本文關(guān)鍵詞：基于行為財(cái)務(wù)學(xué)的中國(guó)證券市場(chǎng)投資策略實(shí)證研究　出處：《中南林業(yè)科技大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 行為財(cái)務(wù)學(xué) 價(jià)值投資策略 反轉(zhuǎn)投資策略

【摘要】：中國(guó)證券市場(chǎng)經(jīng)歷近二十年的發(fā)展,無論是投資結(jié)構(gòu)還是投資規(guī)模都發(fā)生了巨大的變化,根據(jù)中國(guó)證監(jiān)會(huì)的數(shù)據(jù)顯示,從2008年到2012年間,我國(guó)滬深股市總市值從12.14萬億元增加到23.04萬億元,4年的時(shí)間增加了大約一倍,總股本為從24522.85億股增長(zhǎng)到38395億股,投資者開戶總數(shù)從10449.69萬戶到2012年的的2.097億戶,增幅接近100%,其中2012年個(gè)人投資者的開戶數(shù)為19893萬戶,機(jī)構(gòu)投資者的開戶數(shù)為108萬戶。但是目前,我國(guó)證券市場(chǎng)中投資者存在各種認(rèn)知和情緒偏差,導(dǎo)致投資理念尚未成熟,投資策略也有待于進(jìn)一步發(fā)展,而行為財(cái)務(wù)學(xué)從投資者的心理和行為關(guān)系出發(fā),彌補(bǔ)了傳統(tǒng)財(cái)務(wù)理論的不足,解釋了證券市場(chǎng)諸如過度自信、反轉(zhuǎn)效應(yīng),處置效應(yīng)等異�，F(xiàn)象,行為財(cái)務(wù)學(xué)作為行為經(jīng)濟(jì)學(xué)的一個(gè)分支,將人們的財(cái)務(wù)行為,以財(cái)務(wù)信息在流程中所體現(xiàn)出來的作用及效果為研究對(duì)象,探討投資決策過程,行為財(cái)務(wù)主要強(qiáng)調(diào)客觀市場(chǎng)環(huán)境對(duì)財(cái)務(wù)行為的反作用。 本文試圖從投資者的有限理性出發(fā),以滬深股市A股作為研究對(duì)象,運(yùn)用相關(guān)經(jīng)濟(jì)學(xué)理論、行為財(cái)務(wù)學(xué)理論、行為分析方法和實(shí)證分析方法,對(duì)中國(guó)證券市場(chǎng)中投資者的有限理性、行為偏差和投資策略進(jìn)行較為深入的研究,以此提出對(duì)投資者有針對(duì)性的投資策略建議,期盼對(duì)改善投資決策和提高市場(chǎng)效率會(huì)有一些幫助。 首先通過對(duì)標(biāo)準(zhǔn)財(cái)務(wù)理論中投資策略的局限性進(jìn)行分析的基礎(chǔ)上,基于行為財(cái)務(wù)理論對(duì)投資者的投資行為偏差進(jìn)行分析,然后進(jìn)一步對(duì)中國(guó)證券市場(chǎng)上投資者的各種行為偏差進(jìn)行深入的探討,并在此基礎(chǔ)上針對(duì)中國(guó)投資者的各種有限理性提出相應(yīng)的行為投資策略。本文主要就價(jià)值投資策略和反轉(zhuǎn)投資策略在中國(guó)證券市場(chǎng)的有效性進(jìn)行深入的理論分析。 其次,為了檢驗(yàn)理論分析所得出的結(jié)論,本文首先就價(jià)值投資策略進(jìn)行實(shí)證檢驗(yàn),然后解釋了價(jià)值投資策略產(chǎn)生的原因,在對(duì)原因進(jìn)行分析的基礎(chǔ)上,提出了運(yùn)用反轉(zhuǎn)投資策略的理念,并比較了采用價(jià)值投資策略和反轉(zhuǎn)投資策略投資于樣本股票的收益情況,證明了兩種投資策略在國(guó)內(nèi)股市的有效性和適用性。 最后,實(shí)證研究證明,在牛市中,運(yùn)用價(jià)值投資策略能夠給投資者帶來更多的收益,而在熊市中,投資者通過構(gòu)建一個(gè)套利組合,結(jié)合運(yùn)用反轉(zhuǎn)投資策略,在兩年持有期內(nèi)的任何月份均可以獲利。
[Abstract]:China's securities market has experienced nearly two decades of development, both investment structure and investment scale have undergone tremendous changes, according to the data of the China Securities Regulatory Commission, from 2008 to 2012 years. The total market value of China's Shanghai and Shenzhen stock market increased from 12.14 tillion yuan to 23.04 tillion yuan, and the total capital stock increased from two tillion four hundred and fifty-two billion two hundred and eighty-five million shares to three tillion eight hundred and thirty-nine billion five hundred million shares in four years. The total number of accounts opened by investors rose from one hundred and four million four hundred and ninety-six thousand and nine hundred to 209.7 million in 2012, an increase of nearly 100, of which 198.93 million were opened by individual investors on 2012. The number of institutional investors accounts is 1.08 million, but at present, there are a variety of cognitive and emotional deviations among investors in our securities market, resulting in the investment concept is not yet mature, investment strategies need to be further developed. Behavioral finance makes up for the deficiency of traditional financial theory from the psychological and behavioral relationship of investors, and explains the abnormal phenomena such as overconfidence, reverse effect, disposition effect and so on. Behavioral finance, as a branch of behavioral economics, takes the financial behavior of people as the object of study on the role and effect of financial information in the process, and probes into the investment decision-making process. Behavioral finance emphasizes the reaction of objective market environment to financial behavior. Based on the limited rationality of investors, this paper takes A shares in Shanghai and Shenzhen stock markets as the research object, using relevant economics theory, behavioral finance theory, behavioral analysis method and empirical analysis method. This paper makes a deep study on the limited rationality, behavioral bias and investment strategy of investors in China's securities market, and puts forward targeted investment strategy suggestions for investors. Look forward to improving investment decisions and market efficiency will have some help. Firstly, on the basis of analyzing the limitation of investment strategy in the standard financial theory, this paper analyzes the investor's investment behavior deviation based on behavioral finance theory. Then the author makes a further study of the investors' behavior bias in China's securities market. On the basis of this, the author puts forward corresponding behavioral investment strategies in view of the limited rationality of Chinese investors. This paper makes a deep theoretical analysis on the effectiveness of value investment strategy and reverse investment strategy in China's securities market. . Secondly, in order to test the conclusions of the theoretical analysis, this paper first carries on the empirical test to the value investment strategy, then explains the reason of the value investment strategy, on the basis of the analysis of the reason. This paper puts forward the idea of using reverse investment strategy, and compares the return of investment in sample stock with value investment strategy and reverse investment strategy. It proves the validity and applicability of the two investment strategies in the domestic stock market. Finally, empirical research proves that in bull market, using value investment strategy can bring more income to investors, while in bear market, investors use reverse investment strategy by constructing a arbitrage portfolio. You can make a profit in any month during a two-year period.
【學(xué)位授予單位】：中南林業(yè)科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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