本文關(guān)鍵詞： 有限理性 啟發(fā)法 注意力配置 排行榜效應 巧合交易　出處：《南京大學》2013年碩士論文　論文類型：學位論文

【摘要】：Kahneman (1973)提出了有限注意理論,投資者對一件事物注意力的增加勢必會減少對另一件事物的注意力。近些年來越來越多的金融學家開始對這方面進行了研究,而且漲幅排行榜是一種低成本的信息資源,這無疑會獲得投資者的青睞�，F(xiàn)在,各大期刊雜志、網(wǎng)絡(luò)上的經(jīng)濟板塊每天都會更新熱門股票漲幅排行榜。被推薦的熱門股票很容易進入股民們的視野,同樣它們吸引到的關(guān)注度也越來越高,因此產(chǎn)生了排行榜效應。排行榜效應是眾多投資者共同作用的結(jié)果。這是因為投資者更傾向于購買那些可以引起他們關(guān)注的股票。 本文通過對有限注意和排行榜的相關(guān)研究發(fā)現(xiàn)當漲幅排行榜公布以后,排行榜中的前十只股票會比排行榜外的十只股票得到投資者更多的關(guān)注,并且通過2005年1月1日至2012年12月31日的相關(guān)數(shù)據(jù)研究發(fā)現(xiàn)的確存在這樣的排行榜效應。最后,論文還將排行榜中大于2只以上的股票歸屬于同一概念股板塊這一事件作為巧合因素,同時這也被投資者利用作為投資策略進而贏得市場。 本文的研究結(jié)果是：在有限注意的情況下,排行榜會吸引投資者的關(guān)注,產(chǎn)生了排行榜效應。同時當所選取的巧合因子K=4時,夏普比率最大,波動率較低,投資收益率贏得市場,投資組合是最優(yōu)的。同時還發(fā)現(xiàn)在熊市的時候,投資者會抱團取暖,排行榜巧合效應能夠贏得市場,但是在牛市的時候,人們的投資相對比較分散,巧合投資策略會輸給市場。
[Abstract]:Kahneman proposed the theory of limited attention, in which an increase in investor attention to one thing is bound to reduce attention to another. In recent years, more and more financiers have begun to study this area. And the rise list is a low-cost information resource, which will undoubtedly win the favor of investors. Now, major journals, The economic sector on the Internet updates the list of popular stocks every day. Recommended hot stocks are easily visible to investors, and they are attracting more and more attention. So there is the ranking effect. The ranking effect is the result of a lot of investors working together. This is because investors are more likely to buy stocks that attract their attention. Based on a study of limited attention and rankings, this paper finds that the top 10 stocks in the top 10 stocks will get more attention from investors than the 10 stocks out of the list after the increase in the list is announced. And through the relevant data from January 1st 2005 to December 31st 2012, it is found that there is such a ranking effect. Finally, The event that more than two stocks in the rankings belong to the same concept sector is also cited as a coincidental factor, which is also used by investors as an investment strategy to win the market. The results of this study are as follows: in the case of limited attention, the chart will attract investors' attention and produce a ranking effect. At the same time, when the coincidental factor K = 4:00, Sharp's ratio is the largest and the volatility is low. The return on investment wins the market, and the portfolio is optimal. It is also found that in a bear market, investors get together and coincidences can win the market, but in a bull market, people's investments are relatively scattered. Coincidentally, investment strategies lose out to the market.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.59;F224;F830.91

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本文編號：1533513