Financial Management · Volume 46, Issue 3· 2017

投资者情绪与期权/股票交易量比率的股票回报率预测力

作者：Jun Sik Kim (Incheon National University, Republic of Korea),

Da-Hea Kim (Sungkyunkwan University, Republic of Korea),

Sung Won Seo (Ajou University in Suwon, Republic of Korea)

摘要：我们研究了投资者情绪对期权/股票交易量比率（O/S）与未来股票回报率之间关系的影响。在卖空限制下，期权的相对交易量能预测股票回报率。鉴于此，我们预期并发现O/S与回报率之间的关系在投资者情绪高涨时期时比在低迷时期更强。我们发现在控制了消费者情绪指标和经济环境因素之后，Baker & Wurgler的投资者情绪指数能够影响O/S与股票回报率的关系。尽管先前的研究将消费者情绪指数作为测度投资者情绪的一种指标，但我们的结论表明二者存在区别。

Investor Sentiment and Return Predictability of the Option to Stock Volume Ratio

Jun Sik Kim (Incheon National University, Republic of Korea), Da-Hea Kim (Sungkyunkwan University, Republic of Korea), Sung Won Seo (Ajou University in Suwon, Republic of Korea)

ABSTRACT

We study the effect of investor sentiment on the relation between the option to stock volume ratio (O/S) and future stock returns. Relative option volume has return predictability under short sale constraints. For this reason, we expect and find a stronger O/S-return relation during high sentiment periods than during low sentiment periods. We find that Baker and Wurgler's Investor Sentiment Index affects the O/S-return relation after controlling for consumer sentiment indices and economic environment factors. While prior studies have used consumer sentiment indices as alternative measures of investor sentiment, our results suggest these effects are distinct.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12155/full

翻译：吴雨玲