中国股市的最大值效应

本文证实我国股市的投资者们长期存在对股票历史业绩的反应过度现象。我们发现历史上拥有最高收益率的股票在之后业绩都表现不佳。其主要原因是我国股市的投资者们在做投资选择时都遵循一条简单的规则:即在其他条件都相同的情况下,选择拥有最高的历史收益率的股票进行投资。集中投资使拥有最高的历史收益率的股票被过高评价,导致其后来的业绩表现要比那些拥有较低历史收益率的股票差。我们称之为"最大值效应"。通过使用Fama and Macbeth(1973)横断面回归分析方法,我们确认了"最大值效应"要比CAPM理论,Blitz and Pim van Vliet(2007)发现的"波动性效应"等更为有效地解释我国股市横断面股票收益率。

The Maximum Effect of China's Stock Market

This paper confirms that investors are consistently overreacting to historical performance of stocks in Chinese stock market.We find that stocks with high historical maximum returns show poor performance afterward.One possible interpretation that we can give this fact is that investors make their investment decisions in a simple way.If other conditions are equal,investors choose the stock with higher historical maximum return.This causes stocks with high historical maximum returns are overvalued and as the results they will earn lower average returns than stocks with low historical maximum returns.We call this phenomenon "maximum effect".By conducting Fama and Macbeth cross-sectional regression analysis,we show that "maximum effect" is stronger than CAPM theory and "volatility effect" reported by Blitz and Pim van Vlie(t2007)in explaining the cross-sectional stock returns.