本文選題：投資者情緒　切入點：爆炸事件　出處：《浙江大學》2017年碩士論文　論文類型：學位論文

【摘要】：有效市場假說假設(shè)投資者基本上是理性的。即使有一部分是非理性的,它們的交易方向總體而言較為隨機,對整個市場的影響會相互抵消。因此對價格的影響幾乎為零。即使有一部分非理性投資者的交易方向相同,理性的套利會將價格拉回基本面。行為金融學領(lǐng)域的學者在許多方面對有效市場假說提出了挑戰(zhàn),并假設(shè)投資者是非理性的,而且套利是受限制的。對有限套利的研究針對的是理性投資者,而整個經(jīng)濟學對理性投資者的研究是較為成熟的。因此我們對于投資者情緒的理解遠小于對于套利受限的理解。本文將爆炸事件作為對投資者情緒的一個代替。按照爆炸事件的時間和省份抓取上市公司作為樣本。檢驗事件窗口爆炸事件省份內(nèi)所有公司的異常收益率的反應(yīng)。理性來講,爆炸事件對省內(nèi)的公司是有可能有一定的沖擊的。然而分析該省個別公司受到此爆炸事件的影響需要足夠的技術(shù)和注意力。而往往投資者的注意力是有限的,有限的注意力使得投資者無法關(guān)注足夠多的有效信息來做出理性的選擇,并且使得投資者傾向于吸收類別化的信息,比如某個行業(yè),地區(qū)或是板塊的公司信息。因此省份作為一個類別,很有可能成為爆炸事件的投資者情緒的載體,使得公司名字中含有明確省份信息的公司所受到的沖擊較為快速,集中和顯著。而同樣設(shè)立于爆炸事件省份的公司,名字中沒有明確的省份信息,受到的沖擊較為緩慢,分散,而且顯著性較弱。作為穩(wěn)健性檢驗,本文分別用CAPM模型和四因子模型計算異常收益率。在名字中含有省份信息的公司和不含省份信息的公司的對比中,為了消除公司本身特征差異所導(dǎo)致的差異。對兩組公司在同一省份,同一年份中對企業(yè)年齡,市值和賬面市值比進行傾向性得分匹配。最后為了消除樣本期間特大事件的負面影響,還對特大事件期,如亞洲金融危機,2008金融危機期間做了樣本的刪除。
[Abstract]:The efficient market hypothesis assumes that investors are rational basically. Even if one part is irrational, their overall trading direction is random, impact on the market will offset each other. So the impact on prices is almost zero. Even if there is a part of the same trade in the direction of non rational investors, rational arbitrage will the price back to the fundamentals. The field of behavioral finance scholars in many aspects of the efficient market hypothesis challenges, and assuming that investors are irrational, and arbitrage is limited. Research on limited arbitrage for the rational investors, and the whole economics research of rational investors is relatively mature. So we have to investor sentiment understanding is far less than for arbitrage limited understanding. The explosion as a substitute for investor sentiment. In accordance with the explosion time and provinces Grab a sample of listed companies. All the test of event window explosion within the province abnormal return response. Rational terms, company explosion in the province is likely to have a certain impact. However, the analysis of individual companies affected by the explosion of technology and need enough attention. But often the attention of investors limited attention is limited, investors can not pay attention to enough useful information to make a rational choice, and investors tend to absorb the categories of information, such as an industry, regions or sectors of the company information. So the provinces as a category, is likely to become the carrier of the explosion of investor sentiment make clear information, containing provinces in the name of the company, the company has been the impact of a more rapid and significant. While the same concentration and set up in the explosion incident A company, there is no clear information provinces in the name of the impact is relatively slow, but significant dispersion, weak. As a robustness test, this paper used the CAPM model and four factor model to calculate abnormal returns. In the name of the province contains information and does not contain a contrast information of the company, in order to eliminate the difference caused by the difference of the company itself characteristics. On two groups of Companies in the same province, the same year in the age of the enterprise, the market value and book value ratio of propensity score matching. Finally, in order to eliminate the negative effects of large events during the sample period, but also of large events, such as the Asian financial crisis, the 2008 financial period the sample crisis deleted.

【學位授予單位】：浙江大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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