Journal of Financial Markets, Volume 29, June 2016, Pages 47–65.

“橙汁困局”的由来：情绪，智钱，还是基本面？

作者：Pin-Huang Chou, Chia-Hsun Hsieh, Carl Hsin-Han Shen (Department of Finance-National Central University)

摘要：在著名的“橙汁困局”中，冷冻浓缩橙汁（FCOJ）期货合约出现了大量令人费解的价格波动。在这一市场中，气温被认为是最重要的基本面因素，但它的解释力弱且有限，同样解释力不足的是各种消费者和股票市场情绪因素反映的噪声交易者观念。相反地，一个基于调查、反映专业投资者总体观念的指标——一致看涨情绪指标（CBSI）的变动提供了所有因素中最高的解释力。进一步分析表明CBSI所代表的看涨情绪的上升带来了冷冻浓缩橙汁回报的上升和条件波动性的降低，因此支持了CBSI指标代表智钱效应的观点。

关键词：橙汁，气温，投资者情绪，智钱

What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?

Pin-Huang Chou, Chia-Hsun Hsieh, Carl Hsin-Han Shen (Department of Finance-National Central University)

ABSTRACT

In the famous “orange juice puzzle,” a large amount of inexplicable price volatility arises in frozen concentrated orange juice (FCOJ) futures contracts. Temperature is considered the most important fundamental factor in this market, but its explanatory power is low and limited, so are those of various consumer and stock market sentiment measures that reflect the noise traders? opinions. In contrast, shifts in a survey-based index called the Consensus Bullish Sentiment Index (CBSI), which reflect the overall opinions of professional investors, provide the largest explanatory power among all measures. Further analysis reveals that bullish shifts in the CBSI are followed by higher FCOJ returns but lower conditional volatility, thus supporting the notion that the index reflects the smart money effect.

Keywords：Orange juice; Temperature; Investor sentiment; Smart money

原文链接：http://www.sciencedirect.com/science/article/pii/S138641811500066X

翻译：黄怡文