偏最小二乘的投资者情绪评价体系构建及实证.

Aiming at the inconsistency problems on price fluctuation of industry sectors existed in the stock market, clustering analysis is adopted to study the heterogeneity of industry sector. Partial least squares method is used to establish an evaluation index system, and measure the investor sentiment in industry sectors, as well as the impact of investor sentiment heterogeneity on stock returns. It reveals the mechanism and path between the performance of sectors heterogeneity and investor sentiment. The research shows that the heterogeneity of industry sector leads to the same characteristics with investor sentiment, and investor sentiment leads to heterogeneity of returns on sectors. So guiding investor sentiment from the perspective of sectors can help the both sides of the market return to rational trading. [ABSTRACT FROM AUTHOR]