投资者情绪对股票型ETF基金收益率的影响

The Impact of Investor Sentiment on the Returns of Stock Based ETF Funds

摘要: 本文基于人类行为模式重复可预测为前提条件，通过主成分分析法对已有的投资者情绪代理指标进行综合的构建投资者情绪指标随后研究其与基金规模和收益的关系，发现投资者情绪与基金规模和收益率都呈现正相关关系，说明投资者情绪可预测基金未来收益，并根据回归结果从投资者和市场角度给出建议。

Abstract: This article is based on the premise that human behavior patterns are repeatable and predictable, and uses principal component analysis to comprehensively construct investor sentiment proxy indicators. Subsequently, the relationship between investor sentiment indicators and fund size and returns is studied, and it is found that investor sentiment is positively correlated with fund size and returns, indicating that investor sentiment can predict future fund returns, and provide recommendations from the perspectives of investors and the market based on the regression results.