本文關(guān)鍵詞： 股票收益率 市場公開信息 貝葉斯分位數(shù)模型 投資心理偏差　出處：《上海大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：股票收益率是否能夠反映市場信息及其反映程度一直是理論界和實務(wù)界較為關(guān)心的問題。在理論上，最早由Fama（1973,1992）提出市場有效性理論和三因子模型來分析股票收益率對于市場信息的反應(yīng)程度和影響因素。在實務(wù)界，投資者通過基本面和技術(shù)面信息來對股票收益率進(jìn)行分析，借以取得盈利。近年來隨著行為金融學(xué)的興起，以De Bondt（1985）為代表的行為金融學(xué)學(xué)者從投資者心理的角度來分析投資者對于市場信息是否存在過度反應(yīng)和反應(yīng)不足，從而論證股票收益率對于市場信息可能存在的異質(zhì)性反應(yīng)。 基于Fama和De Bondt對于股票收益率反應(yīng)特征的相關(guān)理論，本文主要利用貝葉斯統(tǒng)計模型來實證分析我國股票收益率對于公開市場信息的反應(yīng)及其反應(yīng)程度。我們首先將市場公開信息分為3類，即企業(yè)財務(wù)信息、股票市場信息和宏觀經(jīng)濟信息，并通過AIC和貝葉斯因子等模型選擇標(biāo)準(zhǔn)來選擇較為顯著的變量來進(jìn)行回歸。實證結(jié)果顯示相比企業(yè)財務(wù)信息，股票市場信息和宏觀經(jīng)濟信息對于股票收益率有更大的影響作用，其中股票換手率、市場風(fēng)險系數(shù)β，存款準(zhǔn)備金率和貨幣供給量對于股票收益率的影響作用非常顯著，這說明我國的投資者在進(jìn)行投資決策時，比較重視股票市場技術(shù)面信息和宏觀信息。我們認(rèn)為這主要是由于我國股票投資者短期投機、股票市場分紅制度、財務(wù)信息披露不完善所致。 對于實證我國股票投資者是否存在過度反應(yīng)和反應(yīng)不足方面，以往學(xué)者們主要通過構(gòu)筑“贏者組合”和“輸者組合”，并比較投資收益率進(jìn)行實證分析。在本文中，我們通過貝葉斯分位數(shù)回歸來實證分析我國投資者對于市場信息是否存在過度反應(yīng)和反應(yīng)不足。在估計過程中，，我們使用馬爾可夫鏈蒙特卡羅模擬（MCMC）方法并通過Gibbs進(jìn)行抽樣。研究結(jié)果表明對于那些收益率出現(xiàn)大幅度上升的股票，投資者傾向于高估未來股票上漲的可能并夸大企業(yè)規(guī)模、換手率和貨幣供應(yīng)量等利好消息，這使得股票對于一個單位利好信息的沖擊，股票收益率的上升程度要大于其平均的上升程度。而對于那些出現(xiàn)暴跌的股票，投資者對上述忽視利好消息的作用，這使得投資者對于一個單位利好信息的沖擊，股票收益率的上升程度要遠(yuǎn)低于其平均的上升程度。所以我們認(rèn)為我國投資者也存在行為金融學(xué)中所提到的過度反應(yīng)和反應(yīng)不足。究其原因，我們認(rèn)為這種現(xiàn)象主要是我國投資者的自我歸因偏差、保守性心態(tài)等投資心理偏差所致。 為了使得我國股票市場更有效地發(fā)揮出股票市場的融資和投資功能，我國相關(guān)監(jiān)管機構(gòu)應(yīng)該完善我國股票紅利分配制度并改進(jìn)我國股票市場的信息披露機制。同時，我國投資者也需加強自身對信息的認(rèn)識能力，避免出現(xiàn)由于心理偏差而造成的投資損失。
[Abstract]:Whether the stock return rate can reflect the market information and its degree of reflection has always been concerned by the theoretical and practical circles. In theory, Fama(1973 is the earliest. In 1992, the theory of market efficiency and the three-factor model are proposed to analyze the degree of reaction of stock returns to market information and the influencing factors. In recent years, with the rise of behavioral finance, investors analyze the stock yield through fundamental and technical information to make a profit. The behavioral finance scholars, represented by de Bondtt (1985), analyze whether there is overreaction and insufficient reaction to market information from the point of view of investor psychology. Thus, the heterogeneity of stock returns to market information is demonstrated. Based on the theory of Fama and de Bondt reaction characteristics of stock returns. In this paper, we use Bayesian statistical model to empirically analyze the reaction of stock returns to open market information. Firstly, we divide the open market information into three categories, that is, enterprise financial information. Stock market information and macroeconomic information, and through AIC and Bayesian factor model selection criteria to select more significant variables to regression. Empirical results show that compared with corporate financial information. Stock market information and macroeconomic information have a greater impact on stock returns, including stock turnover rate, market risk coefficient 尾. The effect of reserve ratio and money supply on stock yield is very significant, which indicates that investors in our country are making investment decisions. We think this is mainly due to the short-term speculation of Chinese stock investors, the dividend system of stock market, and the imperfect disclosure of financial information. As to whether there is overreaction and insufficient reaction of stock investors in China, scholars used to construct "winner combination" and "loser combination". In this paper, we use Bayesian quantile regression to empirically analyze whether there is overreaction and underreaction to market information. We use the Markov chain Monte Carlo method to simulate the MCMCs and sample them by Gibbs. The results show that for those stocks whose returns have increased significantly. Investors tend to overestimate the possibility of future stock growth and exaggerate the size of the firm, turnover rate and money supply and other good news, which makes the impact of stocks on a unit of good information. Stock yields have risen more than their average, and investors have played a role in ignoring the good news for stocks that have plummeted. This makes the impact of investors on a unit of good information. The rising degree of stock yield is much lower than its average rise. So we think that investors in our country also have the overreaction and underreaction mentioned in behavioral finance. We think this phenomenon is mainly caused by investors' self-attribution bias, conservative mentality and so on. In order to make the stock market of our country play the financing and investment function of the stock market more effectively. China's relevant regulatory bodies should improve China's stock dividend distribution system and improve our stock market information disclosure mechanism. At the same time, our investors also need to strengthen their own understanding of the information ability. Avoid the loss of investment caused by psychological bias.
【學(xué)位授予單位】：上海大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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