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| 文章编号：1672-3104(2016)06-0092-10 |
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个人与机构投资者情绪对个股异常收益率的非对称影响 |
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曹仙叶，刘咏梅 |
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（中南大学商学院，湖南长沙，410083） |
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| 摘 要： 采用净买入资金比例代理投资者情绪，研究了个人投资者、机构投资者的积极情绪和消极情绪对异常收益率的非对称影响。以2012年1月至2015年10月的2 658支股票作为研究对象，采用固定效应模型进行了实证研究。结果表明，个人投资者情绪对随后两周的异常收益率有负向影响，机构投资者情绪对随后四周的异常收益率均有正向影响。同时，投资者情绪对异常收益率存在非对称影响：个人投资者积极情绪与消极情绪在对后第一周和后第三周异常收益率的影响上存在显著差异；机构投资者积极情绪与消极情绪在对后第三周的异常收益率的影响上也存在显著差异。因此，将两种情绪分别估计更有效，且得到的实证结果对于理解投资者情绪的非对称影响有重要价值。 |
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| 关键词： 个人投资者；机构投资者；投资者情绪；积极情绪；消极情绪；非对称影响 |
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The asymmetric effects of institutional/individual sentiment on abnormal returns of the stock |
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CAO Xianye, LIU Yongmei |
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（School of Business, Central South University, Changsha 410083, China） |
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| Abstract: By employing the data of proportion of net buying capital flows as the proxies of sentiment, the present study focuses on the asymmetric effects of positive and negative sentiment on the abnormal returns. We selected 2658 stocks within a total of 194 trading weeks from January 2012 to October 2015 as the research objects to conduct a panel data model with individual fixed effects. The results show that in the next week and the week after next, the individual sentiment has negative effect on the abnormal returns, and that in the four weeks institutional sentiment has positive effect on the abnormal returns. Moreover, investor sentiment has asymmetric effects on the abnormal returns in the following weeks. That is to say, the effect of individual positive sentiment is significantly different from the negative sentiment in the first and third week after, and the effect of institutional negative sentiment is significantly different from the positive sentiment in the third week after. We can get a more effective model by estimating the two types of sentiments separately. The empirical results have important value for understanding the impact of positive and negative emotions on the abnormal return of stock. |
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Key words: individual investors; institutional investors; investor sentiment; positive sentiment; negative sentiment; asymmetric effects |
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