投资者情绪与时变风险补偿系数

摘要

风险补偿系数表示投资者承担单位风险所要求的收益补偿,也反映了风险与收益之间的关系.本文以美国股票市场为研究对象,首先通过构建的TVA-GARCH-M模型考察了投资者风险补偿系数的时变特征,在此基础上运用格兰杰因果关系检验和线性回归方法研究了美国市场上整体投资者情绪与时变的风险补偿系数的关系,结果表明:投资者的风险补偿系数随时间发生变化,投资者情绪与时变风险补偿系数存在显著的负相关关系,且美国股市整体投资者情绪能格兰杰引起时变风险补偿系数的变化;同时投资者情绪负向影响着时变风险补偿系数,乐观情绪的变动会导致时变风险补偿系数降低,而悲观情绪的变动会使得时变风险补偿系数增加.%The coefficient of risk compensation shows the compensation required by investors for taking each unit of risk,which also reflects the tradeoff between risk and return.Using data in the US stock market,this paper firstly builds a TVA-GARCH-M model to analyze the time-varying characteristics of investors' risk compensation coefficient.Then the relationship between the aggregate investor sentiment and the time-varying risk compensation coefficient in US stock market are investigated by using the granger causality test and the linear regression model.The results show that the coefficient of investors' risk compensation changes over time,and it is negatively related to aggregate investor sentiment.What's more,the aggregate investor sentiment has a negative effect on the time-varying risk compensation coefficient.Particularly,investors with optimism sentiment will decrease their time-varying risk compensation coefficient while investors with pessimism sentiment will make their time-varying risk compensation coefficient increase.