本文關鍵詞： 反向投資策略 行為金融理論 過度反應　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

【摘要】：本文選取了在滬深兩市上市的所有A股在1992年1月至2011年12月期間的月數(shù)據(jù),研究了反向投資策略在中國股票市場上的適用性。研究結果表明反向投資策略在形成期和持有期都較長的情況下才具有獲利性。隨后,本文研究了市場超額回報率、SMB(由市值小的公司發(fā)行的股票組成的投資組合與由市值大的公司發(fā)行的股票組成的投資組合的收益之差)和HML(由賬面市值比較高的公司發(fā)行的股票組成的投資組合與由賬面市值比較低的公司發(fā)行的股票組成的投資組合的收益之差)與反向投資策略收益率之間的關系,并根據(jù)分析結果將反向投資策略分為4種情況——短形成期和短持有期的反向投資策略、短形成期和長持有期的反向投資策略、長形成期和短持有期的反向投資策略以及長形成期和長持有期的反向投資策略。針對每一種情況,本文都對其進行了改進,從而形成了一套完整的新反向投資策略。實證結果表明,新的反向投資策略獲利情況比原來的反向投資策略好,并且在中短期內(nèi)也能獲利。本文的研究意在為中國投資者提供一種長期穩(wěn)定的盈利模式并給出對其改進的方法。
[Abstract]:This paper selects the monthly data of all A-shares listed in Shanghai and Shenzhen from January 1992 to December 2011. This paper studies the applicability of reverse investment strategy in Chinese stock market. The results show that the reverse investment strategy is profitable only when the forming period and holding period are long. This paper studies the market excess rate of return. SMBs (difference between a portfolio of shares issued by market value's small company and a portfolio of shares issued by market value large companies) and HMLs (. The relationship between the difference between the return of a portfolio consisting of stocks issued by a company with a higher book market value and that of a stock issued by a company with a lower book market value) and the return on reverse investment strategy. According to the results of the analysis, the reverse investment strategy can be divided into four kinds: the short forming period and the short holding period reverse investment strategy, the short forming period and the long holding period reverse investment strategy. The reverse investment strategy of long forming period and short holding period, and the reverse investment strategy of long forming period and long holding period. The empirical results show that the profit of the new reverse investment strategy is better than that of the original reverse investment strategy. The purpose of this study is to provide a long-term stable profit model for Chinese investors and to improve it.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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本文編號：1492556