基于投资者情绪的投资组合模型研究

摘要/Abstract

摘要： 本文在假设投资者风险厌恶、且其风险厌恶程度受其情绪影响的条件下,以投资者效用最大化为决策目标,建立基于投资者情绪的投资组合模型从理论上研究投资者情绪对投资组合结构及其收益-风险关系的影响。研究结果表明,当投资者过度乐观时,其将通过银行借贷融资等方式购买超额风险资产;当投资者情绪处于相对理性状态时,其将合理分配无风险资产和风险资产的投资比例;当投资者情绪处于悲观状态时,其将卖空风险资产。当投资者情绪处于过度乐观和相对理性状态时,投资组合预期超额收益与风险正相关;当投资者情绪处于悲观状态时,投资组合预期超额收益与风险负相关。论文研究结果修正了前人的相关研究结论,是对传统投资组合理论的深化和发展。

关键词: 投资者情绪, 投资组合, 收益-风险关系

Abstract: Under the hypothesis that investors are risk averters whose risk aversion degree is affected by the sentiment, taking the utility maximization as the investors’ decision objection,the effect mechanism of investor sentiment on the portfolio structure and the return-risk relationship of portfolio by setting up a portfolio model based on the investor sentiment theoretically is studied in this paper. The results show that investors will buy the excess risk asset by bank lending when they are over-optimistic, distribute the proportion of the free-risk assets and risk assets reasonably when they are relatively rational, and short risk assets when they are pessimistic. In addition, the expected excess return of portfolio is positively related to its risk when investors are over-optimistic or relatively rational, and negatively related to its risk when investors are pessimistic.All in all,in this paper,the previous relevant research conclusions are modified, and the traditional portfolio theory is expanded and deepened in a certain degree.

Key words: investor sentiment, portfolio, return-risk relationship

中图分类号:

F830.91

陈其安, 朱敏, 赖琴云. 基于投资者情绪的投资组合模型研究 [J]. 中国管理科学, 2012, (3): 47-56.

CHEN Qi-an, ZHU Min, LAI Qin-yun. Study on Portfolio Model Based on Investor Sentiment[J]. Chinese Journal of Management Science, 2012, (3): 47-56.

参考文献

[1] Lee C, Shleifer A, Thaler R. Investor sentiment and the closed-end fund puzzle [J]. Journal of Finance, 1991, 46(1): 75-109.
[2] Shleifer A, Vishny R W. The limits of arbitrage [J]. Journal of Finance, 1997, 52(1): 35-55.
[3] Brown G W, Cliff M T. Investor sentiment and the near-term stock market [J]. Journal of Empirical Finance, 2004, 11(1): 1-27.
[4] Baker M, Wurgler J. How does investor sentiment affect the cross-section of stock returns?[J] Journal of Finance, 2006, 61(4): 1645-1680.
[5] 王美今, 孙建军. 中国股市收益、收益波动与投资者情绪 [J]. 经济研究, 2004, 39(10): 75-82.
[6] De Long J B, Shleifer A, Summers L,Waldmann M. Noise trader risk in financial markets [J]. Journal of Political Economy, 1990, 98(4): 703-738.
[7] De Bondt W P M. Betting on trends:intuitive forecasts of financial risk and return [J]. International Journal of Forecasting, 1993, 9(3): 355-371.
[8] Hirshleifer D, Teoh S H. Limited attention,information disclosure,and financial reporting [J]. Journal of Accounting and Economics, 2003, 36(1-3): 337-386.
[9] Fisher K L, Statman M. Investor sentiment and stock returns [J].Financial Analysts Journal, 2002, 56(2): 16-23.
[10] Lee W Y, Jiang C X, Indro D C. Stock market volatility,excess returns,and the role of investor sentiment [J].Journal of Banking & Finance, 2002, 26: 2277-2299.
[11] Verma R, Soydemir G. The impact of individual and institutional investor sentiment on the market price of risk [J].The quarterly review of economics and finance, 2009, 49(3): 1129-1145.
[12] Schmeling M.Investor sentiment and stock returns:some international evidence [J]. Journal of Empirical Finance, 2009, 16, 394-408.
[13] 刘端, 陈收. 中国市场管理者短视、投资者情绪与公司投资行为扭曲研究 [J]. 中国管理科学, 2006, 14(2):16-23.
[14] 张强, 杨淑娥.噪音交易、投资者情绪波动与股票收益[J].系统工程理论与实践, 2009, 29(3): 40- 47.
[15] Veld-Merkoulova Y V. Investment horizon and portfolio choice of private investors [J].International Review of Financial Analysis, 2011, 20: 68-75.
[16] Yu Jianfeng, Yuan Yu.Invertor sentiment and mean-variance relation [J].Journal of Financial Economics, 2011, 100(2): 367-381.
[17] 方勇.证券投资者情绪对市场收益及波动率影响的实证研究 [J].商业时代, 2010, (4): 94-96.
[18] 陈其安, 赖琴云.基于盈利能力分类的中国股票市场收益与投资者情绪实证研究 [J].企业经济, 2010, (9): 160-164.
[19] 李潇潇, 杨春鹏.基于投资者情绪的认知风险和认知收益 [J].青岛大学学报(自然科学版), 2009, 22(2): 67-70.
[20] 李春红, 彭光裕.投资者情绪、股票市场流动性和经济增长 [J].技术经济, 2011, 30(5): 105-108.
[21] 文凤华, 陈耀年, 黄德龙, 杨晓光.过度自信、后悔厌恶与收益率分布非正态特征 [J].财经理论与实践, 2007, 28(5): 59-65.
[22] 赵丽华, 杨勇.基于投资者偏好的模糊投资组合模型[J].电子科技大学学报(社科版), 2011, 13(3): 58-61.
[23] 高培旺.风险与收益权衡的证券投资组合决策方法[J].财会月刊, 2011, (6): 71-73.
[24] Holmstrom B, Milgrom P. Aggregation and linearity in the provision of intertemporal incentitives [J]. Econometrica, 1987, 55(2): 303-328.
[25] 张维迎.博弈论与信息经济学 [M].上海:上海人民出版社, 2004.
[26] 孙碧波. 基于学习行为的噪音交易者情绪演化研究.上海: 复旦大学博士学位论文, 2005.
[27] 饶育蕾, 刘达锋.行为金融学 [M].上海财经大学出版社, 2003.
[28] Enlge R, Lilien D M, Robins R P. Estimating time varying risk premia in the term structure:the ARCH-M model [J]. Econometrica, 1987, 55(2): 391-406.