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1.
证券投资基金惯性反转投资行为实证研究   总被引:17,自引:1,他引:16  
谢赤  禹湘  周晖 《财经研究》2006,32(10):26-34
文章依据行为金融的理论和研究方法,通过改进的GTM模型,以基金重仓持有的股票相对于上证综合指数的超常收益率来构造赢家组合和输家组合。对24支偏股型开放式基金和49支偏股型封闭式基金,从1999年1月到2006年3月的投资行为进行研究。结果表明在交易策略上,中国的证券投资基金整体采用惯性交易策略,但倾向于买过去表现好的股票,尤其是收益率高于同期上证综合指数收益率的股票;不倾向于卖出过去表现差的股票,即采用高买高卖的策略。惯性交易估计值在考虑有新股票进入时显著大于其他各种情况,这表明基金经理在选择新股进入投资组合时追涨的行为十分明显。  相似文献   

2.
李博 《时代经贸》2006,4(9):72-74
本文以深圳股市第二批试点公司为研究样本,通过赢家、输家股票组合超常日收益率的统计分析。以及累积超常日收益率的趋势分析,研究深圳股市对股权分置改革的短期反应。实证检验结果表明。在短期内,深圳股市存在过度反应。并且在公司股改预案披露后30个左右交易日,市场做出反向修正.  相似文献   

3.
朱超  王政 《金融评论》2021,13(4):58-76
本文借助心理学中的锚定效应,从基本面角度重新考察股票收益反转.基于2006~2019年中国A股股票数据,本文发现基本面对股票未来收益起到锚定作用,引导股票收益发生反转.当过去基本面向好(差)时,低(高)历史收益组合会向上(下)反转.过去基本面较差的低历史收益组合或者过去基本面较好的高历史收益,收益未发生反转.推论也得到了支持:在高流动性、高换手率分组中,基本面锚定下收益反转主要体现在赢家组合中;在低流动性、低换手率分组中,基本面锚定下收益反转主要体现在输家组合中.进一步,信息透明度、信息扩散过程和投资者的有限注意力等可以帮助理解收益反转产生的原因.本文结论对于代理指标替换、行业调整、代理指标调整等检验时均保持稳健,有助于提升投资者在套利组合构建中对基本面的尊重,保持投资定力,缓解投资者追涨杀跌的心理恐慌.  相似文献   

4.
基金"重仓股"特征及可预测性研究   总被引:1,自引:0,他引:1  
朱滔  李善民 《当代财经》2006,(12):39-45
基于对1999-2004年我国封闭式基金重仓持有股票的收益结构特征、财务和非财务特征以及重仓股的可预测性研究,结果表明:重仓股在季度末基金持股信息披露前后的累积超常收益(CAR)分化显著,在信息披露之前[-75,-15]内有显著正的CAR,而在信息披露之后[15,75]内有显著负的CAR;重仓股具有明显的可识别特征,基金表现出一定的择股能力;重仓股具有较强的可预测性,Logit模型的预测结果总正确率达到92.9%,通过预测的股票组合可以获得显著正的CAR。  相似文献   

5.
Jegadeesh和Titman(1993)的研究发现惯性策略可以获得显著的超常收益,这表明股票价格在较短期内存在继续朝同一方向变化的趋势,即存在“惯性现象”。对于这一现象,有效市场理论无法给出合理的解释。本文对1997—2002年我国上海股市342家上市公司发行的A股进行“价格惯性策略”和“盈余惯性策略”的实证研究,结果表明:样本股票价格同样也存在短期的惯性现象,因为采用价格惯性策略,即买入前6个月高收益率的股票组合而卖出前6个月低收益率的股票组合,在组合形成后一年内可获得显著的差额收益;采用盈余惯性策略,即买入意外盈利的股票组合而卖出意外亏损的股票组合,在组合形成后半年内可获得显著的差额收益。这些发现验证了行为金融学提出的“反应不足模式”,这可能是因为投资者存在“保守性心理偏差”而对与价格变化和盈余变化相关的“公开信息”反应不足,或是因为与价格变化和盈余变化相关的“私有信息”在投资者中“扩散缓慢”导致反应不足。  相似文献   

6.
中国A股市场动量效应的特征和形成机理研究   总被引:1,自引:0,他引:1  
动量效应不仅是学术研究的热点,而且在实务上也有广泛的应用。长期以来,关于我国股票市场是否存在动量效应一直存在争议,而且现有研究缺乏对动量效应的表现形式、利润来源和形成机理的深入剖析。基于此,文章利用我国A股市场1994-2011年股票收益率数据对动量效应进行了重新检验。结果表明:(1)我国A股市场不存在显著的月度频率上的动量效应,而当形成期为2-4周、持有期为1-3周时则存在稳定的动量收益;(2)规模、账面市值比和行业等因素可以解释约50%的动量收益;(3)现有行为金融理论并不能解释我国动量效应在不同规模、不同账面市值比和不同换手率股票间的显著差异,动量效应在赢家组合和输家组合中具有不同的形成机理。  相似文献   

7.
盈余信息度量、市场反应与投资者框架依赖偏差分析   总被引:21,自引:2,他引:21  
本文以2 0 0 0年9月到2 0 0 3年1 2月沪市A股3 3 8家上市公司为研究对象,应用实证研究方法,检验以四种不同度量方式表示同一盈余信息所产生的“盈余惯性现象”是否存在差异。结果表明:在三因素模型进行风险调整之前,基于四种盈余信息指标的盈余惯性现象都显著地存在。但经过三因素模型风险调整后,基于“意外盈余率”和“标准化意外盈余率”二个指标的盈余惯性现象消失了;基于“意外盈余”和“标准化意外盈余”二个指标的盈余惯性现象仍然存在,所以买入赢家组合、卖出输家组合仍可获得显著的超常收益。显然,这一研究结果并不支持风险定价学派的观点。笔者认为,根据Tversky和Kahneman( 1 981 )提出的“框架依赖偏差”(FramingDependenceBias)理论,四个盈余信息指标所产生的盈余惯性现象的差异表明我国投资者对盈余信息的反应依赖于信息度量的方式。  相似文献   

8.
中国证券投资基金羊群行为的实证研究   总被引:2,自引:0,他引:2  
本文基于封闭式基金2000年6月~2003年12月完整的投资组合数据,采用LSV(1992)的方法以及Wermers(1999)修正的方法测度了中国股票市场证券投资基金羊群行为的程度.并采用分组比较以及回归分析的方法研究了基金的羊群行为与股票上市年龄,流通股市值,股票超常收益(同期、前期及后期)以及财务表现等特征之间的关系.  相似文献   

9.
我国基金持有人选时能力的实证分析   总被引:1,自引:1,他引:0  
在单个证券投资基金层面上对基金持有人的现金流加权收益率与基金资产组合平均收益率进行对比是判断基金持有人选时能力的一种新方法.实证结果表明,在2004年1月至2008年6月间,当假定基金持有人的买卖行为发生在季度末时,我国开放式股票型基金持有人实际获得的现金流加权收益率月均为0.39%,与基金资产组合月平均收益率2.4%相比,相差2个百分点,年均相差27%,基金持有人不具有选时能力.进一步的稳健性检验也支持我国基金持有人没有选时能力的结论.  相似文献   

10.
逯东  付鹏  杨丹 《财经研究》2016,(2):73-84
文章实证检验了机构投资者是否存在通过管理媒体报道来获取超额收益的行为。研究发现:(1)媒体报道对股票价格的影响符合“注意力驱动效应”,即媒体报道数量与股票超额收益显著正相关;(2)机构投资者会利用媒体报道的这一效应来获取股票超额收益,即机构投资者存在利用媒体来制造信息噪音以引导市场热点的短期炒作行为,进而验证了“主动媒体管理”假说;(3)机构投资者的媒体管理行为会提高其所持有股票未来大幅下跌的可能性,即带来更大的股价崩盘风险。文章将机构投资者行为和媒体报道进行了有机结合,拓展了相关领域的研究文献,而且研究结论为进一步规范机构投资者行为和媒体报道提供了经验证据。  相似文献   

11.
Using weekly data, this article conducts a comprehensive analysis and presents new empirical evidences on the short-term stock return reversal and continuance anomaly in the Hong Kong stock market. We confirm that winner stocks behave differently from loser stocks in that the return reversal phenomenon is pervasive within past winner stocks only while past loser stocks tend to show weak return continuance. The arbitrage strategy can earn significantly positive contrarian profits, especially for small firms and illiquid stocks. The anomaly varies across different industries and is also sensitive to the market movement. Despite the existence of the anomaly, our results still in general suggest that the Hong Kong stock market is weak-form efficient because arbitrage trading costs would largely overwhelm the available profits in most cases.  相似文献   

12.
We study the disposition effect across market states in the context of mutual fund investors in Taiwan. Using mutual fund data at the fund and individual levels during July 2001 to October 2008, we find that the disposition effect varies across market states. Our results suggest that investors redeem their mutual fund units more under a bear market than a bull market when they have extreme capital losses. When investors have moderate capital gains, they are less active in redeeming their mutual fund units under a bull market relative to a bear market. Under a neutral market, investors actively redeem mutual fund units in both winner and loser mutual funds except when they have extreme capital losses. Thus, disposition effect is not uniform; it varies by market condition. In addition, the disposition effect phenomenon also exists for Taiwan mutual fund investors as well. Our findings are robust to aggregate and individual investor levels.  相似文献   

13.
Summary. The pairwise lottery system is a multiple round voting procedure which chooses by lot a winner from a pair of alternatives to advance to the next round where in each round the odds of selection are based on each alternatives majority rule votes. We develop a framework for determining the asymptotic relative likelihood of the lottery selecting in the final round the Borda winner, Condorcet winner, and Condorcet loser for the three alternative case. We also show the procedure is equivalent to a Borda lottery when only a single round of voting is conducted. Finally, we present an alternative voting rule which yields the same winning probabilities as the pairwise lottery in the limiting case as the number of rounds of the pairwise lottery becomes large.Received: 5 June 2003, Revised: 17 June 2004, JEL Classification Numbers: D71. Correspondence to: Jac C. HeckelmanWe thank Keith Dougherty and Andrew Yates for their comments.  相似文献   

14.
The degree of industry herding is significantly related to the subsequent performance of winner and loser industries. While the herding effect on losers is not inconsistent with investors’ tendency to herd on negative information, the herding effect on winners reflects institutional demand for overpriced securities. An alternative momentum strategy based on the degree of herding within an industry significantly outperforms the conventional industry momentum strategy over the subsequent 1, 3, 6, and 12 months. The findings suggest that behavioral patterns could be utilized to generate enhanced momentum profits, even during market stress periods when the conventional momentum strategy performs poorly.  相似文献   

15.
Documenting the disposition effect for a large sample of mutual fund managers in the United States, we find that stock-level characteristics explain the cross-sectional variation of the effect. The disposition effect, which is the tendency to sell winner stocks too early and hold on to loser stocks for too long, is more pronounced for fund managers who invest in stocks that are more difficult to value. Using different measures of stock and market uncertainty, we show that mutual fund managers display a stronger disposition-driven behavior when stocks are more difficult to value. We also find that the level of the disposition effect is monotonically increasing with the level of systematic risk (i.e., beta). In addition, we document that the trading behavior of mutual fund managers is partly driven by attention-grabbing stocks (dividend-paying stocks). Overall, our results suggest that stock-level uncertainty and trading of attention-grabbing stocks amplify the disposition effect and that differences in the effect can be explained by mutual fund managers' investment styles. Given that mutual funds hold a large fraction of the U.S. equity market, our findings add to the ongoing discussion whether professional investors can create stock mispricings and shed new light on market efficiency.  相似文献   

16.
本文基于2007—2010年间数据,对我国开放式证券投资基金中的股票型基金、混合型基金和债券型基金的总体绩效进行了比较实证分析。研究发现:各股票基金的业绩表现极不均衡,基金经理的选股能力参差不齐,但选股能力或者择时能力有了明显的提高;各混合型基金的绩效分布都较为接近正态分布;我国债券型基金的业绩表现基本稳定,并没有随着股票市场的大起大落而表现出明显的好与差,其风险收益均大于与市场同风险的投资组合的风险收益,但是这种优势并不太明显。  相似文献   

17.
Environmental pollution brings severe challenges in the context of a high growing economy of China. Pollution events bring serious ecological cost to the environment, direct costs from sanction, and reputational damage to the listed firms. We study the market reaction to 145 pollution events in China during Jan 2008 and Feb 2015. We find that the 2-day cumulative abnormal returns (CARs) of pollution events are significantly negative, which shows the disciplining effect of the stock market on the listed firms. In addition, pollution events with sanctions have lower CARs than otherwise, which are heterogeneous among different sanction types such as shutting down, fines and rectification. Finally, water pollution has lower CARs than other pollution types. We find that direct economic loss is an important reason for the negative market reactions to pollution events.  相似文献   

18.
外放型证券投资基金理论在中国还是一种全新的理论,是我国证券市场对外开放的关键一步。本文的研究目的在于尝试着完善我国证券投资基金业渐进开放的法律制度,在法律体系上为证券投资基金业对外开放提供依据和保护。本文首先对外放型证券投资基金进行了理论上的分析,接着在借鉴台湾地区的实践经验,结合国内外放型证券投资基金业的发展现状,对创建完善的外放型证券投资基金业的配套法律体系提出解决方案和建议。  相似文献   

19.
When stocks are ranked by returns in one month, the portfolio of loser stocks tends to outperform the portfolio of winner stocks in the subsequent month. Yet industry portfolios tend to display momentum. We develop a model of information diffusion among agents with constrained information processing ability that reconciles these well-documented phenomena. We test whether this model or the overreaction hypothesis is consistent with the data. Additionally, a trading strategy based on the model outperforms strategies based on overreaction and on industry momentum. The strategy produces abnormal returns while controlling for marketrisk and the size, book value, January, momentum, and liquidity effects.  相似文献   

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