上海股市过度反应的实证研究及原因分析
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摘要
传统的金融学理论认为金融产品的价格中已经包含了所有的信息,因此,在任何时候,都可以将价格视为真实的投资价值。但是大量的实验研究表明,股票市场的异常现象无法用传统金融理论来解释,过度反应成为了其中的一个研究热点,涌现了许多理论和实证结果。
本文依据国内外相关的研究成果,采用Debont和Thaler的研究方法,选取2006年1月至2010年6月上海股票的交易数据,对是否存在过度反应进行实证检验。实证结果表明,检验期输家组合的超额收益率超过了赢家组合,确实存在着过度反应,并且期限越长,收益的反转程度越弱。对原因的研究中发现,赢输家组合的风险差异不能很好的解释过度反应,而投资者的认知偏差以及中国股票市场的制度背景等约束性条件是造成中国股市过度反应的主要原因。
本文从五个部分展开研究：
第一部分,研究的背景。解释了研究过度反应的必要性并且提出了研究方法；并且对行为金融学产生的背景、发展历史进行了综述,同时对行为金融学的基本内容进行了阐述。
第二部分,国内外文献综述。回顾了国内外大量学者对过度反应现象的实证研究以及原因分析。
第三部分,过度反应实证分析。选取2006年1月至2010年6月上海股票的交易数据,采用Debont和Thaler的经典研究方法,对是否存在过度反应进行实证检验。实证结果表明,其结果显示了上海股票市场的确存在过度反应,即在形成期表现最好的股票在检验期表现弱于市场平均水平,而在形成期表现最差的股票在检验期表现强于市场水平。
第四部分,过度反应的理论解释。国外的行为金融学的相关研究认为是因为证券投资者自身的认知偏差与风险因素。但如果只是研究心理原因和风险因素,并不能完全解释中国股票市场上的过度反应现象,所以还应该考虑中国股市具体的拘束条件,制度背景和市场结构等。
第五部分,总结了全文的结论,提出了相应的投资策略。
Traditional financial theory suggests that the price of financial products has already contains all the information,so it could be regarded as the true value of the investment price at any time.But lots of experimental studies indicated that the abnormal phenomena in the stock market could not be explained by the traditional financial theory,and overreaction became the research hotspot, emerging many theoretical and empirical results.
This text is based on domestic and foreign research results, use the research methods of Debont and Thaler, select the trading data from January 2006 to June 2010 in the Shanghai stock market.Test whether there is overreaction in the stock market. The empirical result shows that the test of the loser portfolio excess return more than the winner portfolio, confirms there is exist over-reaction, and with the term longer, income is less. The study found that the portfolio risk of winner and loser could not explained well for overreaction, and cognitive biases of investors and the institutional background of China's stock market conditions and other constraints is the main reason which caused by the Chinese stock market overreaction.
This paper has divided five part:
(1)The study backgroung. It explains the necessity of the research in over reaction and proposed methods;and reviewed the behavioral finance background, development history, and described the basic content of behavioral finance.
(2)Literature reviewed. Recalling the large number of scholars from domestic and abroad for overreaction and analysis of empirical research.
(3)The overreaction of empirical ananlysis. Select transaction data from January 2006 to June 2010 in Shanghai stock, and use the classic research methods of Debont and Thaler, test the existence of overreaction on the empirical. The empirical results shows that the results of the Shanghai stock market does exist overreaction,in other words the formation of the best performing stock on the test performance was weaker than that of the average market level, the worst in the formation of the stock to outperform in the test market level.
(4)The explain of the overreaction.Foreign behavioral financial research shows that it is because of the securities investors own cognitive bias and risk factors. However, if only research psychological causes and risk factors, couled not fully explain China's stock market overreaction, it should also be bound to consider the specific conditions of China's stock market, institutional background and market structure.
(5) Summarizes the full text of the conclusions, and propose the investment strategy.
本文依据国内外相关的研究成果,采用Debont和Thaler的研究方法,选取2006年1月至2010年6月上海股票的交易数据,对是否存在过度反应进行实证检验。实证结果表明,检验期输家组合的超额收益率超过了赢家组合,确实存在着过度反应,并且期限越长,收益的反转程度越弱。对原因的研究中发现,赢输家组合的风险差异不能很好的解释过度反应,而投资者的认知偏差以及中国股票市场的制度背景等约束性条件是造成中国股市过度反应的主要原因。
本文从五个部分展开研究：
第一部分,研究的背景。解释了研究过度反应的必要性并且提出了研究方法；并且对行为金融学产生的背景、发展历史进行了综述,同时对行为金融学的基本内容进行了阐述。
第二部分,国内外文献综述。回顾了国内外大量学者对过度反应现象的实证研究以及原因分析。
第三部分,过度反应实证分析。选取2006年1月至2010年6月上海股票的交易数据,采用Debont和Thaler的经典研究方法,对是否存在过度反应进行实证检验。实证结果表明,其结果显示了上海股票市场的确存在过度反应,即在形成期表现最好的股票在检验期表现弱于市场平均水平,而在形成期表现最差的股票在检验期表现强于市场水平。
第四部分,过度反应的理论解释。国外的行为金融学的相关研究认为是因为证券投资者自身的认知偏差与风险因素。但如果只是研究心理原因和风险因素,并不能完全解释中国股票市场上的过度反应现象,所以还应该考虑中国股市具体的拘束条件,制度背景和市场结构等。
第五部分,总结了全文的结论,提出了相应的投资策略。
Traditional financial theory suggests that the price of financial products has already contains all the information,so it could be regarded as the true value of the investment price at any time.But lots of experimental studies indicated that the abnormal phenomena in the stock market could not be explained by the traditional financial theory,and overreaction became the research hotspot, emerging many theoretical and empirical results.
This text is based on domestic and foreign research results, use the research methods of Debont and Thaler, select the trading data from January 2006 to June 2010 in the Shanghai stock market.Test whether there is overreaction in the stock market. The empirical result shows that the test of the loser portfolio excess return more than the winner portfolio, confirms there is exist over-reaction, and with the term longer, income is less. The study found that the portfolio risk of winner and loser could not explained well for overreaction, and cognitive biases of investors and the institutional background of China's stock market conditions and other constraints is the main reason which caused by the Chinese stock market overreaction.
This paper has divided five part:
(1)The study backgroung. It explains the necessity of the research in over reaction and proposed methods;and reviewed the behavioral finance background, development history, and described the basic content of behavioral finance.
(2)Literature reviewed. Recalling the large number of scholars from domestic and abroad for overreaction and analysis of empirical research.
(3)The overreaction of empirical ananlysis. Select transaction data from January 2006 to June 2010 in Shanghai stock, and use the classic research methods of Debont and Thaler, test the existence of overreaction on the empirical. The empirical results shows that the results of the Shanghai stock market does exist overreaction,in other words the formation of the best performing stock on the test performance was weaker than that of the average market level, the worst in the formation of the stock to outperform in the test market level.
(4)The explain of the overreaction.Foreign behavioral financial research shows that it is because of the securities investors own cognitive bias and risk factors. However, if only research psychological causes and risk factors, couled not fully explain China's stock market overreaction, it should also be bound to consider the specific conditions of China's stock market, institutional background and market structure.
(5) Summarizes the full text of the conclusions, and propose the investment strategy.
引文
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[10]宋瑞莉.浅谈投资与行为金融学[M].现代商业,2008：14.
[11]金晓斌、何旭强.投资者行为、市场风险收益特征与交易策略有效性深圳证券交易所第五届会员、基金管理公司研究成果：2003.
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