创业板投资行为分析  

Analysis on the Investment Behavior of Growth Enterprise Board

作　　者：庄虔华[1] 张文[1] 郭良鹏[1] 

机构地区：[1]华泰证券研究所,江苏南京210002

出　　处：《证券市场导报》2011年第12期49-57,共9页Securities Market Herald

摘　　要：创业板具有更大的不确定性,行为心理的作用更为突出,因而行为金融学的解释更具说服力。本文通过引入保守性偏差的DHS模型分析发现,只有在满足条件时,才会产生反应过度,目前创业板仍处于调整中的反应不足状态。在主要机构投资者中,基金的保守性偏差最弱,归因性偏差最强,但基金行为整体还是比较理性的。与基金相比,个人投资者的保守性偏差较强,锚定效应更突出,这种行为心理使他们的投资行为明显滞后,在投资群体中处于弱势地位。The Growth Enterprise Board had more uncertainties, and it was obviously affected by behavior psychology. Therefore, using behavior finance to explain the investment behavior of Growth Enterprise Board should be more useful. This article found that the Growth Enterprise Board was still in the situation of underreaction by using the DHS Model of conservatism bias, and it was overreaction only when it satisfied the condition of β〉（α-1）/（α2_θ）. Analyzing on major institutional investors, the article found that the funds had weakest conservatism bias and strongest self-contribution bias, so the investment behavior of funds was overall rational. Compared to the funds, the conservatism bias of individual investors was stronger, and their anchoring effect was more obviously. This behavior psychology made their investment behavior lag behind, and at the weak situation of investment groups.

关 键 词：创业板 DHS模型 保守性偏差 归因性偏差 

分 类 号：F830.9[经济管理—金融学]