Journal of Financial Markets, Volume 29, June 2016, Pages 47–65.

“橙汁困局”的由來：情緒，智錢，還是基本面？

作者：Pin-Huang Chou, Chia-Hsun Hsieh, Carl Hsin-Han Shen (Department of Finance-National Central University)

摘要：在著名的“橙汁困局”中，冷凍濃縮橙汁（FCOJ）期貨合約出現了大量令人費解的價格波動。在這一市場中，氣溫被認為是最重要的基本面因素，但它的解釋力弱且有限，同樣解釋力不足的是各種消費者和股票市場情緒因素反映的噪聲交易者觀念。相反地，一個基于調查、反映專業投資者總體觀念的指标——一緻看漲情緒指标（CBSI）的變動提供了所有因素中最高的解釋力。進一步分析表明CBSI所代表的看漲情緒的上升帶來了冷凍濃縮橙汁回報的上升和條件波動性的降低，因此支持了CBSI指标代表智錢效應的觀點。

關鍵詞：橙汁，氣溫，投資者情緒，智錢

What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?

Pin-Huang Chou, Chia-Hsun Hsieh, Carl Hsin-Han Shen (Department of Finance-National Central University)

ABSTRACT

In the famous “orange juice puzzle,” a large amount of inexplicable price volatility arises in frozen concentrated orange juice (FCOJ) futures contracts. Temperature is considered the most important fundamental factor in this market, but its explanatory power is low and limited, so are those of various consumer and stock market sentiment measures that reflect the noise traders? opinions. In contrast, shifts in a survey-based index called the Consensus Bullish Sentiment Index (CBSI), which reflect the overall opinions of professional investors, provide the largest explanatory power among all measures. Further analysis reveals that bullish shifts in the CBSI are followed by higher FCOJ returns but lower conditional volatility, thus supporting the notion that the index reflects the smart money effect.

Keywords：Orange juice; Temperature; Investor sentiment; Smart money

原文鍊接：http://www.sciencedirect.com/science/article/pii/S138641811500066X

翻譯：黃怡文