ABSTRACT

Behavior Finance Theory explains the short-term deviations of futures price. However, the previous studies generally view sentiment as one-time dimension. This article, on a larger basis, captures both long-term and short-term investor sentiment. In such case, short-term predictive power of investor sentiment on index futures returns can be analyzed in two prospects. On the one hand, the spot market sentiment and futures market sentiment have more predictive power on short-term components of returns than long-term components of returns. On the other hand, short-term sentiment components of spot market and futures market are more statistically significant on returns than long-term components. To further explain that, out-of-sample evidence of short-term sentiment trading strategies is presented, which proves a statistically significant return with an annualized return of 40% and annualized Sharpe ratio of 2.4.

摘要

行为金融理论解释了期货价格的短期偏差。但是，先前的研究通常将情感视为一次性维度。本文从较大的角度介绍了长期和短期投资者的观点。在这种情况下，投资者情绪对指数期货收益的短期预测能力可以在两个前景中进行分析。一方面，现货市场情绪和期货市场情绪对收益的短期组成部分比对收益的长期组成部分具有更大的预测能力。另一方面，现货市场和期货市场的短期情绪成分在收益方面的统计意义要比长期成分更为重要。为了进一步说明，提出了短期情感交易策略的样本外证据，