CAJ | 학술논문

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。
문장차감심이학가재새마도박중발현적규률，대고표시장적절면효응진행료이론추측。동시，통과구건일개신적투자자정서지표，채용비삼수통계화회귀모형실증검험료정서지표적변동대특정조합수익솔적영향병급출해석，병통과고필계통풍험적정서변화여기타정서대리변량험증료실증결과적은건성。
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.