【作者】 郭亮；

【导师】 鲁昕； 刘澜飚；

【作者基本信息】 南开大学 ， 金融学， 2022， 博士

【摘要】 从17世纪发生在荷兰的郁金香泡沫开始,金融的发展历史便离不开资产价格泡沫的身影。资产价格泡沫的产生不仅在投资者间造成了财富再分配效应,其本身更是预测未来金融危机是否发生的重要指标。股票市场作为金融资产的重要组成部分,其价格的暴涨暴跌同样也会对实体经济产生影响。在我国A股市场短短三十余年的历史中,同样出现过数次全市场层面的泡沫,其中2008年的金融危机以及2015年的股灾让人印象最为深刻。2015年股市泡沫所表现出的周期短、波动大、交易量等特点,更是充分体现了市场的投机性质。对于我国资本市场的稳定发展,党和政府一直保持着高度的关注。早在2016年7月,中共中央政治局会议就提出要“抑制资产泡沫”;而2021年3月全国人大表决通过的“十四五”规划和2035年远景目标纲要中更是强调,未来要进一步“完善现代金融监管体系,健全风险全覆盖监管框架”。针对历次资产泡沫中价格波动幅度之大、市场成交量之巨等特点,经典的金融理论始终缺乏合理的解释。回顾资产价格泡沫的历史,投资者的投机行为始终贯穿其中。以投资者心理为基础的行为金融学,则从投资者信念和投资者偏好角度,为我们提供了分析泡沫成因的全新视角。近年来的研究成果中:外推信念、诊断效应、博彩偏好、模糊厌恶、失望厌恶等投资者行为均被证实能够影响资产价格的变动。鉴于A股市场中个人投资者占比仍然较高,针对A股的研究更不能忽视投资者行为的影响。在此背景下,本文旨在找到符合A股市场特点的泡沫检验方法,并以此为基础,从投资者信念和投资者偏好角度出发,考察投资者行为对泡沫未来收益表现的预测能力。首先,本文优化了A股市场的泡沫识别方法,据此考察市场中的泡沫情况并总结了泡沫行业的相关特征。本文改进了Greenwood等(2019)的泡沫识别方法,使其符合A股市场泡沫具有的全市场普遍存在、形成周期短等特点,最终确定了如下的泡沫识别标准:本文首先识别发生了价格暴涨的行业,若该行业未来两年内任意时间点出现崩盘,则认为该行业存在泡沫;其中价格暴涨的定义为行业两年内最大净无风险收益超过100%的情况,而崩盘指那些收益低于-40%的情况。本文识别的泡沫平均价格上涨期仅为21个月,新方法加入了更多的被忽视的短期价格暴涨样本,这为后文考察投资者行为与泡沫的关系提供了更全面的研究数据。相较于现有的研究,本文的识别方法回归价格暴涨后崩盘的泡沫概念,减少了有关泡沫存在性的争议。在基于传统金融理论考察泡沫的行业特征时,本文创新地引入了价格暴涨期的最大月度指标,以反映泡沫形成期间行业的极端情况。研究发现:相较于被识别出价格暴涨当月的行业特征,行业价格暴涨期的极端特征更能够反映其泡沫情况;其中,过去两年净收益、最大波动率、最大换手率、最大成交量、上市时间以及最大市净率指标能够预测泡沫行业的未来收益情况。观察到A股市场泡沫具有的高波动率、高换手率以及高成交量的特征后,回顾已有的研究,Liu等(2021)通过对比调查问卷和交易账户发现:投资者过度自信和博彩偏好行为是A股市场的高交易量主要成因。因此,本文将选取过度自信和博彩偏好预测A股市场泡沫。另外,Kahneman和Tversky(1979)的前景理论中表明投资者不仅存在重视极端高收益的博彩偏好行为,其也会存在重视极端负收益的失望厌恶行为。鉴于博彩偏好行为可能会对泡沫造成影响,本文还将考察与博彩偏好相反的失望厌恶行为在泡沫预测中的作用。综上,本文将选取过度自信、博彩偏好以及失望厌恶三个方面,考察上述投资者行为对A股市场泡沫的预测能力。第二,本文基于A股市场过度自信与股票截面收益的关系,考察了投资者过度自信对A股市场泡沫的预测能力,并分析了过度自信行为在不同时期下的表现。参考理论模型和既有研究的成果,本文构建了描述投资者过度自信程度的实证检验指标。实证检验结果表明:中国A股市场存在投资者过度自信行为,股票的投资者正向过度自信程度越大时,其同期截面收益率越高,未来截面收益率越低。考察过度自信行为对价格暴涨行业未来收益的预测能力时,本文发现:相较于非泡沫行业,泡沫行业的投资者最大过度自信水平较高;行业的最大过度自信程度越大,该行业未来收益率越低、泡沫程度越大。进一步分析过度自信具有泡沫预测能力的背后机制时,本文发现相较于没有泡沫的时期,泡沫时期过度自信指标对截面收益有着更大的影响。上述结论表明:在泡沫形成时期,由于投资者的自我归因效应,不断上涨的价格推高了投资者的过度自信程度;而随着投资者过度自信水平的提升,过度自信对价格偏离的影响不断被放大,价格偏离程度在过度自信的影响下飞速扩张,价格与过度自信之间的循环不断推高泡沫水平最终发生崩盘。第三,本文基于A股市场博彩偏好与股票截面收益的关系,考察了投资者博彩偏好行为对A股市场泡沫的预测能力,并分析了博彩偏好行为在不同时期下的表现。研究结果表明:中国A股市场存在投资者博彩偏好行为,股票的博彩程度越大,其长期截面收益率越低。本部分的研究还发现,价值类股票减少了博彩偏好行为对价格的影响,内在价值低的股票中投资者博彩偏好程度越大。检验博彩偏好行为对泡沫行业未来收益的预测能力时,本文发现:相较于非泡沫行业,泡沫行业的投资者最大博彩特征程度较高;行业在价格暴涨期的最大博彩程度越大,该行业未来收益率越低,其所含价格泡沫程度越大。在考察投资者博彩偏好行为在不同时期的区别时,本文发现,相较于没有泡沫的时期,泡沫时期博彩类股票拥有更低的未来收益,证明该阶段投资者博彩偏好行为较其他时间更严重。上述结论表明:在泡沫的形成中,初期的利好消息引发价格初步上涨,市场的错误定价和投资者情绪逐渐放大;受此影响,投资者由于投机心态而更加偏好博彩类资产,诱发了资产价格的进一步偏离,最终泡沫走向破裂。最后,本文考察了A股市场中投资者广义失望厌恶行为及下行风险的表现情况,以此为基础进一步检验并分析了下行风险对股市泡沫的预测能力。研究结果表明:中国A股市场存在投资者广义失望厌恶行为,股票对下行因子的暴露能够解释其截面收益率;广义失望厌恶因子溢价为负,下行因子的溢价为正;下行因子在市场不同时期下表现不同,下行因子的正溢价是对投资者承担下行风险的补偿。进一步考察下行风险对泡沫的预测能力时,本文发现:相较于非泡沫行业,泡沫行业的下行风险程度较高;泡沫时期下行风险更高的行业泡沫程度更大、未来收益更低。在考察下行风险在不同时期的区别时,本文发现相较于没有泡沫的时期,泡沫时期下行风险的溢价反转成负值,证明该阶段投资者偏好下行风险高的资产。上述结论意味着:发生泡沫时,投资者在投机心理的影响下会变得偏好风险;而下行风险较高的股票由于其在股市上行时拥有较高收益,投资者会过度投资这类高下行风险的股票进而推高其价格,最终该资产会有更低的长期收益率。综上,本文从过度自信、博彩偏好以及广义失望厌恶行为这三个角度,研究了投资者行为对中国A股市场泡沫的预测和解释作用。为了保障我国资本市场的平稳发展,本文提出如下政策建议:第一,监管部门应当对价格暴涨引起足够的重视,相关部门判断价格暴涨的性质时,要重点关注资产在价格暴涨期间的极端特征表现;第二,监管部门应当加强投资者教育,倡导长期投资理念,缓解各类投资者行为造成的价格波动情况;第三,预警A股市场的价格泡沫时,监管机构应当充分考虑相关投资者行为指标的表现;第四,对于个人投资者而言,应当充分了解自身投资行为,减少相关投资心理带来的负面影响。更多还原

【Abstract】 From the tulip bubble that occurred in the Netherlands in the 17 th century,the history of financial development is inseparable from asset price bubbles.The emergence of bubbles not only creates wealth redistribution effect among investors,but the bubble itself is an important indicator to predict whether the future financial crisis will occur.The stock market is an important part of financial assets,and the sharp rise and fall of its prices will also have an impact on the real economy.In the short history of more than 30 years of our country’s A-share market,there have also been several market-wide bubbles.Among them,the financial crisis in 2008 and the stock market crash in 2015 are the most impressive.The 2015 stock market bubble showed the characteristics of short cycle,high volatility,and trading volume,which fully reflected the speculative nature of the market.For the stable development of my country’s capital market,the party and the government have always maintained a high degree of attention.As early as July 2016,the Politburo meeting of the CPC Central Committee proposed to "suppress asset bubbles";and the "14th Five-Year Plan" and the 2035 long-term goal outline voted by the National People’s Congress in March 2021 emphasized that the future must be Further "improve the modern financial supervision system and improve the supervision framework for full coverage of risks".In view of the characteristics of the large price fluctuations and the huge market turnover in the previous asset bubbles,the classic financial theory has always lacked a reasonable explanation.Looking back at the history of asset price bubbles,investors’ speculative behavior always runs through it.Behavioral finance,which is based on investor psychology,provides us with a new perspective to analyze the causes of bubbles from the perspective of investor beliefs and investor preferences.Among the research results in recent years,investor behaviors such as extrapolated beliefs,diagnostic effects,gambling preferences,ambiguity aversion,and disappointment aversion have all been proven to affect the changes in asset prices.Given that the proportion of individual investors in the A-share market is still relatively high,the research on A-shares cannot ignore the influence of investor behavior.In this context,this paper aims to find a bubble test method that conforms to the characteristics of Ashare market price changes,and based on this,interpret bubbles and make predictions from the perspective of investor behavior.First of all,this paper optimizes the bubble identification method of the A-share market,investigates the bubble situation in the market and summarizes the relevant characteristics of the bubble industry.This paper improves the bubble identification method of Greenwood et al.(2019)to make it conform to the characteristics of A-share market bubbles such as market-wide ubiquity and short formation cycle,and finally determines the following bubble identification criteria: This paper first identifies the bubbles that have experienced price surges.Industry,if the industry collapses at any point in the next two years,the industry is considered to be in a bubble;the price surge is defined as the industry’s largest net risk-free return over two years.%Case.The average price increase period of the bubbles identified in this paper is only 21 months,and the new method adds more neglected short-term price surge samples,which provides more comprehensive research data for the later study of the relationship between investor behavior and bubbles.Compared with existing research,the identification method in this paper returns to the concept of bubbles that collapse after price surges,reducing the controversy about the existence of bubbles.When examining the industry characteristics of bubbles based on traditional financial theory,this paper innovatively introduces the maximum monthly indicator of the price boom period to reflect the extreme conditions of the industry during the formation of the bubble.The study found that: Compared with the characteristics of the industry in the month when the price surge was identified,the extreme characteristics of the industry during the price surge period were more able to reflect its bubble situation;,time to market,and maximum price-to-book ratio indicators can predict future earnings in a bubble industry.After observing the characteristics of high volatility,high turnover and high trading volume of the A-share market bubble,and reviewing the existing research,Liu et al.(2021)found that investors were overconfident and gambling by comparing questionnaires and trading accounts.Preference behavior is the main reason for the high trading volume of the A-share market.Therefore,this article will select overconfidence and gambling preference to predict the A-share market bubble.In addition,the prospect theory of Kahneman and Tversky(1979)shows that investors not only have gambling preference behaviors that value extremely high returns,but also have disappointmentaversion behaviors that value extremely negative returns.Given that gambling preference behavior may have an effect on bubbles,this paper also examines the role of disappointment aversion,which is the opposite of gambling preference,in bubble prediction.To sum up,this article will select three aspects: overconfidence,gambling preference,and disappointment and disgust to examine the ability of the abovementioned investor behavior to predict the A-share market bubble.Secondly,based on the relationship between A-share market overconfidence and stock cross-sectional returns,this paper examines the predictive ability of investors’ overconfidence to A-share market bubbles,and analyzes the performance of overconfidence behavior in different periods.Referring to theoretical models and existing research results,this paper constructs an empirical test index to describe the degree of investor overconfidence.The empirical test results show that there is investor overconfidence in China’s A-share market.The greater the positive overconfidence of stock investors,the higher the cross-sectional rate of return in the same period and the lower the future cross-sectional rate of return.When examining the ability of overconfidence behavior to predict the future earnings of price surge industries,this paper finds that: compared with non-bubble industries,investors in bubble industries have a higher level of maximum overconfidence;The lower the rate,the greater the degree of foaming.When further analyzing the mechanism behind overconfidence’s ability to predict bubbles,this paper finds that overconfidence indicators have a greater impact on cross-sectional returns during bubble periods than during periods without bubbles.The above conclusions show that: in the period of bubble formation,due to the self-attribution effect of investors,the rising price pushes up the degree of investor overconfidence;and as the level of investor overconfidence increases,the impact of overconfidence on price deviation Constantly amplified,the degree of price deviation expands rapidly under the influence of overconfidence,and the cycle between price and overconfidence keeps pushing up the bubble level and eventually collapses.Thirdly,based on the relationship between gambling preference in the A-share market and stock cross-sectional returns,this paper examines the predictive ability of investors’ gambling preference behavior on the A-share market bubble,and analyzes the performance of gambling preference behavior in different periods.The research results show that there is investor gambling preference in China’s A-share market,and the greater the degree of gambling,the lower the long-term cross-sectional return.The research in this section also finds that value stocks reduce the impact of betting preference behavior on price,and that stocks with low intrinsic value have a greater degree of investor betting preference.When examining the predictive ability of gambling preference behavior on the future returns of the bubble industry,this paper finds that: compared with the non-foam industry,investors in the bubble industry have a higher degree of maximum gambling characteristics;the greater the industry’s maximum gambling degree during the price surge period,the higher The lower the future yield,the greater the degree of price bubbles it contains.When examining the differences of investors’ gambling preference behavior in different periods,this paper finds that compared with the period without bubble,gambling stocks have lower future returns during the bubble period,which proves that the investor’s gambling preference behavior in this stage is more serious than that in other times..The above conclusions show that: in the formation of the bubble,the initial good news caused the price to rise initially,and the market mispricing and investor sentiment gradually amplified;affected by this,investors prefer gambling assets due to their speculative mentality,which induces asset prices.further deviation,and eventually the bubble bursts.Finally,this paper examines the performance of investors’ generalized disappointment aversion and downside risk in the A-share market,and further tests and analyzes the ability of downside risk to predict stock market bubbles on this basis.The research results show that: there is a generalized disappointment-aversion behavior of investors in China’s A-share market,and the stock’s exposure to downside factors can explain its cross-sectional return;the generalized disappointment-aversion factor premium is negative,and the downside factor’s premium is positive;downside factors in different periods of the market The downside performance is different,and the positive premium of the downside factor is the compensation for investors to take downside risk.When further examining the downside risk’s ability to predict bubbles,this paper finds that: compared with non-foam industries,bubble industries have a higher degree of downside risk;industries with higher downside risks during the bubble period have greater levels of bubbles and lower future returns.When examining the difference of downside risk in different periods,this paper finds that compared with the period without bubble,the premium of downside risk in the bubble period reverses to a negative value,which proves that investors prefer assets with high downside risk in this period.The above conclusion means that: when a bubble occurs,investors will become risk-averse under the influence of speculative psychology;and stocks with higher downside risk will overinvest in such high-downside stocks due to their higher returns when the stock market goes up.Risky stocks in turn push up their prices,and ultimately the asset has a lower long-term yield.In summary,this paper studies the prediction and interpretation of investor behavior to China’s A share market bubbles from three angles of overconfidence,gambling preference and generalized disgust and disgust behavior.In order to ensure the stable development of China’s capital market,this paper puts forward the following policy suggestions: first,the regulatory authorities should pay enough attention to the price surge.When judging the nature of the price surge,the relevant departments should focus on the extreme characteristics of assets during the price surge;Second,the regulatory authorities should strengthen investor education,advocate the concept of long-term investment,and alleviate price fluctuations caused by various investor behaviors;Third,when forecasting the price bubbles in the A share market,regulators should give full consideration to the performance of relevant investors’ behavior indicators.Fourth,for individual investors,they should fully understand their own investment behavior and reduce the negative impact of relevant investment psychology.更多还原