基于投资者情绪的资产定价理论及实证研究

Asset Pricing Theory and Empirical Study Based on Investor Sentiment

中文关键词:  投资者情绪  情绪资产定价理论模型  主成分分析  投资者情绪综合指数

英文关键词:investor sentiment  sentiment capital asset pricing model  principal component analysis  investor sentiment composite index

中文摘要:

      构建了基于投资者情绪的资产定价理论模型,并利用实证研究方法对该理论模型进行了实证检验。采用主成分分析方法,构造投资者情绪综合指数CSI；在Carhart提出的四因子资产定价模型基础上加入情绪因子CSI,证明了小市值规模和成长性公司股票更容易受情绪交易活动特征影响；证明了加入投资者情绪因子以后,情绪资产定价模型理论和实证可靠性；验证了投资者情绪理论核心假设:即投资者情绪风险因子是资本资产定价模型的风险因子,需要对受投资者情绪影响股票补偿额外情绪风险溢价,投资者情绪因子是影响资产定价重要因素。

英文摘要:

      A theoretical model for sentiment asset pricing has been builted, using empirical research methods to make an empirical test on the theoretical model. Principal component analysis method has been adopted to construct the sentiment composite index (CSI). Based on the four-factor asset pricing model by Carhart (1997), the sentiment factor CSI is added to prove that the small-scale and small-cap growth stocks are more vulnerable to be affected by trading activities of sentiment characteristics. It has proven the theoretical and empirical reliability of sentiment asset pricing model after investor sentiment factor is added. It testifies the core assumptions of investor sentiment theory:investor sentiment is a risk factor for capital asset pricing model, investor sentiment has affected the stock-based compensation for additional premium of sentiment risk and the investor sentiment factor is an important factor affecting asset pricing. 