投资者情绪与股票收益率的关系研究
关键词：投资者情绪，股票收益率，相关性，信心指数 4350
Abstract
Behavioral finance is a rapidly emerging field of research in recent years ,.It loosened the rational person hypothesis, on the basis of the traditional financial theory of financial markets run closer to the real explanation is put forward. Behavioral finance lay stress on diversity of psychological decision of investors .He thinks investors behavior and decisions affect asset pricing and financial market, the market is not effective. Investor sentiment is an important factor reflecting investor psychology, In this framework, the sentiment is influenced by what factors And investor sentiment can affect stock returns in the future,it is shows very important. This essay is based on the consumer confidence index as the representative of the investor sentiment .Empirical analysis on the relationship between the investor sentiment and stock returns .The empirical results show that there is a certain relationship between sentiment and stock returns, especially for small market value stock correlations stronger, thus verified the small market value stock empirical conclusions are more easily affected by investor sentiment.
Keywords: investor sentiment,stock returns, relevance,confidence index
目录 2
摘 要 3
第一章 绪论 1
1.1选题的理论背景和意义 1
1.1.1标准金融理论与有效市场理论 2
1.1.2标准金融理论的缺陷与行为金融学 2
1.2文献综述 4
1.2.1国外文献综述 4
1.2.2国内文献综述 4
1.3论文研究对象、范围和方法 5
1.4论文的基本框架 6
第二章 投资者情绪对资本市场的影响 7
2.1投资者情绪特征 7
2.2噪音交易与噪音交易者 7
2.3投资者情绪理论模型 8
2.4投资者情绪对投资收益的影响 9
2.5产生投资者情绪的主要原因 10
第三章 投资者情绪的代理变量选择 11
3.1显性（直接）情绪指标 11
3.1.1美国个体投资者协会指数（AAII指数） 11
3.1.2投资者智能指数（II指数） 11
3.1.3好友指数 12
3.2隐性(间接)情绪指标 12
3.2.1封闭式基金折价指数 12
3.2.2消费者信心指数 13
3.2.3其他隐性情绪指标 14
3.3中国投资者情绪指数选择 14
3.3.1直接情绪指数 14
3.3.2间接情绪指数 16
第四章 我国投资者情绪指标的预测能力 18
4.1数据说明及处理 18
4.2股票收益率 19