总投资和未来收益率的长期关系及影响机制*——基于贝叶斯估计方法的实证分析
THE LONGTERM RELATIONSHIP AND INFLUENCE MECHANISM BETWEEN AGGREGATE INVESTMENT AND FUTURE RETURN RATE——An Empirical Analysis Based on Bayesian Estimation Methods

摘要 本文利用2000—2015年中国上市公司季度数据，采用贝叶斯估计方法实证研究总投资和未来收益率间的长期关系，并从投资者情绪视角探究了二者间的微观影响机制。实证结果显示：第一，短期内总投资的不断增加导致了未来收益率的下降，并且这种负向作用长期内显著增加；第二，在总投资能预期到现金流冲击的情况下，投资者情绪因素解释了总投资与未来收益率间的负向效应问题。
Abstract： This paper uses quarterly data of Chinas listed companies between 2000—2015 and utilizes Bayesian estimation methods in an attempt to study the longterm relationship between aggregate investment and future return rate. Especially, this paper explores the influence mechanism from the perspective of investor sentiment. The empirical results show: firstly, increase in aggregate investment in short term lead to a decline in future return rate. Secondly, under the situation that aggregate investment can be expected to lead to cash flow impact, investor sentiment factors can explain the negative effects between aggregate investment and future return rate.