| 中国股市横截面收益特征与投资者情绪的实证研究 |
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| 引用本文： | 张强,杨淑娥. 中国股市横截面收益特征与投资者情绪的实证研究[J]. 系统工程, 2008, 26(7) |
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| 作者姓名： | 张强 杨淑娥 |
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| 作者单位： | 上海对外贸易学院,金融管理学院,上海,201620 |
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| 基金项目： | 上海市教委资助项目，上海对外贸易学院贸易与发展研究会资助项目 |
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| 摘 要： | 以中国股市1998年5月至2007年4月交易数据为研究样本，对股票横截面收益特征进行实证分析，结果显示，贝塔系数与股票预期收益间关系与理论相反，而股票市值、账面市值比等指标亦可以预测股票预期收益，且这种关系具有阶段性特征。应用非预期投资者开户增长率作为投资者情绪指数，对投资者情绪波动与特征组合收益进行回归分析，证实投资者情绪波动是导致上述现象的主要原因。
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| 关 键 词： | 特征组合 股票横截面收益 投资者情绪 |
Empirical Study on the Cross-section Stock Returns and Investor Sentiment in China's Stock Markets |
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| ZHANG Qiang,YANG Shu-e. Empirical Study on the Cross-section Stock Returns and Investor Sentiment in China's Stock Markets[J]. Systems Engineering, 2008, 26(7) |
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| Authors: | ZHANG Qiang YANG Shu-e |
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| Affiliation: | School of Finance;Shanghai Institute of Foreign Trade;Shanghai 201620;China |
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| Abstract: | This paper selects the trading data in China stock markets between May of 1998 and April of 2006 as sample. An empirical study is made to analyzes the characteristics of the cross-section stock returns.The results show that the relation between expected stock returns and beta is negative,which is opposite to theory.The marketable value and the ratio of book equity value to marketable value etc can also forecast expected returns and the relation between them show the periodic characteristics.Moreover,regress... |
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| Keywords: | Characteristic Portfolio Cross-section Stock Returns Investor Sentiment |
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