本文選題：動量效應(yīng)　切入點：反轉(zhuǎn)效應(yīng)　出處：《南京師范大學》2012年碩士論文

【摘要】：傳統(tǒng)金融理論在今天遇到了挑戰(zhàn),一方面是股票市場異象的存在,推翻了股票市場是弱式有效市場的假定。另一方面,理性人這一前提假設(shè)受到質(zhì)疑。在其中,以人的不完全理性為假設(shè)的行為理論得以發(fā)展。 本文從非完全理性人的假設(shè)出發(fā),結(jié)合信息傳播的理論,構(gòu)建了信息消化模型。信息傳播的過程,也會傳播情緒和觀點,會影響投資者的判斷。不完全理性的個人,在接受信息的過程中,會受到其他的人的影響,尤其是群眾的影響而做出不理性的決策。在股票市場上尤其如此,因為股票價格難以確定,即使是資產(chǎn)定價模型亦難以給出精確定價。在此理論上構(gòu)建了信息消化模型,解釋了動量效應(yīng)和反轉(zhuǎn)效應(yīng)的成因,并且從模型中得到兩個關(guān)于牛熊市中動量效應(yīng)和反轉(zhuǎn)效應(yīng)不同表現(xiàn)的推論。 在檢驗部分,本文使用Debont和Thaler(1985)以及Jegadeesh和Titman(1993)的方法分別研究了中國股市的反轉(zhuǎn)效應(yīng)和動量效應(yīng),創(chuàng)新之處在于將股市的狀態(tài)分為熊市、牛市和震蕩市,研究在其中的動量效應(yīng)和反轉(zhuǎn)效應(yīng)的特點。結(jié)果表明,和其他學者的研究結(jié)果一致,中國股市存在明顯的反轉(zhuǎn)效應(yīng),可以使用反轉(zhuǎn)投資策略獲得持續(xù)的超額收益。并且對于跨域了牛熊市的股票組合,其反轉(zhuǎn)效應(yīng)更顯著。但是動量效應(yīng)不能一概而論,因為在三種市場狀態(tài)中,動量效應(yīng)的表現(xiàn)不同。在牛市和熊市之中,高市值高股價的大公司股票價格表現(xiàn)出月度動量效應(yīng),而在震蕩市中,表現(xiàn)出明顯的月度反轉(zhuǎn)效應(yīng)。另外,檢驗結(jié)果也驗證了信息消化模型推導出的兩個推論。但是,盡管其推論得到檢驗證實,但在更嚴謹?shù)难芯空归_之前,對信息消化模型需要有保留地接受。
[Abstract]:The traditional financial theory is confronted with a challenge today. On the one hand, the existence of the abnormal vision of the stock market overturns the assumption that the stock market is a weak efficient market.On the other hand, the hypothesis of rational man is questioned.Among them, the behavior theory based on the assumption of incomplete rationality of human beings has been developed.Based on the hypothesis of incomplete rational people and the theory of information dissemination, this paper constructs an information digestion model.The process of information dissemination, will also spread emotions and views, will affect the judgment of investors.In the process of receiving information, individuals who are not completely rational will be influenced by other people, especially by the masses, and make irrational decisions.This is especially true in the stock market, where stock prices are difficult to determine and even asset pricing models are difficult to price accurately.In this paper, the information digestion model is constructed, the causes of momentum effect and reversal effect are explained, and two inferences about the different expressions of momentum effect and reversal effect in bull bear market are obtained from the model.In the test part, we use the methods of Debont and Thalerian (1985) and Jegadeesh and Titmanton (1993) to study the reverse effect and momentum effect of Chinese stock market respectively. The innovation lies in dividing the state of stock market into bear market, bull market and shock market.The characteristics of momentum effect and reversal effect are studied.The results show that, in line with the research results of other scholars, there is an obvious reversal effect in China's stock market, and the strategy of reverse investment can be used to obtain sustained excess returns.Moreover, the reversal effect is more significant for the stock portfolio with a cross-domain bull bear market.But the momentum effect can not be generalized, because in the three market states, the momentum effect performance is different.In bull and bear markets, large companies with high market value share prices exhibit monthly momentum effects, while in volatile markets, they exhibit significant monthly reversal effects.In addition, the test results also verify the two inferences derived from the information digestion model.However, although the corollary is verified by the test, the information digestion model needs to be accepted with reservations before more rigorous research is carried out.
【學位授予單位】：南京師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1701621