基于投资者关注度的中国股市价格及盈余惯性研究

发布时间：2018-06-15 06:40

本文选题：价格惯性 + 盈余惯性　；参考：《复旦大学》2013年硕士论文

【摘要】：价格惯性与盈余惯性自其被发现伊始,已普遍地在全球的股票市场中被证实存在,是一种无法用有效市场资产定价模型解释的“异常现象”。本文从行为金融学的角度出发,引入投资者关注度这一概念,假设关注度的分配不均既可引发投资者对一些信息的反应不足,又可引发对另一些信息的反应过度。本文探讨了在不同关注度下中国股市价格惯性与盈余惯性的特征,以期得到我国投资者对价格和盈余信息的反应程度。本文分别进行了横截面面板研究与时间序列研究,以换手率和市场牛熊市状态分别作为衡量投资者关注度的变量。以1997-2011年中国沪深两市A股上市公司的月收益率及季度盈余公告为研究对象,结果表明：在中国,股票市场价格惯性策略的收益率与关注度成负相关关系、且在高关注度下收益率显著为负；盈余惯性的收益率与关注度成正相关关系、且在任何关注度分组下收益率始终显著为正；市场上升或下跌状态并不对价格和盈余策略收益产生显著影响。本文的实证结果与美国市场截然不同,中国投资者对历史价格和盈余公告皆表现出反应过度的特征,而美国市场投资者对历史价格反应过度、对盈余信息则反应不足。本文结合中国股票市场特殊性及投资者行为的特征,对实证研究结果进行原因分析。
[Abstract]:Price inertia and earnings inertia have generally existed in the global stock market since they were discovered, which is an "abnormal phenomenon" which can not be explained by the efficient market asset pricing model. From the point of view of behavioral finance, this paper introduces the concept of investor attention. It is assumed that the uneven distribution of attention can not only cause investors to react inadequately to some information, but also overreact to others. This paper discusses the characteristics of price inertia and earnings inertia of Chinese stock market under different degrees of concern, in order to obtain the degree of reaction of Chinese investors to price and earnings information. In this paper, cross section panel and time series are studied respectively. Turnover rate and market bull market state are taken as variables to measure investor attention. Based on the monthly return and quarterly earnings announcement of A-share listed companies in Shanghai and Shenzhen stock markets from 1997 to 2011, the results show that: in China, the return rate of stock market inertia strategy has a negative correlation with the degree of concern. The yield of earnings inertia is positively correlated with the degree of concern, and the return rate is always positive under any group of concerns. The rise or fall of the market does not have a significant impact on prices and earnings strategy returns. The empirical results of this paper are quite different from those of the American market. Chinese investors are overreacting to historical prices and earnings announcements, while American investors are overreacting to historical prices, but not to earnings information. Based on the particularity of Chinese stock market and the characteristics of investors' behavior, this paper analyzes the causes of the empirical results.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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