摘要
对于价值股的市场表现优于成长股这一不争的事实,目前的理论解释主要有行为金融的“过度反应假说”与标准金融的“风险改变假说”。“过度反应假说”认为投资者对信息的过度反应导致股票价格的过度反应。目前行为金融理论已经实证了股票价格过度反应的存在,但没有实证投资者存在过度反应行为。本文引入交易量的概念来描述投资者的行为,通过实证发现价值投资策略的合理解释是“过度反应假说”,并且投资者存在过度反应的投资行为。
There are essentially 2 theoretical explanations to the indisputable fact that the market performance of a value stock is superior to a growth stock ： the Over-Reaction Hypothesis on the basis Behavioral Finace, and the Risk-Adjusted Hypothesis on the basis of Standard Finance. The Over-Reaction Hypothesis holds that the over-reaction of the stock price is brough~ forth by the investors＇ over-reaction to information. Presently, Behavioral Finance has empirically confirmed the existence of the over-reaction of the stock price, but not the existence of investors＇ over-reaction behavior. This paper introduces the concept of trading volume to describe investors＇ behavior, and demonstrates with evidence that the feasible explanation to the Value Investment Strategy is the Over-Reaction Hypothesis,and there really exists over-reaction behavior on the part of investors.
出处
《系统工程》
CSCD
北大核心
2005年第7期62-67,共6页
Systems Engineering
基金
湖南省自然科学基金资助项目
关键词
价值投资策略
过度反应假说
风险改变假说
交易量
Value Investment Strategy, Overreaction Hypothesis
Risk-adjusted Hypothesis
Trading Volume
