中文摘要：

个体投资者情绪变动会影响股票收益吗？本文以东方财富股吧发帖量作为个体投资者情绪的代理,研究个体投资者情绪、网络自媒体效应与股票收益可预测性之间的关系。我们发现,个体投资者情绪通过网络自媒体传播可以系统地影响股票收益,且存在显著的可预测性。具体而言,发帖量越高的组合,短期收益越高,表现出短期的动量效应;其次,当对样本股性质进行区分后,小市值、低账面市值比和机构投资者持股比低的股票对个体投资者情绪变动更加敏感,呈现出明显的情绪跷跷板效应。进一步地,经风险因子调整之后,零成本套利投资组合仍能获得显著的超额收益,且超额收益来源于前期低发帖量组合,情绪依然是情绪。

英文摘要：

Does the individual investor sentiment affect stock returns？ By using the number of posts on East Money Stock Post Boards as a proxy variable, this paper analyzes the relationship among the individual investor sentiment, the net- work we-media effect, and the predictability of stock returns. We find that individual investor sentiment can influence stock returns through the spread of network we-media which produces a significant predictability. Specifically, stocks with the more number of posts will earn higher in short-term, showing a short-term momentum effect. When distinguis-hing the sample stocks by corporation identity, empirical results indicate that individual investor sentiment more signifi- cantly affects the small scale stocks, low book-to-market stocks and stocks with low institutional ownership, showing a distinguished ＂Sentiment Cogging Effect＂. Furthermore, after risk adjustment, the zero-cost arbitrage portfolio still produces significant excess returns, and those returns are derived from the previous low number of posts stocks, sentiment remains emotional.