价值利润、时变风险与投资者反应过度研究.pdfVIP

值利润、时变风险与投资者反应过度研究 胡昌生 朱迪星 (武汉大学经济与管理学院，湖北 武汉 430072) 摘要：实证上持有价值股、卖空热门股形成的价值策略存在超额利润得到普遍证 ，理论上 围绕超额收益是由风险因素引致还是源于投资者的认知偏差存在诸多争议。本文对 1996-2009 年中国股票市场数据采用行为金融自下而上的实证分析表明，价值策略在我国的 确能获得高额收益，但在策略利润的来源上，既有可能是由时变风险因素导致，又有可能是 投资者对公司基本信息的错误解读所导致。 关键词：价值策略；时变风险；盈余公告意外；反应过度 作者简介：胡昌生，经济学博士，武汉大学经济与管理学院教授、博士生导师，研究方向： 微观金融理论与行为金融。朱迪星，武汉大学经济与管理学院博士生。 中图分类号F830.91 文献标识码 A Abstract: A large number of empirical studies show that the distribution of stock return is not totally depending on systematic risk, but a certain degree of predictability exits. In the long- term，investors could get significant positive returns by holding value stocks and selling short glamour stocks. As to the financial anomalies go against with the traditional theories ，researchers gave different explanations. The greatest issue is whether there is an even greater unavoidable systemic risk behind the superior return or not. This paper makes an empirical research on security market in China regarding value strategies from 1996 to 2009 .The result demonstrates that, in the market of china, the positive returns of value strategies are existed significantly partly because of the time-vary risk factor. By researching all the samples earnings announcements returns in the observation period, we get to know that investors in China are overreaction towards the fundamental of information. The earnings surprises caused by the belief bias of investors incorrect expectation about the listed firms dividend growth could partly explain the size-adjusted superior return. Key Words: Value contrary, Time-varying risk, Earnings announcement surprise, Overreaction 实证研究表明股票收益并非完全由系统性风险决定，而是存在一定程度的可预测性。反 转效应就是横截面异象中最受关注的一类现象。价值策略是指投资者通过买入被市场低估的 价值股(一般是指其财务指标中账面市值比较高的股票)，同时卖空账面市值比较低的热门股 形成的套利投资组合具有显著的超额风险调整收益。 起初，有关价值反转策略的研究主要集中于美国等发达国家的股票市场。近年来，有些 学者以亚洲尤其是中国股票市场为考察对象开展了相关研究，但无论样本数量和研究深度均 显不够，即使是基于投资者非理性的分析也多采