摘要
以参照依赖为切入点,结合国内投资者追涨杀跌的非理性特征,通过均衡模型刻画了beta异象的生成过程:投资者为寻求主观价值最大化,在"追涨"时购入高风险股票,在"杀跌"时抛售低风险股票,进而导致非对称的风险收益。进一步,挑选六类价格参考点,并分别从短、中、长三种周期视角进行了实证研究。结果显示:风险与收益在盈利状态下负相关,在亏损状态下正相关,利用这一特性构建多空组合可获取超额收益;短周期的参照依赖效应最显著,表明国内投资者更偏爱短期投资;即使替换风险代理指标和数据频度,检验结果仍与模型预期相一致。
Combining the irrational characteristics of domestic investors’ buying winners behaviour,this paper used reference dependence effect and equilibrium model to explain how the beta anomaly works. In order to maximize the subjective value,investors would buy high-risk stocks while "buying the winners" and sell low-risk stocks while "selling the losers",which may lead to asymmetric risk return. Then we selected 6 types of reference prices and conducted empirical research under the perspectives of short,medium and long periods. The results show that,the correlation between risk and return is negative in the state of gain and positive in the state of loss,which can help to construct long-short portfolio and obtain excess returns. Furthermore,the reference dependence effect in short period is more obvious,which means domestic invistors prefer short-term investment. After replacing risk variables and data frequency,the results are consistent with the proposition of our model.
作者
郑睿
刘维奇
ZHENG Rui;LIU Wei-qi(School of Finance,Shanxi University of Finance and Economics,Taiyuan 030006;Institute of Management and Decision,Shanxi University,Taiyuan 030006,C hina)
出处
《山西财经大学学报》
CSSCI
北大核心
2020年第5期15-30,共16页
Journal of Shanxi University of Finance and Economics
基金
国家社会科学基金项目(15BJY164)
山西省回国留学人员科研资助项目(2017-099)
教育部人文社科基金青年基金项目(19YJ790148)。
关键词
beta异象
追涨杀跌
参照依赖
参考价格
前景理论
beta anomaly
buying winners
reference dependence
reference price
prospect theory
