科学分析投资者情绪对房地产行业股票价格偏离度的影响
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摘要
由于我国股市运行机制不够完善,房地产行业近几年的股票价格大幅波动,已经出现了价格"泡沫"现象。主要验证情绪因子(市场情绪因子与个股情绪因子)影响房地产行业股票价格的偏离度,从而导致房产行业出现价格"泡沫"现象。首先,引用Baker和Wurgler采用的主成分分析法分别构造市场投资者综合情绪指标和个股投资者综合情绪指标;其次,采用剩余收益模型计算出房地产行业40家上市公司股票的内在价值;然后,通过实证得出情绪因子影响的股票价格偏离度;最后,根据结论给出建议。
As the operating mechanism of China's stock market is not complete enough,stock prices of the real estate industry have fluctuated significantly in recent years.This paper mainly tests the impact of investor sentiment on deviation of real estate industry stock prices,aiming to explain the bubble phenomena in real estate industry.Firstly,both market investor sentiment index and individual investor sentiment index were built by using PCA of Baker and Wurgler,and the intrinsic values of 40 real estate industry stocks were computed by residual income model.Then the deviation of stock prices of the impact of investor sentiment was gained.At last,some suggestions were given.
As the operating mechanism of China's stock market is not complete enough,stock prices of the real estate industry have fluctuated significantly in recent years.This paper mainly tests the impact of investor sentiment on deviation of real estate industry stock prices,aiming to explain the bubble phenomena in real estate industry.Firstly,both market investor sentiment index and individual investor sentiment index were built by using PCA of Baker and Wurgler,and the intrinsic values of 40 real estate industry stocks were computed by residual income model.Then the deviation of stock prices of the impact of investor sentiment was gained.At last,some suggestions were given.
引文
[1]Brown G W,Cliff M T.Investor sentiment and asset valuation[J].Journal of Business,2005,78(2):405-440.
[2]Basu S.Investment performance of common stocks in relation to their price earnings ratios:a test of the efficient market hypothesis[J].Journal of Finance,1977,32(3):663-682.
[3]Baker M,Wurgler J.Investor sentiment and the crosssection of stock returns[J].Journal of Finance,2006,61(4):1645-1680.
[4]Kurov A.Investor sentiment and the stock market’s reaction to monetary policy[J].Journal of Banking and Finance,2010,34(1):139-149.
[5]Kumar A,Lee C M C.Retail investor sentiment and return comovements[J].Journal of Finance,2006,61(5):2451-2486.
[6]Glushkov D.Sentiment Beta[Z].2006.
[7]Schmeling M.Institutional and individual sentiment:smart money and noise trader risk?[J].International Journal of Fore-casting,2007,23(1):127-145.
[8]Schmeling M.Investor sentiment and stock returns:some international evidence[J].Journal of Empirical Finance,2009,16(3):394-408.
[9]Liao T L,Huang C J,Wu C Y.Do fund managers herd to counter investor sentiment?[J].Journal of Business Research,2011(64):207-212.
[10]Lemmon L,Portniaguina E.Consumer confidence and asset prices:some empirical evidence[J].Review of Financial Studies,2006,19(4):1499-1529.
[11]Ohlson J A.Earnings,book values,and dividends in equity valuation[J].Contemporary Accounting Research,1995,11(2):661-687.
[12]Feltham G A,Ohlson J A.Valuation and clean surplus accounting for operating and financial activities[J].Contemporary Accounting Research,1995,11(2):689-731.
[13]Bernard V L.The Feltham-Ohlson framework:Implication for empiricists counting research[J].Contemporary Accounting Research,1995,11(2):733-747.
[14]蒋玉梅,王明照.投资者情绪与股票收益:总体效应与横截面效应的实证分析[J].南开管理评论,2010,13(3):150-160.
[15]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,2004,21(10):75-83.
[16]赵志君.股票价格对内在价值的偏离度分析[J].经济研究,2003(10):66-74.
[17]徐爱农.中国股票市场泡沫测度及其合理性研究[J].财经理论与实践,2007,145(28):34-39.
[18]郭济敏.股票市场泡沫研究[M].北京:中国金融出版社,2005.
[19]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.
[20]张强,杨淑娥,杨红.中国股市投资者情绪与股票收益的实证研究[J].系统工程,2007(7):13-17.
[21]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(7):22-28.
[22]Lee C M C,Shleifer A,Thaler R H.Investor sentiment and the closed end fund puzzle[J].Journal of Finance,1991,46(1):75-109.
[23]Baker M,Stein J C.Market liquidity as a sentiment indicator[J].Journal of Financial Markets,2004,7(3):271-299.
[24]Brown G W,Cliff M T.Investor sentiment and the nearterm stock market[J].Journal of Empirical Finance,2004,1l(1):1-27.
[25]Case K E,Quigley J M,Shliier R J.Comparing wealth effects:the stock market versus the housing market[J].Berkeley Prigram on Housing and Urban Policy,2005,56(3):145-157.
[2]Basu S.Investment performance of common stocks in relation to their price earnings ratios:a test of the efficient market hypothesis[J].Journal of Finance,1977,32(3):663-682.
[3]Baker M,Wurgler J.Investor sentiment and the crosssection of stock returns[J].Journal of Finance,2006,61(4):1645-1680.
[4]Kurov A.Investor sentiment and the stock market’s reaction to monetary policy[J].Journal of Banking and Finance,2010,34(1):139-149.
[5]Kumar A,Lee C M C.Retail investor sentiment and return comovements[J].Journal of Finance,2006,61(5):2451-2486.
[6]Glushkov D.Sentiment Beta[Z].2006.
[7]Schmeling M.Institutional and individual sentiment:smart money and noise trader risk?[J].International Journal of Fore-casting,2007,23(1):127-145.
[8]Schmeling M.Investor sentiment and stock returns:some international evidence[J].Journal of Empirical Finance,2009,16(3):394-408.
[9]Liao T L,Huang C J,Wu C Y.Do fund managers herd to counter investor sentiment?[J].Journal of Business Research,2011(64):207-212.
[10]Lemmon L,Portniaguina E.Consumer confidence and asset prices:some empirical evidence[J].Review of Financial Studies,2006,19(4):1499-1529.
[11]Ohlson J A.Earnings,book values,and dividends in equity valuation[J].Contemporary Accounting Research,1995,11(2):661-687.
[12]Feltham G A,Ohlson J A.Valuation and clean surplus accounting for operating and financial activities[J].Contemporary Accounting Research,1995,11(2):689-731.
[13]Bernard V L.The Feltham-Ohlson framework:Implication for empiricists counting research[J].Contemporary Accounting Research,1995,11(2):733-747.
[14]蒋玉梅,王明照.投资者情绪与股票收益:总体效应与横截面效应的实证分析[J].南开管理评论,2010,13(3):150-160.
[15]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,2004,21(10):75-83.
[16]赵志君.股票价格对内在价值的偏离度分析[J].经济研究,2003(10):66-74.
[17]徐爱农.中国股票市场泡沫测度及其合理性研究[J].财经理论与实践,2007,145(28):34-39.
[18]郭济敏.股票市场泡沫研究[M].北京:中国金融出版社,2005.
[19]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.
[20]张强,杨淑娥,杨红.中国股市投资者情绪与股票收益的实证研究[J].系统工程,2007(7):13-17.
[21]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(7):22-28.
[22]Lee C M C,Shleifer A,Thaler R H.Investor sentiment and the closed end fund puzzle[J].Journal of Finance,1991,46(1):75-109.
[23]Baker M,Stein J C.Market liquidity as a sentiment indicator[J].Journal of Financial Markets,2004,7(3):271-299.
[24]Brown G W,Cliff M T.Investor sentiment and the nearterm stock market[J].Journal of Empirical Finance,2004,1l(1):1-27.
[25]Case K E,Quigley J M,Shliier R J.Comparing wealth effects:the stock market versus the housing market[J].Berkeley Prigram on Housing and Urban Policy,2005,56(3):145-157.