文章首先验证了隔夜收益率可以作为中国股票市场中衡量个股日 度投资者情绪的指标. 使用这一指标, 文章实证发现在中国市场上正向情绪和负 向情绪具有不对称性: 正向情绪的短期持续性小于负向情绪的短期持续性, 负向情绪相较正向情绪需要更长的时间来释放. 这一现象可由中国市场上个人投资者的处置效应解释. 研究发现投资者情绪的不对称性在个人投资者占比高的股票上表现得更为强烈, 而且正向投资者情绪相较负向投资者情绪驱动着更高的市场交易.

At first the paper verifies that overnight returns can be used to measure daily firm-specific investor sentiment in Chinese stock market. Using this measure, the paper finds that there is asymmetry of investor sentiment. Specifically, positive investor sentiment has weaker short-term persistence than negative sentiment, i.e., negative sentiment takes more time to dissipate. The asymmetry can be explained by the disposition effect of individual investors in Chinese stock market. The paper further finds that the asymmetry is stronger for stocks with higher individual investors ownership. The paper also finds that positive sentiment drives more intense trading activities.