基于情绪指标的投资策略盈利性考察

基于新的投资者情绪变量,对中国股市相对强势策略的收益进行深入考察。通过构建的两个投资者情绪测度,可以使得在构建投资组合时,利用投资者情绪信息,进一步把常见的投资组合（赢家输家组合）分解为高情绪和低情绪组合。研究发现,投资者情绪可以更好预测未来的资产收益,随着这种信息的引入,投资组合的赢利性得到进一步的显著提高。论文扩展了国内基于相对强势策略收益的研究。

Study on Returns of Investment Strategies Based on Sentiment Indicators

Based on two novel measures of investor sentiment,this paper tests the returns of momentum strategy in Chinese stock market.When we construct the invest portfolio,these two novel measures of investor sentiment help us further decompose the regular investor portfolio（winner and loser） with the high/low sentiment.The results show that the investor sentiment can predict the future asset returns more significantly and with the introduction of the new information,the portfolios＇ returns increase significantly.This study extends the current research in this field.