股市中的过度反应与反应不足  

Analysis of Overreaction and Underreaction in Stock Markets

作　　者：杨善林[1] 王素凤[1] 

机构地区：[1]合肥工业大学管理学院,安徽合肥230009

出　　处：《华东经济管理》2005年第2期119-121,共3页East China Economic Management

基　　金：安徽省软科学研究计划项目(03035005)

摘　　要：过度反应与反应不足是股市投资中的两个异常行为,本文认为除了"输家———赢家效应"、"市盈率异常"以外,"井喷现象"也是过度反应的典型表现;反应不足则主要表现为"魅力股"或"价值股"等。过度反应与反应不足产生的主要原因是投资者存在过度自信、自我归因及保守性偏差等,常见的对策是反转策略和动量策略,本文分析了运用反转策略和动量策略的时机选择,以使其更具可操作性。Overreaction and underreaction are two abnormal investment behaviors in stock markets.Besides 'loser-winner effect'and'PE ratio abnormalty', 'blowout phenomenon'is also a typical representation of overreaction. Underreaction mainly behaved as 'glamour stocks and value stocks'.The reasons for their existences are overconfidence,self-contribution bias and conservation bias. Generally,the strategies aiming at these phenomena are Contrarian trading strategy and Monmentum trading strategy. This paper analyzes the occasion choice of practicing these two strategies in order to direct investor to make decisions.

关 键 词：过度反应 反应不足 反转策略 动量策略 

分 类 号：F830[经济管理—金融学]