投资者情绪对MAX效应的影响分析
摘要
鉴于国内现有文献还没有考察投资者情绪对MAX效应(最大日收益率效应)的影响问题,本文首先用组合价差法验证MAX效应的存在性,然后基于构建出的投资者情绪指数,分别采用组合价差法和Fama-Macbeth回归,考察中国股票市场投资者情绪对MAX效应的影响。我们的经验分析结果显示,中国股票市场中存在明显的MAX效应;MAX效应主要来自于投资者情绪高涨期,在投资者情绪低迷期不存在MAX效应;在投资者情绪高涨期MAX对冲组合的异常收益,既有来自于最高MAX组合的贡献,也有来自于最低MAX组合的贡献。这意味着投资者的乐观情绪引起并放大了MAX效应。
引文
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[2]Walkshusl,C.The MAX Effect:European Evidence[J].Journal of Banking&Finance,2014,42(5):1-10.
[3]Miller,E.M.Risk,Uncertainty and the Divergence of Opinion[J].The Journal of Finance,1977,32(4):23-51.
[4]Stambaugh,Y.J.,Yuan,Y.The Short of It:Investor Sentiment and Anomalies[J].Journal of Financial Economics,2012,104(2):288-302.
[5]Fong,W.M.,Toh,B.Investor Sentiment and the MAX Effect[J].Journal of Banking&Finance,2014,46(3):190-201.
[6]王美今,孙建军.中国股市收益、收益波动与投资者情绪[J].经济研究,2014,(10):75-83.
[7]伍燕然,韩立岩.不完全理性、投资者情绪与封闭式基金之谜[J].经济研究,2007,(3):117-129.
[8]易志高,茅宁.中国股市投资者情绪测量研究:CICSI的构建[J].金融研究,2009,(11):174-184.
[9]江曙霞,陈青.赌博特征股票的收益预测及解释[J].财贸研究,2013,(3):99-107.
[10]Garrett,T.A.,Sobel,R.S.Gamblers Favor Skewness,not Risk:Further Evidence From United States'Lottery Games[J].Economics Letters,1999,63(1):85-90.
[11]Walker,I.,Young,J.An Economist's Guide to Lottery Design[J].The Economic Journal,2001,111(475):700-722.
[12]Kumar,A.Who Gambles in the Stock Market?[J].The Journal of Finance,2009,64(4):1889-1933.
[13]Tverksy,A.,Kahneman,D.Advance in Prospect Theory:Cumulative Representation of Uncertainty[J].Journal of Risk and Uncertainty,1992,5(4):297-323.
[14]Barber,B.M.,Odean,T.All that Glitters:The Effect of Attention on the Buyingbehavior of Individual and Institutional Investors[J].Review of Financial Studies,2008,21(2):785-818.
[15]Baker,M.,Wurgler,J.Investor Sentiment and the Cross-Section of Stock Returns[J].The Journal of Finance,2006,61(4):1645-1680.
[16]Lee,Y.W.,Jiang,X.C.,Indro,C.D.Stock Market Volatility,Excess Returns,and the Role of Investor Sentiment[J].Journal of Banking&Finance,2002,26(12):2277-2299.
[17]郑振龙,孙清泉.彩票类股票交易行为分析:来自中国A股市场的证据[J].经济研究,2013,(5):128-140.
[18]崔惠颖.博彩性股票的市场特征——来自中国股市的经验证据[J].东北财经大学学报,2016,(3):56-64.
[19]刘仁和,陈柳钦.中国股权溢价之谜的检验——Hansen-Jagannathan方法的应用[J].财经理论与实践,2005,(5):79-83.
[20]庄新田,池丽旭.中国证券市场的投资者情绪研究[J].管理科学,2010,(3):79-87.
[21]段江娇,刘红忠,曾剑平.投资者情绪指数、分析师推荐指数与股指收益率的影响研究[J].上海金融,2014,(11):60-64.
[22]Fama,E.F.,Macbeth,J.D.Risk and Return:Some Empirical Tests[J].Journal of Political Economy,1973,81(3):607-636.