摘要
利用Python程序抓取东方财富网中个股股吧的实时发帖内容,本文基于朴素贝叶斯文本分类方法构建了样本股票的投资者情绪日度指标,并研究了投资者情绪与上市公司特质风险之间的关系.实证研究结果表明,前一期投资者情绪、当期投资者情绪都和公司特质风险之间存在显著的正相关关系,说明投资者情绪趋于乐观,则公司特质风险增加.进一步看,投资者情绪对估值难度和套利限制程度不同的公司股票特质风险的影响有差异,随着估值难度的增加和套利限制的增强,投资者情绪对股票特质风险的影响效应也显著增强.这些结论有助于从高频视角更深入理解股市中投资者情绪对股票风险的影响机理,丰富了对上市公司特质风险影响因素的认识.
Abstract
With the vigorous development of web2.0 and the rapid development of text mining technology,dif-ferent subjects create and share content on social media.In the process of information dissemination and shar-ing,the information structure of the stock market has been changed,which further strengthens the sentiment tendency of investors and ultimately affects their decisions.Investors driven by sentiment will induce noise trad-ing and cause changes in stock prices,which is manifested as changes in stock idiosyncratic risk.However,the influence of investor sentiment on idiosyncratic risk is rarely mentioned.Therefore,by crawling the real-time post content of the individual stock bar of Oriental Fortune.com,the daily investor sentiment of individual stock is constructed using the Naive Bayesian method.A panel regression model is used to investigate the influence of investor sentiment on idiosyncratic risk.The research is supplemented on the impact of investor sentiment and the influencing factors of idiosyncratic risk,which is helpful for a deeper understanding of the influence mechanism of investor sentiment on stock risk from the perspective of a high frequency,and has certain guid-ance and reference value for investors,listed companies and regulators.The results show that(1)Investor sentiment in the lagging period and the current period all have a significant positive impact on idiosyncratic risk(IR),indicating that idiosyncratic risk increases when investor sentiment tends to be optimistic.(2)The effect of investor sentiment on idiosyncratic risk varies with the change of the difficulty of stock valuation.Stocks with a lower book-to-market and analyst tracking number are more difficult to value,and investor sentiment has a greater impact on idiosyncratic risk.(3)Considering the effect of arbitrage restriction,with the increase in the degree of short-selling restrictions,the effect of investor sentiment on idiosyncratic risk is significantly enhanced.After a series of robust tests,the above conclusions are still robust.
基金项目
教育部人文社会科学研究项目(22XJA790008)
陕西省自然科学基础研究计划(2023JCYB622)
NETL
NSTL
万方数据