摘要
针对股票投资“动量策略”在中国股市应用中因投资者非理性而存在的局限性,基于行为金融学的前景理论构建一种新的“锚定-处置”股票反转交易策略,通过刻画锚定效应与处置效应对投资者的决策影响,实证结果表明,该策略在短期、中期、长期均可以获得显著的正收益,证实了中国股市反转效应普遍存在性;该策略相比传统的动量交易策略具有更高的收益,且在扣除交易成本后的收益率仍高于市场收益率。
Aiming at the limitation of stock investment“momentum strategy”in the application of China′s stock market due to the irrationality of investors,a new“anchoring disposal”stock reverse trading strategy is constructed based on the prospect theory of behavioral finance.The empirical results show that the strategy can achieve significant positive returns in the short term,medium term and long term,which confirms the universal existence of the reversal effect of China′s stock market;the strategy has higher returns than the traditional momentum trading strategy,and the return after deducting the transaction costs is still higher than the market return.
作者
陈智颖
陈苗臻
许林
CHEN Zhi-ying;CHEN Miao-zhen;XU Lin(School of Economics and Commerce,South China University of Technology,Guangzhou 510640,China;School of Business Administration,South China University of Technology,Guangzhou 510640,China)
出处
《商业研究》
CSSCI
北大核心
2019年第12期116-125,共10页
Commercial Research
基金
教育部人文社科青年基金项目,项目编号:19YJC790163
广东省自然科学基金项目,项目编号:2018A030310370
关键词
反转交易策略
前景理论
锚定效应
处置效应
有效性
reversal trading strategy
prospect theory
anchoring effect
disposition effect
effectiveness
