摘要
本文回顾了国外反向理论的主要研究成果,并结合中国的实际从理论上探讨了中国证券市场反向利润的来源问题。实证表明,中国证券市场的反向利润绝大多数源于股票的反应过度,有少部分源自共同因素在时间序列上的负相关。
The author reviews main literatures of the contrarian theory abroad. Theoretically, the sources of contrarian profits in Chinese stock market are discussed in combination with Chinese practice. Empirical evidence shows that the majority of contrarian profits in Chinese stock market are due to overreaction while a small part is due to negative correlation of common factor in time series.
出处
《预测》
CSSCI
2004年第5期78-80,67,共4页
Forecasting
关键词
反向利润
来源
反应过度
共同因素
contrarian profits
sources
overreaction
common factor
