投资者情绪对我国A股上市公司股票定价的影响研究——基于Fama-French三因子模型

Research on the Impact of Investor Sentiment on the Stock Pricing of A-Share Listed Companies in China—Based on the Fama-French Three-Factor Model

摘要: 多年来，学者们基于市场和公司基本面，建立了成熟的多因子定价模型，并通过市场数据验证。然而，市场并非完全有效，非理性现象时常出现，挑战了有效市场理论。行为金融理论逐渐重要，新的定价因子不断被探索并纳入模型，分析其对股票收益和资产定价的影响。我国股市发展较晚，政策尚不完善，散户较多，非理性因素可能对市场影响更大。国内研究发现，三因子模型和五因子模型对于我国来说，三因子的适配度会更高，因此在实证部分，本文选取了经典的Fama-French三因子模型，然后以隔夜收益率、个股换手率增长额、指令不平衡这3个指标构建投资者情绪指标，使用主成分分析法构造投资者情绪因子SENT。将情绪因子添加到三因子模型中，构建出一个新的四因子模型，然后对两个模型进行对比分析。

Abstract: Over the years, scholars have built mature multi-factor pricing models based on market and company fundamentals, which have been validated by market data. However, markets are not entirely efficient, and irrationalities often arise that challenge the theory of efficient markets. As behavioral finance theories become increasingly important, new pricing factors are being explored and incorporated into models to analyze their impact on stock returns and asset pricing. China’s stock market has developed late, the policy is not perfect, there are many retail investors, and irrational factors may have a greater impact on the market. Domestic research has found that compared with the five-factor model, the three-factor model is more suitable for China. Therefore, in the empirical part, this paper selects the classic Fama-French three-factor model, and then constructs the investor sentiment index with the three indicators of overnight return, the growth of individual stock turnover rate and the imbalance of instructions, and uses the principal component analysis method to construct the investor sentiment factor SENT. A new four-factor model was constructed by adding the sentiment factor to the three-factor model, and then the two models were compared and analyzed.