投资者情绪影响下资本资产定价的区制性研究——基于股票论坛发帖的情感分析

本文首先建立一个考虑投资者情绪的资本资产定价模型,研究发现,投资者情绪是资产定价的系统性因子且对其影响具有区制性(存在三个区制)。在此基础上通过仿真揭示投资者情绪对资产定价影响存在区制性的原因在于当投资者情绪增加时,最优组合超额收益受组合效应与情绪效应的综合影响。最后基于股票论坛发帖的情感分析构建投资者情绪指标,实证检验了本文的理论模型,并发现基于普通的线性回归模型得到的投资者情绪对股指超额收益影响,一方面会在投资者情绪处于第二区制内时将其对股指超额收益影响方向弄反,另一方面会在投资者情绪处于第三区制内时低估其增加导致的股指超额收益平均增加程度。

Study on Regime Switching of Capital Asset Pricing Model Considering Investor Sentiment: Based on the Emotion Analysis of the Stock Forum Discussion

In this paper, we first establish a capital asset pricing model considering investor sentiment. We find that the investor sentiment is a key factor in the asset pricing and there is regime switching in the influence to investor sentiment about asset pricing(three regimes exist). Next, through simulation we show that the reason of regime switching is that when investor sentiment increases, the optimal portfolio excess return is affected by both portfolio effect and emotional effect. Finally, we construct a proxy of investor sentiment based on the emotion analysis of the stock forum discussion, and empirically confirm the theoretical model in this paper. In the empirical study, we find that the results from linear regression reverse the positive or the negative of investor sentiment’s influence on the stock index excess return when investor sentiment is in the second regime, and underestimate investor sentiment’s influence on the stock index excess return when investor sentiment is in the third regime.