本研究探討情緒指標與動能投資利潤之間的關係。我們利用隱含波動曲線的斜率計算IV-情緒指數,而BW-情緒指數則從主成分分析法萃取而得。給定12個月的排序期下,我們證明當持有期間為3到12個月時,動能投資策略能獲取利潤;而當持有期間為24到36個月時, 反向投資策略能獲取利潤,此結果指出在樣本期間為1996年1月到2003年12月之間時,美國股票市場存在短期動能與長期反轉。在迴歸分中,利用市場報酬指標、流動性因子、BW-情緒指標、IV-情緒指標去解釋下一個月的累積動能投資報酬。結果指出BW-情緒指數扮演反向指標的角色。在分解IV-情緒指數之後,我們發現短期IV-情緒指數為反應不足的代理變數(動能指標),而長期的IV-情緒指數為過度反應的代理變數(反向指標)。因為在多元迴歸之中,所有的截距項皆不顯著,我們認為IV-情緒指數與BW-情緒指數能系統性的解釋動能投資策略報酬。

This study examines the relationship between sentiment indices and zero-cost momentum profits. We use the slope of implied volatility curve to calculate the IV-Sentiment index and principal component analysis to extract the BW-Sentiment index. Based on pre-ranking period of 12 months, we evidence that momentum strategies are profitable for holding periods range from 3 to 12 months, however, contrarian strategies are profitable for 24 and 36 months holding periods, indicate that U.S. stock market exists short-term momentum and long-term reversal over the period January 1996 through December 2003. Regressing one month ahead cumulative momentum returns on market return index, liquidity factor, BW-Sentiment index, and IV-Sentiment index, the results show that BW-Sentiment play the role
of contrarian indicator. After decomposing the IV-Sentiment index, we find that short-term IV-Sentiment index is a proxy for underreaction (momentum indicator), but long-term IV-Sentiment index is a proxy for overreaction (contrarian indicator). Because the intercepts of multivariate regressions are all insignificant, IV-Sentiment index and BW-Sentiment index seem to systematically explain the returns of zero-cost momentum strategies.

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