本文選題：反應過度 + 反應不足　； 參考：《復旦大學》2014年碩士論文

【摘要】：行為金融學認為,市場并非如有效市場假說所描述的那么有效,人也并非是完全理性的,由于信息不足、認知能力有限、過度自信等因素,股市中通常存在兩種異常的股價反應現象：反應過度和反應不足。本文對主板、中小板和創(chuàng)業(yè)板的月度交易數據進行了反應過度和反應不足現象的實證檢驗,并且進行了橫向和縱向的比較,發(fā)現總體上看主板、中小板和創(chuàng)業(yè)板三大板塊都表現出了一定程度的反轉效應,尤其在短期內(1個月或者2個月)存在著顯著的反應過度現象；同時在考慮了市場風險因素之后反應過度現象仍然顯著存在,這進一步驗證了短期內存在過度反應現象。另外本文并沒有發(fā)現三大板塊存在明顯的動量效應以及反應不足現象。從三個板塊市場的橫向對比來看,中小板反應過度現象最為明顯,尤其在短期內顯著存在,有一定的“強者不強、弱者不弱”的收益特性；創(chuàng)業(yè)板市場短期的反應過度現象也較為明顯,總體呈獻出“強者不強、弱者較弱”的收益特性；而以上證180為代表的主板市場的反應過度現象較其他兩個板塊并不明顯,更加接近Fama的有效市場假說,并且表現出“強者較強、弱者不弱”的收益特性。同時,從時間維度的角度看,隨著組合形成期和檢驗期的延長,反應過度現象趨于減弱,反轉投資策略的正收益在統(tǒng)計上的顯著性趨于降低。
[Abstract]:Behavioral finance believes that the market is not as efficient as the efficient market hypothesis describes, and that people are not completely rational, due to insufficient information, limited cognitive ability, overconfidence and other factors. There are usually two abnormal stock price reactions in the stock market: overreaction and underreaction. In this paper, the monthly transaction data of the main board, the small and medium-sized board and the growth enterprise board are tested by the empirical test of overreaction and underreaction, and the horizontal and vertical comparisons are made, and it is found that the main board is seen as a whole. Both the small and medium board and the growth enterprise board showed a certain degree of reversal effect, especially in the short term (1 or 2 months) there was a significant overreaction phenomenon; At the same time, after considering the market risk factors, overreaction still exists, which further verifies the existence of overreaction in the short term. In addition, there is no obvious momentum effect and insufficient reaction in the three plates. From the horizontal comparison of the three plate markets, the overreaction of small and medium-sized plates is the most obvious phenomenon, especially in the short term, there is a significant existence, there is a certain "strong not strong, weak is not weak" income characteristics; The short-term overreaction phenomenon in the gem market is also more obvious, presenting the income characteristics of "the strong are not strong, the weak are weak" as a whole, while the main board market represented by Shanghai Stock Exchange 180 is less obvious than the other two plates. It is closer to the efficient market hypothesis of Fama and shows the characteristics of "the strong are stronger, the weak are not weak". At the same time, from the point of view of time dimension, with the extension of combination formation period and test period, overreaction tends to weaken, and the positive return of reverse investment strategy tends to decrease statistically.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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