投资者情绪对资本市场稳定性的实证研究——来自截面效应的分析
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财经研究 2010 年 第 36 卷第 03 期, 页码：134 - 144
摘要
参考文献
摘要
文章借鉴心理学家在赛马赌博中发现的规律,对股票市场的截面效应进行了理论推测。同时,通过构建一个新的投资者情绪指标,采用非参数统计和回归模型实证检验了情绪指标的变动对特征组合收益率的影响并给出解释,并通过考虑系统风险的情绪变化与其他情绪代理变量验证了实证结果的稳健性。
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[2]刘煜辉,熊鹏.资产流动性、投资者情绪与中国封闭式基金之谜[J].管理世界,2004,(3):48-57.
[3]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,(10):75-83.
[4]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.
[5]张俊喜,张华.解析我国封闭式基金折价之谜[J].金融研究,2002,(12):49-60.
[6]Baker,Malcol m,Jeffrey Wurgler.Investor senti ment and the cross-section of stock market[J].Journal of Finance,2006,(4):1645-1680.
[7]Baker,Malcol m,Jeremy C Stein.Market liquidity as a senti ment indicator[J].Journal of Financial Markets,2004,(7):271-299.
[8]Brown,Gregory W,Michael T C.Investor senti ment and asset valuation[J].Journal of Business,2005,(78):405-440.
[9]Brown,Gregory W,Michael T C.Invest ment senti ment and the near-termstock mar-ket[J].Journal of Empirical Finance,2004,(11):1-27.
[10]Griffith R M.Odds adjust ments by American horse-race bettors[J].The American Journal of Psychology,1956,(62):290-294.
[11]Lee Charles MC,Andrei Shleifer,Richard HT.Invest ment senti ment and the closed-end fund puzzle[J].Journal of Finance,1991,(46):75-109.
[12]Ritter J.The long-run performance of initial public offerings[J].Journal of Finance,1991,(46):3-27.
[13]Shiller,Robert J.Measuring bubble expectations and investor confidence[J].The Journal of Psychology and Financial Markets,2000,(1):49-60.
引用本文
刘莉亚, 丁剑平, 陈振瑜, 等. 投资者情绪对资本市场稳定性的实证研究——来自截面效应的分析[J]. 财经研究, 2010, 36(3): 134–144.
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