投资者情绪对股票超额收益影响的差异性分析  

Differential Analysis of the Impact of Investor Sentiment on Stock Excess Returns

作　　者：肖强 焦梦茹 XIAO Qiang;JIAO Meng-ru(School of Statistics and Data Science,Lanzhou University of Finance and Economics,Lanzhou 730020,China;School of Finance and Economics,Zhengzhou Institute of Science and Technology,Zhengzhou 450064,China)

机构地区：[1]兰州财经大学统计与数据科学学院,甘肃兰州730020 [2]郑州科技学院财经学院,河南郑州450064

出　　处：《兰州财经大学学报》2025年第2期115-124,共10页Journal of Lanzhou University of Finance and Economics

基　　金：国家自然科学基金项目“分位数动态因子模型的构建及其应用”(72163019);国家自然科学基金项目“基于混频FASTVAR模型的FCI构建及其应用”(71763016);甘肃省青年博士基金项目“基于贝叶斯分位数动态因子模型的经济增长脆弱性分析”(2021QB-094)。

摘　　要：以资产定价模型理论和投资者情绪理论为理论基础,基于分位数回归模型和投资者情绪指标构建,选取2003-2022年A股股票市场数据为研究样本,测度了投资者情绪对股票超额收益率影响的差异性。实证结果表明:(1)从投资者情绪对股票超额收益率的正负影响看,投资者情绪对低、中超额收益率的影响是负向的,对高超额收益率的影响是正向的。(2)从投资者情绪对股票超额收益率的影响程度看,投资者情绪对低、高超额收益率的影响相对较大。(3)从投资者情绪对不同行业股票超额收益率的影响程度看,在低超额收益率水平下,不同行业超额收益率受投资者情绪的影响差异不大;在高超额收益率水平下,投资者情绪对金融、综合和工业三个行业的股票超额收益影响较大。因此,政府和投资者要重视投资者情绪对股票超额收益率影响的差异性,有针对性地采取措施,以维持股票市场稳定。Based on asset pricing model theory and investor sentiment theory,this paper develops an quantile regression model incorporating investor sentiment.Using A-share stock market data from 2003 to 2022 as a sample,it measures the differential impact of investor sentiment on stock excess returns.The empirical results show:(1)In terms of the positive or negative effects of investor sentiment on stock excess returns,investor sentiment negatively impacts low and medium excess returns,while positively affecting high excess returns.(2)Regarding the degree of impact,investor sentiment has a relatively sig-nificant effect on both low and high excess returns.(3)Concerning the impact on excess returns across industries,at low excess return levels,the influence of investor sentiment on excess returns is relatively uniform across industries.At high excess return levels,investor sentiment significantly affects excess re-turns in the financial,comprehensive,and industrial sectors.Therefore,governments and investors should pay attention to the differential impact of investor sentiment on stock excess returns and adopt tar-geted measures to maintain stock market stability.

关 键 词：投资者情绪 资产定价模型 股票超额收益 分位数回归 

分 类 号：F832.51[经济管理—金融学]