基于内生情绪传染的资产定价研究  

Endogenous Sentiment Contagion and Asset Pricing

作　　者：吴慧慧 Wu Huiui(Yangzhou University)

机构地区：[1]扬州大学

出　　处：《金融发展评论》2022年第10期67-79,共13页Financial Development Review

基　　金：江苏省双创博士项目(项目编号:JSSCBS20211049);扬州大学科研启动项目(项目编号:137012291);扬州大学人文社会科学基金项目(项目编号:xjj2021-32);扬州市“绿扬金凤计划”优秀博士项目(项目编号:YZLYJFJH2021YXBS167)的资助。

摘　　要：基于个人投资者主动追逐机构投资者情绪的内生情绪传染机制,本文建立考虑情绪传染的投资者情绪资产定价模型,考察机构投资者情绪对资产定价的影响,并探究机构投资者情绪传染效应对资产定价的影响机制。进一步地,本文使用2013年1月1日至2021年12月31日上证综指数据,实证检验上述理论模型结论。研究表明,机构投资者情绪负向预测股票未来收益,且机构投资者情绪对个人投资者情绪的传染效应越强,机构投资者情绪对股票未来收益的负向影响越大。Based on the endogenous sentiment contagion mechanism which refers to the process of chasing institutional investor sentiment actively by individual investors, this paper sets up a sentiment asset pricing model by considering sentiment contagion, investigating the impact of institutional investor sentiment on asset pricing, and exploring the impact mechanism of institutional investor sentiment contagion effect on asset pricing. Further, this paper selects the data of Shanghai Composite Index from January 1, 2013 to December 31, 2021 to test the theoretical prediction. The results show that institutional investor sentiment has a negative impact on future stock return, and the contagion effect of institutional investor sentiment on individual investors can significantly increase the negative impact of institutional investor sentiment on future stock return.

关 键 词：机构投资者情绪 个人投资者情绪 内生情绪传染 资产定价 

分 类 号：F832.51[经济管理—金融学]