摘要
关于投资者面临泡沫时的行为,学术界存在截然不同的三种观点:抛售、旁观和骑乘。本文构建了一个仅需基本信息的、适用于一般投资者的泡沫识别模型,以1996年5月至2010年12月的数据为样本识别泡沫,在此基础上分析泡沫期之后的崩溃风险,并测算投资于泡沫期之后的超额收益,探寻当期识别到泡沫与下一期标准化的超额收益之间的关系。结果表明,崩溃与泡沫没有必然联系,投资者面临具有极端收益的泡沫时的理性行为是骑乘泡沫。
Academic opinions vary about investors＇ reaction when they are facing bubbles：going short,sidelining or riding.This paper constructs a model to identify bubbles which only needs some basic information and is generalizable to many investors.Moreover,we compare the crash risk,calculate the abnormal return gained from the periods after bubbles,and analyze relationship between standardized abnormal return of the next period and the current bubble,using the data from March 1996 to December 2010.The result has shown that there is no necessary relation between bubble and crash and investors＇ optimal behavor is riding when they are facing bubbles with extreme return.
出处
《上海经济研究》
CSSCI
北大核心
2012年第3期84-92,共9页
Shanghai Journal of Economics
基金
国家自然科学基金"我国股市泡沫识别和投资者骑乘泡沫行为研究"(71071132)阶段性研究成果
关键词
泡沫
理性行为
骑乘
崩溃
超额收益
Bubble Rational Behavior Riding Bubbles Crash Abnormal Return
