洪祥骏,吉利

• 1:清华大学经济管理学院
• 2:北京大学光华管理学院

摘要(Abstract)：

口红效应是指在经济萧条阶段有些产业却趋于繁荣的一种经济现象。美法等国的海外历史经验表明文化娱乐产业往往是经济低谷期的受益者。本文从市场情绪的视角分析宏观经济与文娱产业绩效关系,探究了不同投资者情绪下文娱产业中的口红效应是否存在。本文对于股票市场的口红效应的实证分析采用公司微观层面的文本指标来度量投资者情绪(股吧正面评论与负面评论),以及采用网络搜索指标来度量投资者关注(文娱行业关注度与文娱个股关注度)。产品市场的口红效应则采用宏观上消费者情绪角度(消费者信心指数与电影总票房收入)开展检验。实证结果表明文娱类股票超额收益与宏观经济呈现负相关,尤其是投资者正面情绪较弱,负面情绪较强的时候。此外投资者对于行业和企业关注度较低时也会产生股票超额收益的口红效应。文娱产业经营业绩的口红效应也被证实,并且当消费者情绪低落,行业关注度较低时更明显。当市场非理性程度变强时,投资者情绪对于股市口红效应的解释力会变强,消费者情绪对于经营绩效口红效应解释力会变弱。政策建议上,我国在经济转型期应该更加注重对投资者的理性引导,合理利用娱乐行业的情绪因素选择新的经济增长点。

关键词(KeyWords)： 口红效应;投资者情绪;宏观经济;投资者关注

Abstract:

Keywords:

基金项目(Foundation):

作者(Author): 洪祥骏,吉利

DOI: 10.16513/j.cnki.cje.20200323.001

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