Journal of Empirical Finance ·VOLUME 42 · June 2017

投资者情绪可以预测动量时间序列吗？来自中国的实证依据

作者：Xing Han (Department of Accountancy and Finance, University of Otago), Youwei Li (School of Management, Queen's University Belfast)

摘要：本文挑战了投资者情绪在所有期限都是市场回报的反向预测指标这个普遍观点。作为一项重要的样本外依据，作者发现月度频率下中国的投资者情绪是回报动量的可靠信号，并且这种强预测关系在单个和多个回归元设定下都是稳健的，在样本内和样本外统计意义和经济意义上也都显著。作者还使用了数值案例说明了这种关系可以提高组合回报。更重要的是，作者发现了投资者情绪的期限结构：即投资者情绪是短期动量预测指标、长期反转预测指标，并且横截面分析表明投资者情绪对小公司的作用更大。最后，由于投资者情绪在横截面长期对未来回报有反向预测作用，作者肯定了国际情绪对于中国本地市场具有溢出效应的结论。

关键词：投资者情绪、回报预测、偏差纠正、中国

Can investor sentiment be a momentum time-series predictor? Evidence from China

Xing Han (Department of Accountancy and Finance, University of Otago), Youwei Li (School of Management, Queen's University Belfast)

ABSTRACT

This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of "out-of-sample" evidence, we document that investor sentiment in China is a reliable momentum signal at monthly frequency. The strong momentum predictability is robust under both single- and multi-regressor settings, and is statistically and economically significant both in and out of sample, enhancing portfolio performance as shown by our numerical examples. More importantly, we find a striking term structure that local sentiment shifts from a short-term momentum predictor to a contrarian predictor in the long run. Cross-sectional analysis reveals that sentiment is more of a small-firm effect. Finally, we confirm that global sentiment spills over to the local Chinese market, as it predicts negatively future returns over the longer horizons and in the cross section.

Keywords: Investor sentiment; Return predictability; Bias correction; China

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539817300300

翻译：殷曼琳