Journal of Financial Markets, Volume 23, March 2015, Pages 59–74.

情绪泡沫

作者：David Berger (Oregon State University, College of Business), Harry J. Turtle (West Virginia University, College of Business and Economics)

摘要：通过研究投资者情绪的累积变化，我们发现这样的变化与一段时期内增长的高估值相关，并且随后伴随着价格纠正。情绪和收益的关系具有路径依赖——短期的情绪高涨带来强烈的正收益，而对持续很久的情绪高涨，随之而来的是负收益。正的短期收益与泡沫动量一致，在一定程度上解释了Abreu和Brunnermeier (2003)提出的反向诱导困惑。我们的结论在市场组合中得到了证实，并且在有着较高不确定性的不透明组合，以及因为较高市场摩擦而套利空间有限的组合中表现尤为明显。

关键词：投资者情绪；泡沫；价格纠正

Sentiment bubbles

David Berger (Oregon State University, College of Business), Harry J. Turtle (West Virginia University, College of Business and Economics)

ABSTRACT

We examine cumulative changes in investor sentiment and find that these changes relate to extended periods of increasing overvaluation, followed by price corrections. The relation between sentiment and returns is path dependent—short-term increases in sentiment precede strong positive returns, while prolonged periods of increasing sentiment precede negative returns. Positive short-run returns are consistent with bubble dynamics and mitigate the backwards induction conundrum described by Abreu and Brunnermeier (2003). Our results hold for the market portfolio, and are especially strong for opaque portfolios with high levels of uncertainty, as well as portfolios with greater market frictions that limit arbitrage.

Keywords：Investor sentiment; Bubbles; Price-correction

原文链接：

http://www.sciencedirect.com/science/article/pii/S1386418115000142

翻译：黄怡文