考虑卖空限制的动量效应和反向效应模型  

Momentum and Contrarian Effect Model under Constrain of Short Sale

作　　者：朱战宇[1] 吴冲锋[1] 

机构地区：[1]上海交通大学安泰管理学院

出　　处：《系统工程理论与实践》2005年第1期1-11,共11页Systems Engineering-Theory & Practice

摘　　要：　改进了HS模型的假设条件,增加了反向投资者行为偏差的影响,建立了考虑卖空限制的动量效应和反向效应模型.在研究方法上,采用了不同于HS模型的递推公式法,清晰地描述了正、负消息影响下股价及收益率的运动轨迹,直观地分析了消息投资者和两类趋势投资者行为偏差导致赢者和输者组合出现动量效应和反向效应的规模和方向.证明了受到卖空限制的约束,输者组合股票在长期表现出反向效应的概率比没有卖空限制时减小.We expand HS model's hypothesis, consider constrain of short sale and contrarian trader's effect, build Momentum and Contrarian Effect Model under Constrain of Short Sale, which clearly characterizes stock price's movement track affected by positive and negative news and directly describes momentum and contrarian effect's extent affected by news watchers and trend traders. We identify that: Constrain of short sale makes Losers seldom present contrarian effect in long period movement.

关 键 词：动量效应 反向效应 反应不足 反应过度 行为金融 

分 类 号：F830.91[经济管理—金融学]