投资者情绪与股票横截面收益中国a股市场实证研究

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1、硕士学位论文投资者情绪与股票横截面收益：中国A股市场实证研究INVESTORSENTIMENTANDCROSSSECTIONALSTOCKRETURNS:EMPIRICALFROMCHINESEASHAREMARKET作者：徐舒导师：袁宇教授上海交通大学上海高级金融学院二○一三年五月InvestorSentimentandCrossSectionalStockReturns:EmpiricalfromChineseAShareMarketByXuShuUndertheSupervisionofProfessorYuanYuSubmittedinP

2、artialFulfillmentoftheRequirementsFortheDegreeofMasterInFinanceShanghaiAdvancedInstituteofFinanceShanghaiJiaotongUniversityMay2013ContentAbstract...................................................................................................................i摘要.............

3、.......................................................................................................ii1.Introduction......................................................................................................11.1.Background........................................

4、..................................................11.1.1.TheoreticalBackground..............................................................21.1.2.PracticalBackground:TheChineseMarket................................21.2.ResearchContentsandDesign...............................

5、..............................31.3.SignificanceandContribution.............................................................42.LiteratureReview............................................................................................62.1.Whatisinvestorsentimentandwhydoesitma

6、tter.............................62.2.HowtoMeasureInvestorSentiment....................................................72.3.SentimentandStockMarketReturn..................................................102.3.1.SentimentandStockPricing.........................................

7、............102.3.2.SentimentandStockMarketVolatility......................................122.4.ChineseStockMarket:SpecialtyandEmpiricalFindings................133.MethodologyandDataDescription...............................................................153.1.TheoreticalAn

8、alysisandEmpiricalModel........................................153.2