投资者情绪、市场关注度与股票收益  

Investor Sentiment, Attention and Stock Returns

作　　者：黄锐[1] HUANG Rui(Guangdong University of Finance,Guangzhou,Guangdong, 510521)

机构地区：[1]广东金融学院金融系,广东广州510521

出　　处：《韩山师范学院学报》2017年第4期95-102,共8页Journal of Hanshan Normal University

基　　金：国家自然科学基金青年项目(项目编号:71603059);教育部人文社会科学研究青年项目(项目编号:13YJC790117);2014年广东省哲学社会科学学科共建项目(项目编号:GD14XYJ06)

摘　　要：我国股票市场中的投资者大部分是散户,投资者情绪对市场回报率的影响也较明显。通过检验情绪因子能解释市场及个股回报率,在控制了其它因子的情况下,当期投资者情绪、投资者情绪变化率和关注度变化率是当期市场或个股回报率的正向指标,而滞后1个月和6个月情绪因子为负向指标,且在市场上涨和下跌阶段存在不对称性。通过买进上期次低情绪因子或最低关注度因子的股票投资组合策略,在本期能获利最大,反之则获利最小。这表明,市场操纵者往往利用中小投资者的心理弱点,通过媒体择机公布利好或利空,引导普通投资者的情绪和关注度,从而达到出货或吸货的目的。必须加强信息披露管理,打击通过消息操纵市场的行为,正确引导投资者,才能使股市往健康的方向发展。The majority of China’s stock market investors is retail investors,so investor sentiment influence on the market return may be obvious.The empirical results show that,in the case of controlling other factors,the current investor sentiment,the rate of change of investor sentiment and the rate of change of attention are positive indicators of the current market or individual stocks returns,however,1month lagged mood factor,6months lagged mood factor are negative indicators.There is asymmetry in the up and down market stage.Buying the second lowest emotional factor portfolio or the lowest attention factor portfolio can maximize profits,and vice versa.Market manipulators may tend to use the psychological weakness of retail investors and control the media to announce good or bad news in order to guide the mood and attention of retail investors and make profit.It is necessary to strengthen the management of information disclosure,to crack down the behavior of market manipulation,to guide retail investors correctly,and to keep the stock market healthy.

关 键 词：情绪因子 关注度因子 多因子模型 投资策略 

分 类 号：F830.9[经济管理—金融学]