投资者情绪对股票收益的影响——来自股吧评论的分析  

Impact of Investor Sentiment on Stock Returns: An Analysis from Stock Bar Comments

作　　者：刘倩 LIU Qian(School of Statistics and Data Science,Lanzhou University of Finance and Economics,Lanzhou 730000,China)

机构地区：[1]兰州财经大学统计与数据科学学院,兰州730000

出　　处：《科技和产业》2024年第24期203-209,共7页Science Technology and Industry

摘　　要：以沪深300指数的主要成分股为研究对象,探讨了投资者情绪对股票市场的具体影响。首先提出了四种不同的投资者情绪因子构建方法,并通过分析东方财富股吧的情绪信息,确定了最有效的情绪因子构造方法。接着,将构建的投资者情绪指数与传统的金融指标相结合,运用Fama-French四因子模型和随机森林模型对情绪因子对股票收益率的影响进行了深入分析。结果表明,投资者情绪因子对股票收益率的变化具有显著的预测能力。Taking the main component stocks of the CSI 300 index as the research object,the specific impact of investor sentiment on the stock market was explored.Firstly,four different methods for constructing investor sentiment factors were proposed,and the most effective method by analyzing the sentiment information from the East Money stock bar was determined.Next,the constructed investor sentiment index was combined with traditional financial indicators,and the Fama-French four-factor model and random forest model were used to conduct in-depth analysis of the impact of sentiment factors on stock returns.The results show that investor sentiment factors have a significant predictive ability for changes in stock returns.

关 键 词：投资者情绪 沪深300指数 Fama-French四因子模型 随机森林 股票收益率 

分 类 号：F832.5[经济管理—金融学]