本研究以投資人情緒來預測規模、價值及動能等投資組合報酬，探討不同類型的投資組合之下，何者投資組合對投資人情緒較為敏感；且探討究竟美英日三國投資人情緒是否能預測未來總體經濟情況以及三國投資人情緒之間是否具有領先落後的關係存在；最後探討以總體經濟因素過濾後的各國投資人情緒來預測各種特徵投資組合報酬，此外也將探討各國特徵投資組合報酬是否也會被他國過濾總體效果的投資人情緒所影響。以總體變數調整後的投資人情緒與各種特徵投資組合報酬之實證結果，發現美英日三國投資人情緒對價值溢酬無顯著的預測能力；美英日三國投資人情緒對不同持有期間之下的特徵投資組合規模溢酬存在部分顯著的負向預測能力，此外本研究發現美英兩國投資人情緒指標對日本規模溢酬具有顯著的負向預測能力；而美日兩國投資人情緒對不同持有期間之下的特徵投資組合動能溢酬存在部分正向預測能力，且發現美國投資人情緒指標對日本動能溢酬具有顯著的正向預測能力。因此本研究發現美英兩國的投資人情緒對日本規模溢酬具有外溢效果的現象，以及美國的投資人情緒對日本動能溢酬也具有外溢效果的現象。

This study investigates whether investor sentiment helps predict the return premiums of size portfolios, of value portfolios, and of momentum portfolios in the U.S., U.K., and Japanese stock markets and whether investor sentiment helps predict important macroeconomic variables. This study also investigates whether there is a lead-lag relation among investor sentiment in these three countries. More importantly, this study investigates whether investor sentiment that is filtered out the macroeconomic factors helps predict various return premiums in its own country and other countries. Some important results are noted as follows. First, the filtered investor sentiment of U.S., U.K., and Japan contains no useful information to predict the value premium in their stock markets. Second, the investor sentiment of U.S., U.K., and Japan helps predict the decrease in the size premium with different holding periods in their stock markets. Third, the filtered investor sentiment of U.S. and U.K. helps predict the decrease in the size premium of Japan. Fourth, the investor sentiment of U.S. and Japan helps predict the increase in the momentum premium with different holding periods in their stock markets. Fifth, the filtered investor sentiment of U.S. helps predict the increase in the momentum premium of Japan. Overall, the results imply that the investor sentiment of U.S. and U.K. has a spillover effect on the size premium of Japan, and that of U.S. has a spillover effect on the momentum effect of Japan.

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