投资者情绪影响因子及代理变量的路径分析——基于预期分析的角度  

Influential Factors and Proxy Variables of Investor Sentiment:A Path Analysis Based on Analysis of Expectation

作　　者：王学超[1] 陈伟忠[1] 

机构地区：[1]同济大学经济与管理学院

出　　处：《投资研究》2013年第6期77-90,共14页Review of Investment Studies

基　　金：上海社科基金(2011BGL014);国家自然科学基金(71173153)的资助

摘　　要：投资者情绪是投资者有限理性预期的外在表现,其形成的前提和基础是投资者预期。基于二者关系分析,本文从宏观经济预期、股票市场表现及预期、新闻媒体影响、投资者期望收益四个方面选择了宏观经济景气指数、指数收益率、交易量、新闻报道数量及投资者期望收益率五个指标,利用路径分析法分析了上述五个指标对投资者情绪的四个代理变量:消费者信心指数、新增开户数、换手率与市盈率的影响关系,构造了上述变量的路径分析模型。Investor sentiment is the outward manifestation of irrational expectation, and its premise and the foundation is the inves- tor expectation. Our analysis is based on the relationship between expectation and sentiment. From four aspects： macro-economic expectation, stock market performance and expectation, influence of the media, investors＇ earnings forecasts, we select five indica- tors： macro-economic prosperity index, return of SSE composite index, trading volume, quantity of news, investors＇ earnings fore- casts. By path analysis, we analyze the relations between those five indictors and the following four proxy variables： consumer con- fidence index, number of new accounts, turnover and price/earnings ratio of stock market, and construct a model to analyze their re- lations.

关 键 词：投资者情绪 预期 影响因子 路径分析 

分 类 号：F224[经济管理—国民经济] F830.59