投资者情绪对绿色债券收益的影响分析——基于Fama-French三因子模型的实证研究

The Impact of Investor Sentiment on the Return of Green Bonds—An Empirical Study Based on Fama-French Three-Factor Model

摘要: 绿色债券是我国“双碳”战略下的独特债券品种，能够促进我国绿色产业发展及优化绿色产业配置，受到越来越多投资者的广泛关注。本文从行为金融学的角度出发，使用主成分分析法构建投资者情绪指数，选取2010年1月至2023年8月中债绿色债券指数，通过Fama-French三因子模型实证检验我国投资者情绪对绿色债券收益率的影响。研究发现：将投资者情绪指数纳入Fama-French三因子模型拟合效果最好，即投资者情绪对绿色债券收益率存在一定的解释力度。投资者情绪与绿色债券收益率存在显著的正相关关系，若市场投资者情绪呈高涨趋势，则绿色债券收益率也会相应提升。

Abstract: Green bond is a unique bond variety under the “double carbon” strategy in our country, which can promote the development and optimization of green industry allocation in our country, has attracted more and more investors’ attention. From the perspective of behavioral finance, this paper uses principal component analysis to construct investor sentiment index, selects mid-bond green bond index from January 2010 to August 2023, and empirically tests the impact of investor sentiment on green bond yield through Fama-French three-factor model. The results show that the best fitting effect is achieved by incorporating the investor sentiment index into the Fama-French three-factor model, that is, investor sentiment has a certain explanatory power to the green bond yield. There is a significant positive correlation between investor sentiment and green bond yield. If market investor sentiment shows a rising trend, the yield of green bond will also increase accordingly.