个体投资者情绪、网络自媒体效应与股票收益
|
摘要
个体投资者情绪变动会影响股票收益吗?本文以东方财富股吧发帖量作为个体投资者情绪的代理,研究个体投资者情绪、网络自媒体效应与股票收益可预测性之间的关系。我们发现,个体投资者情绪通过网络自媒体传播可以系统地影响股票收益,且存在显著的可预测性。具体而言,发帖量越高的组合,短期收益越高,表现出短期的动量效应;其次,当对样本股性质进行区分后,小市值、低账面市值比和机构投资者持股比低的股票对个体投资者情绪变动更加敏感,呈现出明显的情绪跷跷板效应。进一步地,经风险因子调整之后,零成本套利投资组合仍能获得显著的超额收益,且超额收益来源于前期低发帖量组合,情绪依然是情绪。
Does the individual investor sentiment affect stock returns? By using the number of posts on East Money Stock Post Boards as a proxy variable,this paper analyzes the relationship among the individual investor sentiment,the network we-media effect,and the predictability of stock returns. We find that individual investor sentiment can influence stock returns through the spread of network we-media which produces a significant predictability. Specifically,stocks with the more number of posts will earn higher in short-term,showing a short-term momentum effect. When distinguishing the sample stocks by corporation identity,empirical results indicate that individual investor sentiment more significantly affects the small scale stocks,low book-to-market stocks and stocks with low institutional ownership,showing a distinguished "Sentiment Cogging Effect ". Furthermore,after risk adjustment,the zero-cost arbitrage portfolio still produces significant excess returns,and those returns are derived from the previous low number of posts stocks,sentiment remains emotional.
Does the individual investor sentiment affect stock returns? By using the number of posts on East Money Stock Post Boards as a proxy variable,this paper analyzes the relationship among the individual investor sentiment,the network we-media effect,and the predictability of stock returns. We find that individual investor sentiment can influence stock returns through the spread of network we-media which produces a significant predictability. Specifically,stocks with the more number of posts will earn higher in short-term,showing a short-term momentum effect. When distinguishing the sample stocks by corporation identity,empirical results indicate that individual investor sentiment more significantly affects the small scale stocks,low book-to-market stocks and stocks with low institutional ownership,showing a distinguished "Sentiment Cogging Effect ". Furthermore,after risk adjustment,the zero-cost arbitrage portfolio still produces significant excess returns,and those returns are derived from the previous low number of posts stocks,sentiment remains emotional.
引文
[1]Barber B M,Odean T,Zhu N.Systematic noise[J].Journal of Financial Markets,2009,12(4):547-569.
[2]Kumar A,Lee C.Retail investor sentiment and return co-movements[J].The Journal of Finance,2006,61(5):2451-2486.
[3]罗伯特·席勒.非理性繁荣[M].李心丹译.北京:中国人民大学出版社,2001.35-58.
[4]Jegadeesh N,Titman S.Returns to buying winners and selling losers:implications for stock market efficiency[J].The Journal of Finance,1993,48(1):65-91.
[5]Hillert A,Jacobs H,Muller S.Media makes momentum[J].Review of Financial Studies,2014,27(12):3467-3501.
[6]Barber B,Odean T.All that glitters:the effect of attention and news on the buying behavior of individual and institutional investors[J].The Review of Financial Studies,2008,21(2):785-818.
[7]Baker M,Wurgler J.Investor sentiment in the stock market[J].Journal of Economic Perspectives,2007,21(2):129-151.
[8]王永锋,胡昌生.交易偏好、公司特征与股票收益——基于我国个体投资者交易数据的实证检验[J].投资研究,2013,32(1):119-131.
[9]Frazzini A,Lamont O A.Dumb money:mutual fund flows and the cross-section of stock returns[J].Journal of Financial Economics,2008,88(2):299-322.
[10]Stieglitz S,Linh D X.Emotions and information diffusion in social media——sentiment of microblogs and sharing behavior[J].Journal of Management Information Systems,2013,29(4):217-248.
[11]Barberis N,Xiong W.Realization utility[J].Journal of Financial Economics,2012,104(2):251-271.
[12]Barberis N,Huang M.Stocks as lotteries:the implications of probability weighting for security prices[J].American Economic Review,2008,98(5):2066-2100.
[13]Han B,Kumar A.Speculative retail trading and asset prices[J].Journal of Financial and Quantitative Analysis,2013,48(2):377-404.
[14]Bartov E,Faurel L,Mohanram P.Can twitter help predict firm-level earnings and stock returns[R].Rotman School of Management Working Paper(SSRN 2631421),2015.1-44.
[15]De Long J B,Shleifer A,Summers L H,et al..Positive feedback investment strategies and destabilizing rational speculation[J].Journal of Finance,1990,45(2):375-395.
[16]Kaniel R,Saar G,Titman S.Individual investor trading and stock returns[J].Journal of Finance,2008,63(1):273-310.
[17]Arbel A,Carvell S,Strebel P.Limited information as a source of risk[J].The Journal of Portfolio Management,1983,39(3):57-63.
[18]Merton R C.A simple model of capital market equilibrium with incomplete information[J].Journal of Finance,1987,42(3):483-510.
[19]Fama E F,French K R.Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[20]Carhart M M.On persistence in mutual fund performance[J].The Journal of Finance,1997,52(1):57-82.
[21]胡昌生,池阳春.投资者情绪与资产价格波动性研究[M].武汉:武汉大学出版社,2014.94-121.
[22]Fang L,Peress J.Media coverage and the cross-section of stock returns[J].The Journal of Finance,2009,64(5):2023-2052.
[23]乔治·索罗斯.超越金融:索罗斯的哲学[M].宋嘉译.北京:中信出版社,2010.1-50.
[2]Kumar A,Lee C.Retail investor sentiment and return co-movements[J].The Journal of Finance,2006,61(5):2451-2486.
[3]罗伯特·席勒.非理性繁荣[M].李心丹译.北京:中国人民大学出版社,2001.35-58.
[4]Jegadeesh N,Titman S.Returns to buying winners and selling losers:implications for stock market efficiency[J].The Journal of Finance,1993,48(1):65-91.
[5]Hillert A,Jacobs H,Muller S.Media makes momentum[J].Review of Financial Studies,2014,27(12):3467-3501.
[6]Barber B,Odean T.All that glitters:the effect of attention and news on the buying behavior of individual and institutional investors[J].The Review of Financial Studies,2008,21(2):785-818.
[7]Baker M,Wurgler J.Investor sentiment in the stock market[J].Journal of Economic Perspectives,2007,21(2):129-151.
[8]王永锋,胡昌生.交易偏好、公司特征与股票收益——基于我国个体投资者交易数据的实证检验[J].投资研究,2013,32(1):119-131.
[9]Frazzini A,Lamont O A.Dumb money:mutual fund flows and the cross-section of stock returns[J].Journal of Financial Economics,2008,88(2):299-322.
[10]Stieglitz S,Linh D X.Emotions and information diffusion in social media——sentiment of microblogs and sharing behavior[J].Journal of Management Information Systems,2013,29(4):217-248.
[11]Barberis N,Xiong W.Realization utility[J].Journal of Financial Economics,2012,104(2):251-271.
[12]Barberis N,Huang M.Stocks as lotteries:the implications of probability weighting for security prices[J].American Economic Review,2008,98(5):2066-2100.
[13]Han B,Kumar A.Speculative retail trading and asset prices[J].Journal of Financial and Quantitative Analysis,2013,48(2):377-404.
[14]Bartov E,Faurel L,Mohanram P.Can twitter help predict firm-level earnings and stock returns[R].Rotman School of Management Working Paper(SSRN 2631421),2015.1-44.
[15]De Long J B,Shleifer A,Summers L H,et al..Positive feedback investment strategies and destabilizing rational speculation[J].Journal of Finance,1990,45(2):375-395.
[16]Kaniel R,Saar G,Titman S.Individual investor trading and stock returns[J].Journal of Finance,2008,63(1):273-310.
[17]Arbel A,Carvell S,Strebel P.Limited information as a source of risk[J].The Journal of Portfolio Management,1983,39(3):57-63.
[18]Merton R C.A simple model of capital market equilibrium with incomplete information[J].Journal of Finance,1987,42(3):483-510.
[19]Fama E F,French K R.Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[20]Carhart M M.On persistence in mutual fund performance[J].The Journal of Finance,1997,52(1):57-82.
[21]胡昌生,池阳春.投资者情绪与资产价格波动性研究[M].武汉:武汉大学出版社,2014.94-121.
[22]Fang L,Peress J.Media coverage and the cross-section of stock returns[J].The Journal of Finance,2009,64(5):2023-2052.
[23]乔治·索罗斯.超越金融:索罗斯的哲学[M].宋嘉译.北京:中信出版社,2010.1-50.