投资者情绪对中国股票市场异象的影响

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1、上海高级金融学院金融学硕士学位论文投资者情绪对中国股票市场异象的影响论文题目：姓名：胡奕学号：1123809013指导教授：袁宇上海高级金融学院制表2014年5月11日万方数据硕士学位论文投资者情绪对中国股票市场异象的影响EffectsofInvestorSentimentonAnomaliesinChineseStockMarket作者：胡奕导师：袁宇教授上海交通大学上海高级金融学院二○一四年五月万方数据EffectsofInvestorSentimentonAnomaliesinChineseStockMarketByHuYiU

2、ndertheSupervisionofProfessorYuanYuSubmittedinPartialFulfillmentoftheRequirementsFortheDegreeofMasterofFinanceShanghaiAdvancedInstituteofFinanceShanghaiJiaoTongUniversityMay2014万方数据ContentAbstract.........................................................................

3、.................................ii摘要..............................................................................................................iii1.Introduction................................................................................................11.1Backg

4、round......................................................................................11.2LiteratureReview.............................................................................21.3MotivationandContribution....................................................

5、........91.4PaperStructure.................................................................................92.ChineseInvestorSentimentIndex...........................................................112.1PreviousProxiesofInvestorSentimentIndex...........................

6、....112.2ProxiesofChineseInvestorSentimentIndex................................132.3ConstructCISI...............................................................................153.DataScreenandDescriptiveStatistics....................................................194

7、.AnomaliesandLong-shortStrategies......................................................204.1Long-shortStrategies.....................................................................205.EmpiricalTests......................................................................

8、...................235.1TurnoverEffect..............................................................................2