非理性投资与股票最优价格水平  

Irrational Investment and the Stock Optimal Price Model

作　　者：张婷[1] 吕东锴[1] 蒋先玲[1] 

机构地区：[1]对外经济贸易大学国际经济贸易学院,北京100029

出　　处：《西安财经学院学报》2013年第2期5-10,共6页Journal of Xi’an University of Finance & Economics

基　　金：国家社科基金项目(12BJY151)

摘　　要：文章首先采用Tobit模型研究了我国股票市场的投资者结构,发现个人投资者持股比例与股票价格显著负相关。由于个人投资者易出现非理性投资,因而个人投资者持股比例高的股票受到投资者非理性因素影响较大。然后,分别采用四因子模型和Fama&MacBeth时间序列横截面回归法,验证了价格水平与投资者非理性因素的关系,即:与高价格股票相比,低价格股票受到投资者非理性因素影响较大,收益率更高。最后,将投资者情绪加入到股票最优价格水平模型中,完善了该模型,为公司管理层提供了一个更加全面的股票最优价格水平的分析框架。This paper uses Tobit model to find that individual investors prefer investing in the low-price stocks.Individual investors are prone to do irrational investment.And then,it uses Four-Factor model and Fama MacBeth time series cross-sectional regression method to verify that low-price stocks have been affected more by irrational factors,that is： low-price stocks have higher return than high-price stocks by the reason of irrational factors of the investors.Irrational factors should be added to Optimal Price Model to provide a more comprehensive analysis framework for the management to decide the optimal price level.

关 键 词：股票价格水平 最优价格模型 非理性投资 投资者情绪 

分 类 号：F830.9[经济管理—金融学]