| 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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| 引用本文： | 刘莉亚,丁剑平,陈振瑜,相恒宁.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). |
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| 作者姓名： | 刘莉亚 丁剑平 陈振瑜 相恒宁 |
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| 作者单位： | 上海财经大学,金融学院,上海,200433;上海财经大学,金融学院,上海,200433;上海财经大学,金融学院,上海,200433;上海财经大学,金融学院,上海,200433 |
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| 基金项目： | 国家社会科学基金重大项目(08&ZD036);;上海财经大学“211”第三期项目的资助 |
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| 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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| 关 键 词： | 投资者情绪 截面效应 非理性投资 |
Empirical Study on Influence of Investment Sentiment on the Stability of Capital Market:Analysis of Cross-sectional Effect |
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| LIU Li-ya,DING Jian-ping,CHEN Zhen-yu,XIANG Heng-ning.Empirical Study on Influence of Investment Sentiment on the Stability of Capital Market:Analysis of Cross-sectional Effect[J].The Study of Finance and Economics,2010,36(3). |
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| Authors: | LIU Li-ya DING Jian-ping CHEN Zhen-yu XIANG Heng-ning |
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| Institution: | School of Finance;Shanghai University of Finance and Economics;Shanghai 200433;China |
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| Abstract: | Inspired by the finding in horse-race market, the paper makes a theoretical conjecture of the cross-sectional effect of stock market. Through constructing a new indictor of investment sentiment, the paper uses non-parameter statistics and regression models to study empirically the impact of the sentiment indicator on the return rates of portfolios. Then it confirms the robustness of empirical results by considering the sentiment change of systematical risk and other sentiment variables. |
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| Keywords: | investment sentiment cross-sectional effect irrational investment |
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