投资者行为与股价动量效应关系的研究——基于上市公司存续期分类的比较分析  

Relationship of Investors' Behavior and Stock Price Momentum——A Comparative Analysis Based on Existing Period Grouping

作　　者：陈伟忠[1] 李晓帆[1] 

机构地区：[1]同济大学

出　　处：《价格理论与实践》2017年第2期135-138,共4页Price:Theory & Practice

基　　金：国家自然科学基金(71173153)资助

摘　　要：动量效应是金融学界关注的焦点问题。本文对不同存续期公司股价动量效应进行研究,发现短存续期公司股价动量效应显著强于长存续期公司股价的动量效应。本文依据H S理论对此现象进行实证分析后发现:我国投资者对不同存续期股票投资行为的差异是造成不同存续期股票股价动量效应差异的原因。最后,本文构建基于不同存续期公司股价动量效应差异的投资策略,并对其历史表现实证分析后发现该策略,可以获取优于市场组合的显著收益。Momentum Effect has been focus of finance study. This paper studies on firms of different existing period and finds out that momentum effect of firms with short existing period is much stronger than that of firms with long existing period.Based on HS theory the disparity of momentum effect can be explained by investors＇ behavior. Finally, this paper constructs portfolio according to disparity of momentum effect and concludes that the portfolio significantly outperforms the market index.

关 键 词：A股市场 股价动量效应 投资者行为 HS理论 投资策略 

分 类 号：F832.51[经济管理—金融学]