近年來大量的文獻證實投資者情緒在股票市場上扮演重要角色，然至今學者對投資者情緒是否會影響期貨市場報酬仍莫衷一是。本文彙整5個分別代表股票市場、消費者信心及期貨市場專業投資者的情緒指標，逐一對32隻美國的商品期貨及金融期貨進行驗證。實證結果發現股票市場的投資者情緒並未具有跨市場之影響能力，此一結論支持Miller (1977) 所提出之放空限制假說，而廣被視為資訊交易者的期貨專業投資人其情緒則能顯著預測期貨報酬。本文進一步探究期貨市場上專業投資者獲得正向報酬之成因，發現在農產品期貨及金屬期貨上專業投資者較可能因承擔風險而獲得相應報酬 (風險溢酬效果)；然就家畜期貨及金融期貨而言，專業投資者較可憑藉其出色之分析能力賺取正向報酬 (聰明錢效果)。;This article investigates the extent to which various investor sentiment measures explain the returns in U.S. futures markets where there exist no short-sale restrictions. Consistent with the Miller’s (1977) hypothesis, our empirical results show that the aggregate stock market investor sentiment, individual investor sentiment, and consumer confidence indices provide limited predictive ability. Surprisingly, only the Consensus bullish sentiment index (CBSI), an index compiled based on the opinion of institutional investors, provides comprehensive predictive power for all futures contracts. However, the relationship between changes in CBSI and subsequent futures returns is positive, suggesting that the CBSI may not be a sentiment index measuring noise traders’ misreaction. A further analysis based on a GARCH-in-mean model indicates that, among the sample of 32 futures contract, 8 contracts exhibit a positive risk-return relationship, suggesting that risk premium hypothesis that institutional investors are rational investors. Interestingly, about one third of the futures contracts exhibit a negative risk-return relationship, suggesting that a higher return predicted by an increase in CBSI is accompanied with a lower volatility, thus supporting the smart money hypothesis.
