投资者情绪、异质性与市场非理性反应

许多研究表明,我国证券市场反向策略在短期内获利性较为显著,而动量策略在长期内可以获得超额收益,即中国股市具有短期反应过度和长期反应不足的双重特征。这一现象不仅动摇了有效市场假说的理论基础,而且对现有的行为定价理论模型构成了强有力的挑战。本文尝试从投资者情绪和投资者异质性两个角度对这一异象进行解释。研究发现,在投资者情绪高涨(或低落)阶段,市场更容易反应过度(或反应不足);对于不同类型的投资者,他们的信息反应模式也不尽相同,各自主导了市场在短期内和在长期内的整体表现。这一发现为中国股市在市场非理性反应上所呈现的独有特征提供了很好的阐释。

Investor Sentiment,Heterogeneity and Market Irrational Reaction

Many researches find that in the short term,contrarian strategy gains a significant profit,while in the long term,momentum strategy also yields abnormal returns,which shows a dual feature of short-term overreaction and long-term underreaction in China.Based on the investor sentiment and heterogeneity,we try to explain this phenomenon,which poses a serious challenge to the efficient market hypothesis and the popular models of behavioral finance.Empirical results show that in sentiment-up state,the market ten...