投资者情绪测量研究综述

投资者情绪一直是行为金融学研究的热点问题,而情绪测量是其首先必须面对的问题。当前有关投资者情绪测量的文献成果很多,本研究基于测量数据来源和构建方法的不同,把它们分为客观指标、主观指标和复合指标三种,并对各种方法和指标体系进行了研究梳理。最后则探讨了投资者情绪测量研究的进一步发展方向。     

Electricity Tariff Changes and Consumer Sentiment on Household Consumption Expenditure in Malaysia

Purpose

This study investigates the impact of the current electricity tariff, represented by optimized tariff calculation, on Malaysian household’s consumption across different levels of income.

Design/methodology/approach

The input-output (IO) model has vastly been used in many energy economics literature that presented the matrix of production between various sectors in an economy. This study aggregated the 124 subsectors in IO Price Table 2015 into 12 groups of consumption of goods and services based on Household Expenditure Survey 2019 (HES 2019) to meet the study’ objectives.

Findings

This study found that in all simulations, high-income earners would be highly affected by the tariff changes. The lower the increment level in electricity tariff rate, the lower the magnitude would be on the changes of household expenditure level.

Research limitations/implications

Optimization in electricity tariff consumptions can pattern the Malaysian household’s consumption across different levels of income efficiently.

Practical implications

Useful to all consumer in the Malaysia economic business sector to predict their energy consumption up to optimum level.

Social implications

The study’s findings can benefit the society in optimiza their electricity consumption since everyone requires the energy for basic needs in their life.

     

Money Metric, Consumer Surplus and Welfare Measurement

The paper provides a rigorous derivation of the 'welfare triangle approximation' (WTA), which is at the centre of cost–benefit analysis. The result is generalized by showing that the WTA is one of two dual expressions, one of which approximates the change in real consumption, the other the change in the cost of living. The result is based on a correction of a proof attempted by Hicks. Many other derivations are also given, each based on a different definition of the theoretical functions to be approximated. The final result is the following: each of the empirical variations corresponds to a range of theoretical variations. The edges of the range are theoretical Laspeyres and Paasche variations which are approximated linearly; the interior region of the range is approximated quadratically; the centre of the range is replicated exactly by the empirical measures.     

National Sentiment and Consumer Choice: The Iraq War and Sales of US Products in Arab Countries

Did the rise in anti‐American sentiment caused by the Iraq war affect sales of US goods abroad? We address this question using data on soft drinks and fabric detergents sales in nine Arab countries. We find a statistically significant negative impact of the war on sales of US soft drinks in seven countries. The impact dissipates after a few months in two countries but persists in the other five. In the case of detergents, we only find a significant negative impact in one country. We conclude that international politics can sometimes affect consumer behavior and market outcomes.     

Intra-Household Resource Allocation, Consumer Preferences and Commodity Tax Reforms: Australian Evidence

Empirical analysis of household expenditure behaviour has traditionally ignored the issue of resource allocation between household members, assuming that they have identical or unitary preferences. This paper relaxes that assumption, develops a household sharing rule and proposes intra-household demand systems that are able to identify differences in the preferences of members from conventional data. The resulting price and expenditure elasticities are used to demonstrate that collective demand models suggest different directions for commodity tax reforms to those implied by the traditional unitary model.     

Alternative Measures of Australian Consumer Inflationary Expectations: Their Relation to Attitudes and Prices

This article was written by Dr L. V. Defris, Lecturer in Economics at Deakin University. It was originally part of a broader joint study of consumer inflationary expectations, with R. A. Williams. The author is greatly indebted to Professor Williams for discussion and development of the analysis.     

Using the Consumer Expenditure Survey to Teach Poverty Measurement

Poverty measurement is often controversial, but good public policy relies crucially on a broadly supported and understood poverty measure. In 2010, the U.S. Census Bureau announced it would begin regular reporting of a new supplemental poverty measure in October 2011. The present article provides background information for a student exercise (available, on request, from the author) on alternative poverty measurement techniques. The exercise allows students to use current data from the Consumer Expenditure Survey (available through the Bureau of Labor Statistics at http://www.bls.gov/cex/; U.S. Department of Labor 2010 U.S. Bureau of the Census. 2011. Developing a Supplemental Poverty Measure Federal Register. May 26, Vol. 75, No. 101, http://edocket.access.gpo.gov/2010/pdf/2010-12628.pdf (accessed May 15, 2011) [Google Scholar]) and other sources to calculate and compare several absolute and relative poverty thresholds. The exercise invites students to draw their own conclusions about the pros and cons of different measures, including the new supplemental measure. Data sources are easily updated as new information becomes available.     

品牌关系中消费者心理契约的感知与测度

本文将组织行为学中心理契约的概念引入品牌关系研究,探寻品牌关系中消费者的心理契约感知,通过实证分析证实了消费者对心理契约感知比较关注的5个指标,确定了各指标的被关注程度,并考察了人口统计学因素对消费者心理契约的影响。     

居民消费环境:指数测度、区域差异与政策启示

本文从"安全、便利、放心、舒心、满意"五个维度构建中国消费环境评价指标体系,并基于四川省五大经济区的消费者满意度调查数据及宏观数据,测度消费环境指数并进行区域差异分析发现,四川消费环境指数存在明显的区域差异.从区域间差异看,消费环境指数存在一定程度的两极分化,领先区明显且大幅度高于其他地区;从区域内差异看,成都平原经济区区域内差异最为明显,占整个区域内差异的88.42％,成都的高首位度也在消费环境中有所体现.同时,消费环境发展一般的区域,也可能在单一指标中突出.进一步研究发现,区域差异会导致消费效应差异:消费环境指数对消费的影响也存在两极分化,只有在消费环境指数领先区,消费环境指数才能对消费产生显著影响;而消费环境的区域内差距拉大会影响到消费效应;仅有单项子系统领先的地区,其消费环境并不显著影响消费.因此,本文的政策启示在于:一要持续改善非领先区消费环境,缩小区域间消费环境的差距;二要重视缩小区域内消费环境的差距,降低区域内差异拉大对消费效应的抑制作用;三要全面发力消费环境各方位改善,只有各方位在较高水平才能有效促进消费;四要明确消费环境改善的侧重点,补齐各类型区消费环境短板.     

Consumer Rationality and Consumer Sovereignty

Important social benefits of the market system are predicated on the assumption that consumers can effectively pursue their interest in the marketplace. Cause for concern exists to the extent that high consumption expenditures lead to relatively low levels of personal savings in the U.S. To the extent that they do, in fact, over spend, consumers appear to deviate from economic assumptions of rationality. This paper examines four conceptions of rationality (two variants of rational choice theory, institutionalism, and one derived from economic sociology), with a view to evaluating implications for consumer sovereignty under each. By explicitly accounting for differences among individuals, economic sociology appears to offer more realistic policy solutions.     

Sentiment and art prices

We hypothesize the existence of a slow-moving fad component in art prices. Using unique panel survey data on art market participants’ confidence levels in the outlook for a set of artists, we find that sentiment indeed predicts short-term returns.     

消费者金融行为、消费者金融教育和消费者福利

消费者金融行为的研究是一个多学科的研究领域,并在近十年来开始得到主流经济学和金融学的重视。消费者金融行为的研究集中在如何定义、描述、理解和预测、改变、发展,以及比较消费者的金融行为。本文从上述六个方面对美国关于消费者金融行为的研究进行了简要综述,并讨论了消费者金融行为与消费者金融教育、消费者福利之间的关系。最后,对中国消费者金融学的研究提出了几点建议,希望对中国消费者金融学领域的发展有所贡献。     

Reuters Sentiment and Stock Returns

Sentiment from more than 3.6 million Reuters news articles is tested in a vector autoregression model framework on its ability to forecast returns of the Dow Jones Industrial Average stock index. We show that Reuters sentiment can explain and predict changes in stock returns better than macroeconomic factors. We further find that negative Reuters sentiment has more predictive power than positive Reuters sentiment. Trading strategies with Reuters sentiment achieve significant outperformance with high success rates as well as high Sharpe ratios.     

Price Clustering and Investor Sentiment

Among the anomalous findings in the finance literature, perhaps the most persistent is the finding that security prices tend to cluster on round pricing increments. The author examines how investor sentiment influences the degree of price clustering. Both univariate and multivariate tests show a contemporaneous correlation between price clustering and investor sentiment. Recognizing the need to make stronger causal inferences, the author conducts 2 additional sets of tests. First, the author uses the technology bubble period as natural experiment and examine the price clustering of technology vis-à-vis nontechnology stocks. Results show that price clustering is markedly higher in tech stocks than in nontech stocks during this period of rising, sector-specific, investor sentiment. Second, the author estimates a vector autoregression process and examines the impulse responses of price clustering to exogenous shocks in investor sentiment. The results from these tests indicate that causation flows from sentiment to clustering instead of the other way around.     

Consumer debt and unemployment

We present evidence that US consumer debt has varied inversely with unemployment rates since 1990, potentially reflecting responses by households and/or lenders to adverse labour market conditions, and helping explain why consumer debt recently fell despite low interest rates. For several measures of debt, unemployment exhibits greater explanatory power and economic significance than interest rates.     

Investigating the Robustness of Macroeconomic Inference to Measurement Errors: The Case of the Consumer Decision Interval

That economists know next to nothing about measurement errors is not a good reason to assume them away. A more meaningful approach might be to investigate under which classes of measurement errors a given null hypothesis is rejected or not rejected. This paper illustrates this approach for the question of whether consumers make decisions at high or low frequency. It is shown that, with monthly data and assuming no measurement errors, a model of consumer behaviour that takes into account the durability of non-durable goods corroborates the low-frequency hypothesis. The paper then investigates the classes of measurement errors for which this conclusion does and does not hold.
JEL Classification Numbers: C4, E2.     

投资者情绪、异质性与市场非理性反应

许多研究表明,我国证券市场反向策略在短期内获利性较为显著,而动量策略在长期内可以获得超额收益,即中国股市具有短期反应过度和长期反应不足的双重特征。这一现象不仅动摇了有效市场假说的理论基础,而且对现有的行为定价理论模型构成了强有力的挑战。本文尝试从投资者情绪和投资者异质性两个角度对这一异象进行解释。研究发现,在投资者情绪高涨(或低落)阶段,市场更容易反应过度(或反应不足);对于不同类型的投资者,他们的信息反应模式也不尽相同,各自主导了市场在短期内和在长期内的整体表现。这一发现为中国股市在市场非理性反应上所呈现的独有特征提供了很好的阐释。