有限关注、投资者情绪与绿色溢酬--基于融合深度学习技术的动态集成网络定价模型  

Limited Attention,Investor Sentiment and Green Premium:An Analysis Based on Dynamic Integrated Network Pricing Model with Deep Learning Techniques

作　　者：杨科[1,2] 胡楠 田凤平[3] Yang Ke;Hu Nan;Tian Fengping

机构地区：[1]华南理工大学经济与金融学院 [2]人工智能与数字经济广东省实验室(广州) [3]中山大学国际金融学院

出　　处：《统计研究》2024年第11期129-141,共13页Statistical Research

基　　金：国家自然科学基金青年项目“我国期权隐含信息下的方差风险溢酬:估计、特征与应用”(72201284);教育部人文社会科学研究规划基金项目“高频数据环境下的原油期货市场波动率预测研究:基于深度学习和传统模型的融合视角”(22YJA790077);中央高校基本科研业务费专项资金“金融高水平开放下防范化解外部金融危机冲击风险研究”(QNTD202305);广东省基础与应用基础研究基金资助项目“深度学习算法驱动的大宗商品期货市场高频波动率预测建模与应用”(2024A1515011002)。

摘　　要：本文基于自动编码深度学习技术和长短期记忆网络构建动态集成网络定价模型,选取上证180碳效率成分股作为研究样本,通过量化主要定价特征的边际贡献,分析投资者有限关注和个人投资者情绪等在我国绿色股票定价中的传导效应。实证结果表明,具有多层网络结构的动态集成网络定价模型能够捕捉公司特征和预期收益的非线性关系,从而更好地刻画绿色企业的风险溢价。此外,有限关注特征、价格动量特征、个人投资者情绪特征是我国绿色股票关键的定价因素,研发信息等绿色化成本因素也可通过有限关注、个人投资者情绪渠道间接影响绿色溢酬。鉴于研发信息等对绿色溢酬的重要影响,需进一步完善绿色企业研发信息披露机制,为投资者提供准确透明的绿色化成本信息,进而加强投资者对企业绿色信息的认知识别能力,实现企业绿色研发投入与市值增值的良性循环。This paper proposes a novel dynamic integrated network pricing model based on autoencoder and Long Short-Term Memory(LSTM)networks.Selecting the SSE 180 Carbon Efficient Index constituents as the research sample by quantifying the marginal contributions of key pricing features,we further analyze the transmission effects of limited investor attention and individual investor sentiment in the pricing of green stocks in China.The empirical results show that the proposed model can capture the non-linear relationship between company characteristics and expected returns,better depicting the risk premium of green enterprises.Furthermore,the characteristics of limited attention,price momentum and individual investor sentiment characteristics in China are crucial pricing factors for green stocks.Research and development(R&D)information and other green cost factors can indirectly affect the green premium through channels of limited attention and individual investor sentiment.Given the significant impact of R&D information on green premia,we propose enhancing the disclosure mechanisms for green firms'R&D activities,This would provide investors with accurate and transparent information on green transformation costs,thereby strengthening their ability to recognize and evaluate firms'green information,and fostering a virtuous cycle between green R&D investments and market value appreciation.

关 键 词：绿色溢酬 深度学习 有限关注 投资者情绪 

分 类 号：F832.5[经济管理—金融学]