股票報酬與投資人情緒之預測

Prediction of Stock Returns and Investor Sentiment

本文對投資人情緒是否具短期未來股票報酬預測能力之議題，進行實證研究，相較於文獻使用之預測模型，本研究使用之模型，考量變數資料可能具有單根、持續性、內生性、異質變異性等問題，避免傳統預測模型可能產生估計偏誤之情形。本研究發現，投資人情緒與短期未來股票報酬具有正向相關性，顯示投資人情緒短期內具有持續性，使次期股價上揚，報酬率增加。另外，本研究發現消費者信心指數對股票報酬無顯著預測能力，因此，對於未來股票報酬之預測能力，使用股票市場資料變數作為投資人情緒之衡量工具，優於一般總體經濟指標。

This article tests for the predictive ability of investor sentiment for near-term future stock market returns. Compared with the prediction models used by prior studies, our model takes into account the possible problems on unit root, persistency, endogeneity orheteroscedasticity to avoid biased estimation. Our tests show a significant and positive relation between investor sentiment and future stock returns. The result implies that investor sentiment is persistent and makes future stock prices rise. Our tests also show that Consumer Confidence Index is uncorrelated with future stock returns. The results imply that stock market variables are better than macroeconomic indices as measuring tools of investor sentiment for predicting future stock returns.