摘要
宏观风险因子作为股票市场面临的系统性风险，在股票的横截面收益中，应该被正确定价。本文基于投资者情绪视角，以上海证券交易所2003～2011年A股股票数据为样本，利用样本匹配以及构造动态组合的方法实证检验了投资者情绪对基于宏观因子套利定价的影响。结果发现，相对于低情绪期，高情绪期所有风险组合的收益都要高；高情绪期，高低风险组合的收益差比低情绪期小；低情绪期，高风险组合的收益比低风险组合的收益高。投资者情绪是宏观风险因子没被显著定价的一个解释因子，将投资者情绪的变化作为风险因子，实证证明，该因子是股票市场面临的系统性风险。研究结果将为我国宏观经济的研究提供有意义的经验证据。
Whether investors will be affected by sentiment when making a decision as well as whether investor sentiment affects stock returns, this problem has been the economist＇ s long-standing research interests. At least as early as Keynes （1936）, a large number of authors believe that sentiment-driven investors can cause stock price de- viate from its fundamental value. The traditional finance which regards the efficient market hypothesis as the core ar- gue that this deviation can modified by the rational arbitrage in the market. However, when arbitrage is incomplete, the impact of sentiment on the stock price should not be underestimated. Macro risk factors are systemic factors affecting stock returns in the stock, should be priced correctly in the cross-section of stock returns, that is, portfolios which are higher sensitive to macro factors should earn higher stock returns. However ,when we construct portfolios according to their sensitivity to macro factor, we find that portfolios with higher sensitivity do not earn higher returns. Moreover, the return spreads between high-risk and low-risk port- folios are not positive. Specifically, the average return spread between high-risk and low-risk portfolios is -0. 004 and significant at 1% level, this is obviously incompatible with the traditional economic theory. Does this phenomenon relate to investor sentiment？ This paper attempts to start from this point of view, explore the role of investor senti- ment in the pricing of macro risk factors. Based on the perspective of investor sentiment, using all A-share stock data of Shanghai stock exchange from 2003 to 2011 as sample, this paper examines the relationship between investor sentiment and macro economy. First of all, select the closed-end fund discount, turnover, number of new accounts, the consumer confidence index, refer- ence to the method of Baker ＆ Wugler （2006）, using principal component analysis to build investor sentiment in- dex ; Then, based on literature, this paper choose seven macro risk
出处
《经济管理》
CSSCI
北大核心
2014年第5期133-142,共10页
Business and Management Journal ( BMJ )
基金
国家自然科学基金资助项目"市场微观结构
特质波动率异象与max效应"(71371113)
山西省高校人文社会科学重点研究基地项目"基于心理异质信念的行为金融研究"(2011305)
教育部人文社会科学研究项目"市场微观结构
流动性风险与max效应"(13YJA790154)
关键词
投资者情绪
宏观风险因子
贝塔组合
investor sentiment
macro-risk factor
beta-sorted portfolios
