投资者情绪 与股票横截面收益_中国A股市场实证研究.pdf

硕士学位论文




投资者情绪与股票横截面收益:
中国 A 股市场实证研究
INVESTOR SENTIMENT AND CROSS
SECTIONAL STOCK RETURNS:
EMPIRICAL FROM CHINESE A SHARE
MARKET




作者:徐舒


导师:袁宇教授



上海交通大学上海高级金融学院
二○一三年五月
Investor Sentiment and Cross Sectional
Stock Returns: Empirical from Chinese A
Share Market




By
Xu Shu

Under the Supervision of
Professor Yuan Yu

Submitted in Partial Fulfillment of the
Requirements
For the Degree of Master In Finance



Shanghai Advanced Institute of Finance
Shanghai Jiaotong University
May 2013
Content
Abstract ................................................................................................................... i
摘要.................................................................................................................... ii
1. Introduction ...................................................................................................... 1
. Background .......................................................................................... 1
. Theoretical Background .............................................................. 2
. Practical Background: The Chinese Market ................................ 2
. Research Contents and Design ............................................................. 3
. Significance and Contribution ............................................................. 4
2. Literature Review ............................................................................................ 6
. What is investor sentiment and why does it matter ............................. 6
. How to Measure Investor Sentiment .................................................... 7
. Sentiment and Stock Market Return .................................................. 10
. Sentiment and Stock Pricing ..................................................... 10
. Sentimen