能在构造惯性/反转投资组合时提供额外的信息。针对这些问题,本文进行了实证检验,其研究结果的主要贡献有以下几点:(1)就投资者情绪对股票价格的影响的理论建模进行了改进,并从公司层次角度构造了投资者情绪的指标。基于改进后的理论模型,利用换手率构造了投资者情绪测度,作为进行深入经验研究的基础。实证结果发现基于流动性的测度和常见的基于高频数据的情绪指标存在很高的相关度,而且投资者情绪会显著地影响资产的价格行为并与市场流动性有正向关系。(2)综合考察市场面因素、基本面因素与技术分析方面的因素,分析2000年至2006年的数据,统计检验发现个股情绪演进受市场的影响并不显著,只是在短期内有所影响,而基本面因素中的价格、市盈率指标和个股收益惯性指标中的当期、滞后1期和滞后3到2期则较为显著地影响投资者情绪的变动。这对投资人了解市场运行和实务投资,并深入明白资本市场内在机制有重要意义。(3)利用时间序列回归检验发现:在2000年至2006年中国股市的投资者情绪测度对未来的资产收益有显著的影响;关于投资者情绪及其前二阶矩的信息,对未来的情绪研究也有了较为显著影响;而且市场收益、个股收益以及投资者情绪测度之间存在显著的互动关系。更多还原

【Abstract】 Investor sentiment plays a significant role in the processes of security investment, and it is one of the two important foundations of the behavioral finance theory. This thesis constructs a brief theoretical model with the investor sentiment, by which the sentiment is connected with the market liquidity. Based on the theoretical model, this paper sets up investor sentiment measures, and examines whether the sentiment measures can affect the behavior of asset pricing significantly in the empirical test and studies the investor sentiment from different aspects including investor sentiment, the predictability of investor sentiment for the future return. In the end, this paper takes the investor sentiment measures as the benchmarks to shape an investment strategy and analyzes whether this strategy can get excessive return in Chinese stock Market.This paper focuses on the following questions: how to construct the investor sentiment measures on the firm level? Does the investor sentiment affect the asset pricing? Do the market factors, fundamental factors or the technical factors affect the investor sentiment? Furthermore, does the first three moments of investor sentiment (including the lag sentiment) can forecast the return or sentiment? Last one, whether the sentiment can offer more information for the momentum portfolio?In this paper, there are several main contributions:(1) To improve the theoretical model of investor sentiment and to construct the measures of investor sentiment from the aspect of firms. Based on improved theoretical model, the empirical results which use the high-frequency data in this paper show that the investor sentiment and the measures are closely correlative to the indicators of the investment sentiment moreover, this empirical study finds that the measures of investor sentiment affect the asset price significantly and the investor sentiment has a positive correlation with the market liquidity.(2) To examine the market factors, fundamental factors, technical factors and to analyze the data between 2000 and 2006, this paper finds that the individual stock sentiment is not significantly affected by the market, but the market does affect the sentiment only in a short period; and finds that the stock price, P/E, one period lag momentum and three to two period lag momentum have a distinctive influence on the investor sentiment. It is very significant meaning that the result could make investors to understand the market running, the real investment and the intrinsic mechanism of the capital market.(3) To apply the time series regression with the data between 2000 and 2006, this paper finds that the measurement of investor sentiment has a significant influence on the future return, investor sentiment and it’s the 2nd moment information and also on its future research on the investor sentiment. There is an interactive relationship among market return, individual stock return and the measurement of the investor sentiment.更多还原