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

投资者恐惧情绪之和与资产定价

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

摘要：我们使用来自数以百万计家庭的每日网络搜索量来反映市场水平的投资者情绪。通过加总与每个家庭紧密相关的一些词汇（如萧条，失业，破产）的搜索量，建立了一个恐惧指数（FEARS index）来衡量投资者情绪。在2004到2011年之间，我们发现恐惧指数能够（i）预测短期的收益反转（ii）预测暂时的市场波动性增强（iii）预测共同基金从股票市场撤资而转投债券市场。综合来说，这些结论都明显符合关于投资者情绪的理论。

关键词：资产定价，债券，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

原文链接：http://rfs.oxfordjournals.org/content/28/1/1.abstract

翻译：黄怡文