无效市场中主体行为对股票价格影响理论与实证分析

【作者】 刘俊；

【导师】 姜波克；

【作者基本信息】 复旦大学 ， 金融学， 2003， 博士

【摘要】 经过多年的发展，我国的股票市场的基本格局已经逐渐形成。作为一个飞速发展的新兴市场，经典资产定价理论对于我国股票市场价格的解释能力较弱。从理论分析角度看，存在制度性缺陷的我国股票市场，很难达到有效状态。我国股票的市场价格并不仅由股票的盈利能力和基本价值所决定。各种市场主体的行为对股票价格产生很大的影响。本文结合经典的资产定价理论与现代行为金融的发展从理论与实证两个角度对我国的股票价格的影响因素进行了分析。本文的研究范围界定为对我国沪市股票市场上的A股价格影响因素，特别是在进行实证分析时，为了排除不同交易所之间规则及其他因素的影响，只选取沪市A股价格作为分析对象。本文不仅运用传统财务理论、经典资产定价理论，还将运用现代行为金融理论、套利理论、委托代理理论作为自身的分析理论基础，并结合实证分析结果探讨这些理论在我国股票市场适用性，对我国股票市场价格的解释能力。本文研究分为以下几部分：导论。第一章，对于有效资本市场理论与有效资本市场理论框架下资产价格定价理论进行了回顾与综述。第二章阐述了投资者类型对股票市场中信息传递和价格的影响，重点对金融市场微观结构分析理论进行了综述。但是微观价格机制分析的一些经典模型利用贝叶斯规则和理性预期作为分析框架，最终得出的股票市场价格也是一种有效价格。第三章至第五章运用理论分析了在无效市场中各种主体行为对股票价格的影响。第三章以行为金融理论为基础阐述了投资者的心理情绪对股票价格的影响。第四章讨论了非随机性的非理性交易行为对股票价格的影响。重点分析了投资基金、上市公司、分析师等主体行为对股票价格的影响。第五章对于套利者对于股票价格的影响进行了阐述。第六章至第八章对我国股票市场的实际情况进行了实证分析。第六章以上海证券交易所A股市场截面数据为分析样本，分析了多种因素对我国股票市场价格产生的影响。第七章分析了中国股票市场（沪市A股）的实际数据，对我国股票市场是否存在惯性和反转现象进行了分析。第八章以第六章与第七章的分析结论为基础，主要分析了一些因素以及价格本身随着时间的延长对股票价格的影响，即对股票价格的惯性、反转与其他因素的关系进行联合分析。本文研究结论如下：第一、在我国的股票市场中，除了传统的财务理论对股票价格具有解释能力外，市场的主体行为对于股票价格也会产生很大影响。第二、传统的财务理论对于股票价格具有一定程度的解释作用。并且股利贴现模型、市盈率贴现模型、公司净值大小以及资本结构理论对于公司股票价格都具有解释作用。<WP=9>第三、除了财务指标对于股票价格的高低具有影响，还有其他因素对股票价格具有影响。具体的来说：1、我国上市公司的规模效应非常显著，流通股规模对股票价格有着负面的影响。2、股本结构、上市时间、是否存在H、B股等因素对于股票价格都有影响。第四、我国市场中股票价格不存在显著的反应不足倾向，短期内市场中的反应过度特征同样也不显著。长期看来我国市场中存在显著的反应过度，采用反转投资策略能够获得显著的超常收益。同时组合中的股票数与排序期检验期的长短对研究结论也有所影响。第五、考虑新股发行时，我国股票市场的价格长期内反转趋势仍然很明显。股本规模较小股票的价格具有反转短期化的趋势。换手率高的股票组合仍然是以反应过度的倾向为主，股票价格会较快出现反转。换手率低的股票组合在长期内仍然具有反转倾向，但是短期内却会出现一定的惯性特征。同时价值投资策略在累计超额收益较低的组合中的获利可能性更高。本文的主要创新在于：首先，根据金融理论的发展脉络，结合传统的财务理论、有效市场理论、经典资产定价理论、现代行为金融理论等各种基础理论，从多方面探讨分析我国股票市场价格的影响因素。其次，以上海证券交易所A股市场作为实证分析对象，直接以股票价格为被解释变量，根据理论分析选取解释变量，建立多因素横截面实证检验模型。通过实证分析发现对我国股票的市场价格产生显著影响的因素。再次，利用中国股票市场（沪市A股）的实际数据，在总结现有研究文献的基础上对我国股票市场的反应不足与反应过度进行了实证分析，对于我国股票市场价格随着时间变化产生的惯性趋势与反转趋势做出了判断。最后，分析了不同的因素对于股票价格的反应不足与反应过度的影响进行了分析。具体的有股本规模、新股发行、交易活跃程度、股票投资价值对于股票价格的反转惯性趋势的影响，并得出相应的结论。更多还原

【Abstract】 Chinese securities market is a fast developing market, so it is not very efficient. Classical assets pricing theories are not applicable in Chinese markets. Prices of stocks are not decided only by profitability and basic value. Traders’ behavior influences the prices of stocks. This dissertation analyzes the influencing factors of stock prices using classic assets pricing theories and modern behavioral finance theories. The analytical aim is the Shanghai market. The theories in the dissertation include traditional corporate financial theories, classical assets pricing theories, behavioral finance theories, professional arbitrage theories and so on. In this dissertation, we discuss the applicability of these theories and the influence of these theories on stock prices.The structure includes: Preface; Chapter 1, we review EMH and some assets pricing theories. Chapter 2, we review market microstructure theory. This theory uses Bayes rule and rational anticipation as analytical tools. According to this theory, the prices of the market are very efficient. Chapter 3, we review behavioral finance theory. In the securities market, investor sentiment can influence the prices. Chapter 4, we describe several kinds of traders’ behavior. These traders include mutual funds, listed firms and analysts. And their behavior may influence the prices. Chapter 5, we analyze the effect of arbitrage. Chapter 6, we analyze the data of Shanghai market. And we analyze the overreaction and underreaction in Shanghai market in chapter 7 and chapter 8.The conclusions are as follows.1. Not only financial index but also traders’ behavior can influence the prices of stocks. 2. Traditional financial theory can explain the difference among stock prices. We can anticipate the price of one stock by dividend discount model, P/E model, and capital structure theory. 3. Several factors can influence the prices of stocks. The size can have negative impact on the price of one stock. Other factors, such as capital structure and the time from IPO can influence prices.There is no overreaction and underreaction in short term in Shanghai market. In long term, overreaction does exist in shanghai market. So contraian strategy can be profitable in long term. The number of stocks in the portfolio we analyze and<WP=11>4. the length of test period also affect the conclusion.5. When we consider IPO of stocks, long term overreaction still exist in the market. Small size stocks are apt to overreact in shorter term. Stocks with low volume may be apt to underreact in short term and overreact in long term, though stocks with high volume still overreact in short term and long term. The main innovations of this dissertation are listed as follows.1. We analyze the influencing factors of stock prices by using several kinds of financial theories. These theories include traditional corporate financial theories, classical assets pricing theories, behavioral finance theories, professional arbitrage theories and so on.2. We analyze the data of Shanghai stock market. We construct a regressive model. In this model, we use the price as an dependent variable, and use other factors as independent variables. By analyzing the numerical value of the regression coefficients, we can know how these factors influence prices.3. Based on current research literature, we analyze the underreaction and overreaction in Shanghai market and discuss the profitability of momentum strategy and contrarian strategy.4. We discuss influence of many factors on underreaction and overreaction in the market. These factors include size, volume, value and so on.更多还原