情绪预测性与市场择时  

The Predictability of Sentiment on Asset Returns and Market Timing

作　　者：胡昌生[1,2] 池阳春[1,2] 

机构地区：[1]武汉大学经济与管理学院 [2]武汉大学证券研究所

出　　处：《投资研究》2014年第4期101-119,共19页Review of Investment Studies

基　　金：国家自然科学基金"投资者情绪;资产估值与资产价格异常波动研究"(项目批准号:7097110);教育部人文社科规划项目"投资者情绪与资产价格异常波动性研究"(项目批准号:09YJA790156);中央高校基本科研业务费专项基金(项目批准号:105274906)的资助

摘　　要：本文将投资者情绪划分为理性与非理性,考察了二者在不同期间水平上对资产收益的预测性。我们发现,理性与非理性情绪都能预测未来收益,但在不同期间水平上特征不同。非理性情绪预测性经历了一个从短期为正逐渐向长期为负的转变过程,而理性情绪预测性在所有期间水平上都呈现出一致为正的特征。两种情绪预测性的不同特征意味着,我们可以根据情绪信号制定一种行之有效的交易策略来解决市场择时问题获得稳定的超额收益。本文的实证结果表明,股票市场的确存在稳定的盈利法则,即在短期顺势而为,长期逆向思维。This paper distinguishes investor sentiment to rational and irrational and studies their predictions on asset returns in different time horizons. We find that both rational and irrational sentiment can predict future asset returns, but demonstrate some different characteristics. The prediction of irrational sentiment go through a process from positive to negative, while rational sentiment consistently predicts asset returns in all horizons. This difference indicates that we can find an effective trading strategy to solve the problem of market timing and generate stable excess returns. The empirical results show that there exists a money-making law in the stock market. That is, in the short run, we should follow the trend. However, in the long run, we should think in another way.

关 键 词：投资者情绪 情绪预测性 市场择时 

分 类 号：F830.59[经济管理—金融学] F830.91