本文關(guān)鍵詞：投資者情緒和股票市場異常定價因子　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 異常因子 投資者情緒 多空策略F8

【摘要】：本文基于中國滬深股票交易市場數(shù)據(jù),選用了7個反映股票價格偏離的異常因子,考察了市場情緒對股價偏離的作用。本文的兩大理論基礎(chǔ)是市場范圍的情緒存在,以及賣空障礙導(dǎo)致錯誤定價的主要形式是過高定價。實(shí)證檢驗(yàn)中,多空投資組合策略的利潤驗(yàn)證了我們基于兩大理論給出的三個假設(shè)。第一,異常因子代表的價格錯誤在高情緒月會比在低情緒月偏離合理價格更多。第二,空頭策略的利潤在高情緒月份里比低情緒月份里要高。第三,多頭策略的利潤在高情緒月和低情緒越?jīng)]有顯著差異。
[Abstract]:Based on the data of Shanghai and Shenzhen stock market in China, this paper selects seven abnormal factors which reflect the deviation of stock price. This paper examines the effect of market sentiment on stock price deviation. The two theoretical bases of this paper are the existence of market sentiment, and the main form of false pricing caused by short selling obstacles is overpricing. The profit of the long portfolio strategy verifies the three hypotheses that we give based on two theories. First, the abnormal factors represent more price errors in the high mood month than in the low emotion month. Second, the abnormal factor represents more deviation from the reasonable price in the high mood month than in the low emotion month. The profit of short strategy is higher in the month of high emotion than in the month of low emotion. Third, the profit of long strategy has no significant difference between the month of high emotion and the month of low emotion.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 周琳杰;中國股票市場動量策略贏利性研究[J];世界經(jīng)濟(jì);2002年08期

2 張丹;廖士光;;中國證券市場投資者情緒研究[J];證券市場導(dǎo)報(bào);2009年10期

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本文編號：1369366