中信：投资者情绪指数专题研究报告—投资者情绪指数编制及应用
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1˖ᡩ䌘㗙ᚙ㒾∈ᑇᣛ᭄ Vs.Ёᷛ A 㙵㓐ড়ᣛ᭄ ................................................................................................ 5 2˖ԢӋ㙵/催Ӌ㙵 Vs.ᡩ䌘㗙ᚙ㒾∈ᑇᣛ᭄ ........................................................................................................ 6 3˖ѣᤳ㙵/㒽Ӭ㙵 Vs.ᡩ䌘㗙ᚙ㒾∈ᑇᣛ᭄ ........................................................................................................ 6 4˖ᇣⲬ㙵/Ⲭ㙵 Vs.ᡩ䌘㗙ᚙ㒾∈ᑇᣛ᭄ ........................................................................................................ 6 5˖ lj⋯ᴝᴎᯊNJᏖഎᚙ㒾਼ᳳ.......................................................................................................................... 9 6˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. ADV/DEC................................................................................................................ 10 7˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. ARMS ...................................................................................................................... 10 8˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. HIGH/LOW ............................................................................................................. 10 9˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. ᤶ⥛ .................................................................................................................... 10 10˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. PE........................................................................................................................... 11 11˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. PB .......................................................................................................................... 11 12˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. SML ....................................................................................................................... 11 13˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. ᇕ䯁ᓣ䞥ᡬӋ⥛ .............................................................................................. 11 14˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. IPO ᭄䞣 ................................................................................................................ 11 15˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. IPO ᔧ᮹ಲ ........................................................................................................ 11 16˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. A 㙵ޔᓔ᠋᭄ ........................................................................................................ 12 17˖Ёᷛ A 㙵㓐ড়ᣛ᭄ Vs. ᡩ䌘㗙ᚙ㒾ᣛ᭄˄ࡴܹᮄᓔ᠋˅.................................................................................. 12
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1ˊ ljᇣⲬ亢Ḑ䕂ࡼ䍟ⱘ߸ᮁNJ .2009-2 2ˊ lj㾘ᄤҡᇚЏᇐᏖഎNJ .........2009-1 3ˊ ljᇣⲬ㙵᳝ᳯ㒻㓁䍄ᔎNJ ...........2008-12 4ˊ ljӋؐࡼ䞣ㄪ⬹˖Ϣ䰙䔼ⱘゟԧ ൟNJ ................................................2008-9 5ˊ ljGARP 䗝㙵ㄪ⬹˖៤䭓ϢӋؐᑊ䞡NJ ...................................................... 2008-7 6ˊ ljᮄᯊҷϟ᭄䞣࣪ᡩ䌘ㄪ⬹NJ ...2008-7
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㸠Ў䞥㵡ᄺⱘᴀᗱᛇDŽᡩ䌘㗙ᑊ䴲ᅠܼ⧚ᗻˈ݊ᖗ⧚㋴ᡩ䌘އㄪᏖ എⓨ㒢Ё䍋ⴔ䞡㽕⫼ˈᚙ㒾ⱘᐙᑺ⊶ࡼᇐ㟈䅸ⶹأᏂᚙ㒾أᏂˈҢ㗠 ᬒФ㾖㗙ᚆ㾖ⱘᚙ㒾ˈ⫳ڀ㙵Ꮦ⊵≿㗙ᇐ㟈㙵♒DŽᡩ䌘㗙ᚙ㒾гᰃѻ ⫳ϔѯ䞥㵡Āᓖ䈵āⱘॳПϔDŽ ᡩ䌘㗙ᚙ㒾ᣛ᭄ৃҹ⫼ᴹ乘⌟㙵Ꮦⱘ乊ᑩDŽ ㊒䗝ᡩ䌘㗙ᚙ㒾㋏߫ᣛᷛ ˄Ϟ⍼ϟ䎠↨ǃ߯ᮄ催߯ᮄԢ↨ǃPEǃPBǃᤶ⥛ǃᇕ䯁ᓣ䞥ᡬӋ⥛ǃIPO ᭄䞣ঞ佪᮹⍼ᐙǃA 㙵ޔᓔ᠋᭄ㄝ˅ ˈ䗮䖛Џ៤ӑ⊩ᵘᓎᡩ䌘㗙ᚙ㒾ᣛ᭄ˈ ݊ЁϔЏ៤ӑ鹵ПЎĀᡩ䌘㗙ᚙ㒾∈ᑇᣛ᭄āˈѠЏ៤ӑ鹵ПЎāᡩ䌘 㗙ᚙ㒾বࡼᣛ᭄ā DŽ䆹ᣛ᭄ⱘؐf2 П䯈⊶ࡼˈৃҹᦤࠡ 1ˉ2 ᳜乘⌟㙵Ꮦ ⱘ乊ᑩDŽ DŽᡩ䌘㗙ᚙ㒾ᣛ᭄ৃ ᡩ䌘㗙ᚙ㒾ᣛ᭄ৃҹ㾷䞞 ݙA 㙵ⱘᶤѯᏖഎĀᓖ䈵ā ҹ⫼ᴹ㾷䞞ѣᤳ㙵ⳌᇍⲜ߽㙵ⱘᡬ⑶ӋǃᇣⲬ㙵ⳌᇍⲬ㙵ⱘᡬ⑶ӋDŽձℸ 㒧䆎ˈᡩ䌘㗙ᚙ㒾催⍼ⱘᯊˈᡩ䌘ѣᤳ㙵ᇣⲬ㙵ৃ㛑ᏺᴹ催ⱘᡩ䌘 ᬊⲞDŽ CAPM ൟЁࡴܹᚙ㒾ᣛ᭄ˈԄ䅵ߎⱘᚙ㒾£᳝ᡩ䌘ᣛᇐᛣНDŽᔧᡩ 䌘㗙ᚙ㒾Ϟछᯊˈৃҹ䍙䜡عᒋ䆒ǃࠊ㥃⫳⠽ǃ䕃ӊ᳡ࡵㄝ᳝催ⱘℷᚙ 㒾£ⱘ㸠Ϯ˗ᔧᡩ䌘㗙ᚙ㒾ϟ䰡ᯊˈৃҹ䍙䜡ଚϮ䫊㸠ǃḋ䞥㵡ǃ㛑⑤ㄝ ᳝催ⱘ䋳ᚙ㒾£㸠ϮDŽ ৢ㓁ⷨおDŽ㟈ѢⷨおϢᡩ䌘㗙ᚙ㒾Ⳍ݇ⱘᡩ䌘ㄪ⬹ˈ՟བᚙ㒾ᇍކㄪ⬹˗ ᮄ㙵ⱘᚙ㒾䗑䏾ঞᡩ䌘ㄪ⬹DŽ Ёֵ䆕ࠌⷨお䚼 䞥㵡Ꮉঞ㸡⫳ક㒘 㚵⌽
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ᡩ䌘㘮⛺ ...................................................................................................................................................................... 1 ⷨおḚᶊ ...................................................................................................................................................................... 1 ϔǃᘏԧᗱ䏃 ...................................................................................................................................................... 1 Ѡǃᡩ䌘㗙ᚙ㒾ⲥᣛᷛԧ㋏ .......................................................................................................................... 2 ϝǃᡩ䌘㗙ᚙ㒾ᣛ᭄ⱘ㓪ࠊᮍ⊩ ...................................................................................................................... 3 ᡩ䌘㗙ᚙ㒾ᣛ᭄ⱘᡩ䌘ᑨ⫼ ...................................................................................................................................... 4 ϔǃᡩ䌘㗙ᚙ㒾∈ᑇᣛ᭄ৃҹ⫼ᴹ乘⌟乊ᑩ ...................................................................................... 4 Ѡǃᡩ䌘㗙ᚙ㒾ᣛ᭄ৃҹ㾷䞞 ݙA 㙵ⱘᶤѯᏖഎĀᓖ䈵ā ...................................................................... 5 ϝǃᡩ䌘㗙ᚙ㒾ᣛ᭄ৃҹ⫼ᴹ䅵ㅫ㸠Ϯ㗙Ͼ㙵ⱘᚙ㒾£........................................................................... 7 ᘏ㒧ঞৢ㓁ⷨお .......................................................................................................................................................... 8 䰘ᔩ .............................................................................................................................................................................. 8 ϔǃ㸠Ў䞥㵡ᄺϢᡩ䌘㗙ᚙ㒾؛䇈 .................................................................................................................. 8 Ѡǃ㸠Ў䞥㵡ᄺᇍᡩ䌘㗙㸠Ўⱘᅲ䆕ⷨお ...................................................................................................... 8 ϝǃᡩ䌘㗙ᚙ㒾ⲥᣛᷛ Vs.Ёᷛ A 㙵㓐ড়ᣛ᭄ ......................................................................................... 10