Journal of Financial Markets, Volume 23, March 2015, Pages 59–74.

情緒泡沫

作者：David Berger (Oregon State University, College of Business), Harry J. Turtle (West Virginia University, College of Business and Economics)

摘要：通過研究投資者情緒的累積變化，我們發現這樣的變化與一段時期内增長的高估值相關，并且随後伴随着價格糾正。情緒和收益的關系具有路徑依賴——短期的情緒高漲帶來強烈的正收益，而對持續很久的情緒高漲，随之而來的是負收益。正的短期收益與泡沫動量一緻，在一定程度上解釋了Abreu和Brunnermeier (2003)提出的反向誘導困惑。我們的結論在市場組合中得到了證實，并且在有着較高不确定性的不透明組合，以及因為較高市場摩擦而套利空間有限的組合中表現尤為明顯。

關鍵詞：投資者情緒；泡沫；價格糾正

Sentiment bubbles

David Berger (Oregon State University, College of Business), Harry J. Turtle (West Virginia University, College of Business and Economics)

ABSTRACT

We examine cumulative changes in investor sentiment and find that these changes relate to extended periods of increasing overvaluation, followed by price corrections. The relation between sentiment and returns is path dependent—short-term increases in sentiment precede strong positive returns, while prolonged periods of increasing sentiment precede negative returns. Positive short-run returns are consistent with bubble dynamics and mitigate the backwards induction conundrum described by Abreu and Brunnermeier (2003). Our results hold for the market portfolio, and are especially strong for opaque portfolios with high levels of uncertainty, as well as portfolios with greater market frictions that limit arbitrage.

Keywords：Investor sentiment; Bubbles; Price-correction

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S1386418115000142

翻譯：黃怡文