情绪周期与股票收益——基于中国股票市场月相效应的检验  

Investor Sentiment Cycle and Stock Returns:An Empirical Study of the Lunar Effect in China's Stock Market

作　　者：李小晗[1] 

机构地区：[1]上海财经大学会计学院

出　　处：《中国会计评论》2009年第4期383-418,共36页China Accounting Review

基　　金：上海财经大学会计与财务研究院的资助;教育部人文社会科学重点研究基地重大项目"转轨经济中的公司治理与控制权收益"(06JJD630016);曙光计划"中国证券分析师行业的运行效率及其监管机制研究"的阶段性成果。

摘　　要：本文采用月相变化这一外生变量衡量投资者情绪的周期性波动,使研究避开了复杂的社会影响过程而专注于外生性的影响。研究发现,股票收益的运行轨迹与投资者情绪周期性波动的轨迹相同,即股票收益会随着投资者情绪的周期性波动而呈现出同样频率的循环性波动。这一现象无论在机构投资者重仓还是中小投资者重仓的股票中均存在,而机构投资者持股比例的增加可以减弱投资者情绪周期波动对决策行为的影响。股市周期作为一种经济环境的刺激变量,在牛、熊市下对投资者机体变量的作用不同,导致其反应变量出现不同程度的变化,在牛市阶段,投资者情绪周期波动对股票收益的影响更为强烈。与非周期性行业相比,投资于周期性行业时,决策所涉及的风险和不确定性更大,放大了情绪波动对于决策行为的作用,导致股票收益随投资者情绪周期性波动而循环性波动的现象在周期性行业中更为明显。This paper takes the phase of moon as an exogenous proxy variable for investor sentiment, which is observable and exogenous to economic and social activities. The evidence indicates that stock return＇s cycle is about the same length as a sentiment cycle, which suggests the influence of the investor sentiment on the decision-making process. To be specific, stock returns are lower on days around a full moon than on days around a new moon. The return differences are statistically and economically significant during the sample period. Since lunar phases are likely to be related to investor mood and are not related to economic activi- ties, the findings are thus not consistent with the predictions of traditional asset pricing theories that assume fully rational investors. The association identified between lunar phases and stock returns suggests that it might be valuable to go beyond a rational asset pricing frame- work to explore investor behavior. Additionally, this phenomenon exists not only in the stocks that are held mostly by indi- vidual investors, but also in the stocks that are held mostly by institutional investors. However, this phenomenon becomes less pronounced as the institutional ownership getting higher. Interestingly, the degree of the sentiment influence seems to vary across different phases of stock market cycle. The stronger sentiment effect is found during the bull market. Another interesting observation is that the magnitude of this effect is larger in the cyclical industry than in the nonyclical industry, because the decision-making involves more risk and uncertainty when investing the cyclical industry, which magnifies the influence of the sentiment. The robust test shows that the return difference is not due to changes in stock market volatility or trading volumes. And the lunar effect is not explained away by announcements of macroeconomic indicators. Moreover, the lunar effect is independent of other calendar-related anomalies such as the January effect, the day-of-week effect, the calen

关 键 词：股市周期 行业性质 信念 情绪周期 股票收益 

分 类 号：F224[经济管理—国民经济] F832.51