本文關(guān)鍵詞： 反轉(zhuǎn)效應(yīng) 非系統(tǒng)風(fēng)險(xiǎn) 套利　出處：《上海師范大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：自法瑪?shù)挠行袌黾僬f和馬克維茨的資產(chǎn)組合定價(jià)理論提出以來，就受到了諸多學(xué)者的質(zhì)疑，因?yàn)樗婕暗劫Y產(chǎn)價(jià)格能否被正確定價(jià)以及投資者是否理性等問題。近20年來，隨著一系列金融異象的發(fā)現(xiàn)，與現(xiàn)代金融理論相悖的實(shí)證證據(jù)也不斷被提出。反轉(zhuǎn)效應(yīng)便是其中一種，，雖然大部分學(xué)者對(duì)其存在性己基本達(dá)成一致，但對(duì)其成因及相關(guān)影響因素的研宄仍然比較匱乏，且大多是以傳統(tǒng)的行為金融學(xué)為視角，結(jié)合投資者的認(rèn)知偏差和心理活動(dòng)對(duì)其進(jìn)行解釋。近些年，國外有學(xué)者開始從非系統(tǒng)風(fēng)險(xiǎn)的角度對(duì)反轉(zhuǎn)效應(yīng)進(jìn)行研宄，本文也將從這一視角出發(fā)，探索A股市場中非系統(tǒng)風(fēng)險(xiǎn)與反轉(zhuǎn)效應(yīng)的相關(guān)性，即反轉(zhuǎn)效應(yīng)的強(qiáng)弱是否與非系統(tǒng)風(fēng)險(xiǎn)的大小有關(guān)。通過這一研究，既能為今后研宄反轉(zhuǎn)效應(yīng)的成因提供新思路，又對(duì)引導(dǎo)投資者理性投資、深化投資者對(duì)我國證券市場內(nèi)在特征的了解有重要意 本文首先回顧了國內(nèi)外學(xué)者對(duì)反轉(zhuǎn)效應(yīng)存在性和其成因及影響因素的研究成果，繼而對(duì)有效市場假說的提出及其所受到的質(zhì)疑進(jìn)行了簡要闡述；然后，本文介紹了反轉(zhuǎn)效應(yīng)這一金融異象的發(fā)現(xiàn)以及有效市場學(xué)派和行為金融學(xué)派是如何對(duì)其形成機(jī)制進(jìn)行解釋的;接著,本文利用經(jīng)典的CAR法對(duì)A股市場的反轉(zhuǎn)效應(yīng)存在性進(jìn)行了實(shí)證研究，研宄結(jié)果表明即便當(dāng)前A股己經(jīng)存在著一定的賣空機(jī)制，但反轉(zhuǎn)效應(yīng)，尤其是中期反轉(zhuǎn)效應(yīng)仍然存在；最后，本文試圖從非系統(tǒng)風(fēng)險(xiǎn)的角度尋找影響反轉(zhuǎn)效應(yīng)強(qiáng)弱的相關(guān)變量。具體來說，本文通過選取2003年6月1日至2013年6月1日在上海證券交易所上市交易的股票數(shù)據(jù)，使用CAR法構(gòu)建了形成期與持有期分別為6、9、12個(gè)月的策略組合，發(fā)現(xiàn)當(dāng)形成期和持有期均為12個(gè)月時(shí)所構(gòu)建的零成本投資組合存在顯著的反轉(zhuǎn)效應(yīng)。接著，本文從非系統(tǒng)風(fēng)險(xiǎn)這一角度出發(fā)，對(duì)影響A股市場反轉(zhuǎn)效應(yīng)強(qiáng)弱的因素進(jìn)行了探討，結(jié)果表明非系統(tǒng)風(fēng)險(xiǎn)越高，所構(gòu)建組合的月度收益越高，反轉(zhuǎn)效應(yīng)越強(qiáng)烈，即非系統(tǒng)風(fēng)險(xiǎn)的大小與反轉(zhuǎn)效應(yīng)的強(qiáng)弱呈現(xiàn)出正相關(guān)性。
[Abstract]:Since Fama's efficient market hypothesis and Markowitz's portfolio pricing theory were put forward, they have been questioned by many scholars. Because it involves whether asset prices can be correctly priced and whether investors are rational. In the last 20 years, with the discovery of a series of financial anomalies. Empirical evidence contrary to modern financial theory has been put forward. Reversal effect is one of them, although most scholars agree on its existence. However, the study of its causes and related factors is still relatively scarce, and most of them are based on the traditional behavioral finance perspective, combined with the cognitive bias and psychological activities of investors to explain it in recent years. Some foreign scholars have begun to study the reversal effect from the perspective of non-systematic risk. From this perspective, this paper will also explore the correlation between non-systemic risk and reverse effect in A-share market. That is, whether the strength of the reversal effect is related to the size of the non-systematic risk. This study can not only provide a new way to study the causes of the reversal effect in the future, but also guide investors to invest rationally. It is important to deepen investors' understanding of the inherent characteristics of China's securities market. This paper first reviews the research results of the existence of reverse effect and its causes and influencing factors at home and abroad, and then makes a brief exposition of the hypothesis of efficient markets and the doubts it has received. Then, this paper introduces the discovery of the financial anomaly of reversal effect and how the efficient market school and behavioral finance school explain its formation mechanism. Then, this paper makes an empirical study on the existence of reverse effect in A-share market by using the classical CAR method. The results show that even though there is a certain short-selling mechanism in A-share market, the reverse effect exists. In particular, the medium-term reversal effect still exists; Finally, this paper tries to look for the relative variables that influence the intensity of the reversal effect from the perspective of non-systematic risk. Based on the data of Shanghai Stock Exchange from June 1st 2003 to June 1st 2013, this paper uses the CAR method to construct the forming period and the holding period of 6 / 9 respectively. After 12 months of strategy combination, it is found that the zero-cost portfolio constructed when both the forming period and the holding period are 12 months has a significant reversal effect. Then, this paper starts from the point of view of non-systematic risk. This paper discusses the factors that influence the strength of the reversal effect in A share market. The results show that the higher the non-system risk, the higher the monthly return of the constructed portfolio, and the stronger the reversal effect. That is, the magnitude of the non-system risk is positively correlated with the strength of the reversal effect.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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