Review of Financial Studies, January 2015, v. 28, iss. 1, pp. 1-32

投資者恐懼情緒之和與資産定價

作者：Da, Zhi; Engelberg, Joseph; Gao, Pengjie

摘要：我們使用來自數以百萬計家庭的每日網絡搜索量來反映市場水平的投資者情緒。通過加總與每個家庭緊密相關的一些詞彙（如蕭條，失業，破産）的搜索量，建立了一個恐懼指數（FEARS index）來衡量投資者情緒。在2004到2011年之間，我們發現恐懼指數能夠（i）預測短期的收益反轉（ii）預測暫時的市場波動性增強（iii）預測共同基金從股票市場撤資而轉投債券市場。綜合來說，這些結論都明顯符合關于投資者情緒的理論。

關鍵詞：資産定價，債券，共同基金

The Sum of All FEARS Investor Sentiment and Asset Prices.

Da, Zhi; Engelberg, Joseph; Gao, Pengjie

ABSTRACT

We use daily Internet search volume from millions of households to reveal market-level sentiment. By aggregating the volume of queries related to household concerns (e.g., "recession," "unemployment," and "bankruptcy"), we construct a Financial and Economic Attitudes Revealed by Search (FEARS) index as a new measure of investor sentiment. Between 2004 and 2011, we find FEARS (i) predict short-term return reversals, (ii) predict temporary increases in volatility, and (iii) predict mutual fund flows out of equity funds and into bond funds. Taken together, the results are broadly consistent with theories of investor sentiment.

Keywords: Asset Price; Bond; Mutual Fund

原文鍊接：http://rfs.oxfordjournals.org/content/28/1/1.abstract

翻譯：黃怡文