Journal of Financial Economics·Volume 128, Issue 1·April 2018

消费者最了解：消费者意见的投资价值

作者：Jiekun Huang（University of Illinois at Urbana-Champaign, Gies College of Business）

摘要：本文调查了消费者的意见是否向金融市场传递了价值相关的信息。使用2004年到2015年间亚马逊网站上超过1450万次客户产品评论的数据集，本文发现了消费者意见包含股票定价信息的证据。做多拥有高异常顾客评级的股票并做空拥有低异常顾客评级的股票的差异投资组合可以实现每月55.7至73.0个基点的异常回报，并且没有证据表明下一年会出现逆转。在控制了公司特征（如毛利润率，广告，研发费用和交易量）之后，顾客评级的回报可预测性仍然持续。此外，异常的顾客评级正向地预测了盈利和盈利超预期。这些结果表明，消费者意见包含关于公司基本面和股票定价的新颖信息。

关键词：消费者意见，偶然信息，股票定价，现金流超预期，群体的智慧

The customer knows best: The investment value of consumer opinions

Jiekun Huang（University of Illinois at Urbana-Champaign, Gies College of Business）ABSTRACT

This paper investigates whether consumer opinions convey value-relevant information to financial markets. Using a data set of more than 14.5 million customer product reviews on Amazon.com from 2004 through 2015, I find evidence that consumer opinions contain information for stock pricing. A spread portfolio that is long on stocks with high abnormal customer ratings and short on stocks with low abnormal customer ratings delivers an abnormal return of around 55.7 to 73.0 basis points per month. There is no evidence of return reversals in the subsequent year. The return predictability of customer ratings continues to hold after controlling for firm characteristics such as gross profitability, advertising, research and development expenses, and trading volume. Furthermore, abnormal customer ratings positively predict revenues and earnings surprises. These results suggest that consumer opinions contain novel information about firms’ fundamentals and stock pricing.

Keywords：Consumer opinions, Serendipitous information, Stock pricing, Cash flow surprises, Wisdom of crowds

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18300266#!

翻译：何杉