本文選題：行為金融學(xué)　切入點：投資者情緒　出處：《重慶理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：大量的實證研究發(fā)現(xiàn)，傳統(tǒng)金融理論對于現(xiàn)代金融市場出現(xiàn)的很多異象難以起到合理的解釋。而建立在傳統(tǒng)金融學(xué)理論基礎(chǔ)之上的行為金融學(xué)，大膽借鑒認(rèn)知心理學(xué)的研究成果，認(rèn)為投資者不是完全理性的，投資者的情緒能對決策行為產(chǎn)生重大的影響。行為金融學(xué)重新把投資者的不完全理性引入到理論模型中，成功的對金融市場的異象進(jìn)行了合理的解釋。 本文在參考相關(guān)文獻(xiàn)的基礎(chǔ)上，以行為金融學(xué)理論作為投資者情緒的理論基礎(chǔ)，從金融市場尋找投資者情緒存在的證據(jù)，并選取封閉式基金折價率、市場換手率、IP0首日回報率、IPO數(shù)目、IPO首日募集資金、消費者信心指數(shù)等6個隱性情緒指標(biāo),剔除宏觀經(jīng)濟(jì)影響的因素后，采用主成分分析法構(gòu)建成一個反映中小板市場的綜合投資者情緒指數(shù)。 在實證分析中，首先利用Fama和French三因素模型的基礎(chǔ)上引入構(gòu)造的中小板市場的綜合投資者情緒指標(biāo)，研究了投資者情緒對市場收益的影響程度，發(fā)現(xiàn)投資者情緒是影響市場整體收益除風(fēng)險外的具有顯著獨立影響的因子。并利用回歸模型，，驗證投資者情緒對于不同市值規(guī)模公司的股票收益的影響，結(jié)論表明在市場存在投資者情緒的影響下，中小板上市公司的股票收益與公司的市值規(guī)模是正向波動的，市值規(guī)模越大，股票收益也就越高，說明在中小板市場上不存在明顯的規(guī)模效應(yīng)。
[Abstract]:A large number of empirical studies have found that the traditional financial theory is difficult to provide a reasonable explanation for many anomalies in modern financial markets. Using the research results of cognitive psychology for reference, the author thinks that investors are not completely rational, and that investors' emotions can have a significant impact on decision-making behavior. Behavioral finance reintroduces investors' imperfect rationality into the theoretical model. The vision of the financial market was successfully explained reasonably. In this paper, based on the reference of relevant literature, the behavioral finance theory is used as the theoretical basis of investor sentiment, the evidence of investor sentiment is found from the financial market, and the discount rate of closed-end funds is selected. Market turnover rate and IP0 rate of return on the first day of IP0 the number of IPOs, the number of IPOs on the first day of IPOs, the index of consumer confidence and other hidden emotional indicators, and so on, after taking into account macroeconomic factors, The principal component analysis method is used to construct a comprehensive investor sentiment index which reflects the small and medium scale board market. In the empirical analysis, based on the Fama and French three-factor model, this paper introduces the comprehensive investor sentiment index of the small and medium-sized board market, and studies the influence of investor sentiment on the market returns. It is found that investor sentiment is a significant independent factor that affects the overall market returns except risks. The regression model is used to verify the influence of investor sentiment on the stock returns of companies with different sizes of market value. The conclusion shows that under the influence of investor sentiment in the market, the stock returns of the small and medium-sized board listed companies and the size of market value are positively fluctuated, and the larger the size of market value, the higher the stock returns. It shows that there is no obvious scale effect in the small and medium board market.
【學(xué)位授予單位】：重慶理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 劉力;行為金融理論對效率市場假說的挑戰(zhàn)[J];經(jīng)濟(jì)科學(xué);1999年03期

2 王永宏,趙學(xué)軍;中國股市“慣性策略”和“反轉(zhuǎn)策略”的實證分析[J];經(jīng)濟(jì)研究;2001年06期

3 宋軍,吳沖鋒;基于分散度的金融市場的羊群行為研究[J];經(jīng)濟(jì)研究;2001年11期

4 沈藝峰,吳世農(nóng);我國證券市場過度反應(yīng)了嗎?[J];經(jīng)濟(jì)研究;1999年02期

5 張俊喜,張華;解析我國封閉式基金折價之謎[J];金融研究;2002年12期

本文編號：1631408