个体投资者风格偏好转换与股票收益  

The Style Preference Shifts of Individual Investors and Stock Returns

作　　者：胡昌生[1] 王永锋[1] 池阳春[1] 

机构地区：[1]武汉大学经济与管理学院,邮政编码430072

出　　处：《经济评论》2013年第4期141-150,158,共11页Economic Review

基　　金：国家自然科学基金项目"投资者情绪;资产估值与资产价格异常波动研究"(项目批准号:7097110);教育部人文社科规划基金项目"投资者情绪与资产价格异常波动性研究"(项目批准号:09YJA790156)的资助

摘　　要：风格投资对投资者的组合选择和股票收益均具有重要的影响。基于我国个体投资者2006-2011年间的交易数据,本文发现其组合选择存在显著的风格偏好,他们的风格偏好转换主要受资产价格变化驱动,而非基于基本面信息。个体投资者对风格组合的需求变动表现为负反馈,其财富水平在风格偏好转换中遭受了损失,因此,个体投资者风格偏好转换引起的需求变动是市场中的噪音。同时,由于不同风格组合在投资者的资产配置中存在竞争,个体投资者风格偏好转换对极端风格组合收益的影响方向相反,且难以套利的风格组合受到的影响程度更高,这表明个体投资者系统性的需求变动是影响股票横截面收益的重要因素。Investors＇ portfolio selection and style portfolio returns are significant affected by style investing. Using the trading records of individual investors from 2006 to 2011 in Chinese stock market, this paper shows that the individual investors＇ portfolios are significantly influenced by style preferences, and their style preference shifts are mainly driven by style returns, but unaffected by macroeconomie factors. The individual investors＇ demand of style portfolios seems to be counter - trend of style return, and they suffer wealth losses from their style preference shifts. Therefore,the changes of individual investors＇ demand of style portfolios caused by style preferences shifts are irrational. Consistent with behavior theory, our findings suggest that the style returns are significantly affected by investors＇ style preference shifts, and the more attention gained from individual investors or the higher arbitrage cost, the more sensitive portfolio return is to the individual investors＇ style preferences shifts.

关 键 词：个体投资者 风格投资 风格偏好转换 负反馈 

分 类 号：F224[经济管理—国民经济] F832.51