【作者】 姜伟；

【导师】 杨春鹏；

【作者基本信息】 青岛大学 ， 金融学， 2004， 硕士

【摘要】 动量效应是经典金融理论与行为金融理论的一个争论焦点。这种异常利润的存在是对市场有效性假设的直接挑战。经典金融理论试图从理性风险补偿角度解释利润的形成机理，但是这方面研究的各种学说之间在实证检验结果上存在很多矛盾，彼此相互否定；对动量效应的研究促使行为金融理论在近些年来有了较大的发展。行为金融模型从投资者的认知和行为偏差角度出发，比较符合客观事实，但这方面研究的各种假设条件还很不完善。同时，动量效应的研究可以帮助投资者寻找低风险的套利机会，因此也大大激发了实务界的兴趣。 现有的国外基于行为金融的研究在假设条件上与股市实际比还有一段距离，例如交易者类型的变化。而国内现有研究主要集中在利润是否存在的检验方面，对利润形成机理的讨论很少。 本文从股市实际情况出发，研究了交易者类型可变条件下动量效应的形成机理，丰富和发展了行为金融理论。然后，本文用计算机生成的数据，从类型变化对动量效应影响的角度进行实证研究，发现了不同于已有文献的检验结果，这与股市的实际情况相符，更说明了我们假设的正确。同时，为中国股市动量效应的研究提供了新的思路，并对实际股市操作具有参考价值。 本文的主要创新点如下： 1、对交易者类型转变的机理的进行研究 本文从现实中的案例出发，运用行为金融学的有关理论对交易者类型转变的机理进行研究，提出了四种解释。 2、本文改进了HS模型的假设条件，从交易者的分类开始即与HS模型不同，HS模型交易者分为消息观察者和动量交易者，我们的分类是基本分析者和动量交易者，基本分析者参看当前的价格，并有简单的价格预测能力，比HS更符合现实，从而在均衡价格的形成中其所起到的作用也不同，增加了交易者类型变化的影响，建立了考虑类型变化的动量效应模型。在研究方法上，本文采用了不同于HS模型的递推公式法，清晰描述股价运动的路线，直观地分析了基本分析者和动量投资者行为偏差导致的动量效应的大小和方向。本文得出了更多的可供检验的结论。更多还原

【Abstract】 Momentum effect is a hot debate between Classical Finance Theory and Behavioral Finance Theory. The existence of this anomaly challenges Market Effective Hypothesis. Classical Finance Theory explains it as rational risk compensation. But there is a lot of contradiction in experimental results. Research on momentum effect stimulates Behavioral Finance Theory’s development very much. Behavioral finance models are based on cognitive mistake, which are more suitable to reality. But there are a long distance between fact and hypothesis. At the same time, research about momentum can help investors hunt for low-risk arbitrage, which are core of empirical industry.Most documents based ehavioral finance have a distance with stock market, for example the changes of trader’s style. While domestic documents still debate whether there is momentum effect in Chinese stock market, but not exploit profits’ resources.So coming from the real situation stock market, this dissertation mainly researches formation resources of momentum profit under the changes of trader’s style, which develops behavioral finance model. Then using data generated by computer, this dissertation empirically researches our theory model. New results are found. The results are accordant with the fact of stock market. They confirm that the hypothesis is right. They also give new thought way for the research of momentum in Chinese stock market, and are valuable for empirical investment.The primary innovation in this dissertation is demonstrated as follow:1. This dissertation stud the change of trader’s style.First show the example in reality, and then using the behavioral finance theory to explain the change of trader’s style, and give four kinds of explanation.2.This dissertation changes and expands HS model’s hypothesis. It is different from HS model from the traders’ classification, in HS model the traders are divided into the news watchers and the momentum traders, but in this dissertation the classification is fundamental Analysts and momentum traders. Fundamental Analysts can see the present price, and have simple price forecast ability, and this is more accordance with reality than HS model, thus it plays a different role during the formation of the balanced price. It considers the change of trader’s style, builds Momentum Effect Model under change of trader’s style, which clearly characterizes stock price’s movement track affected by news and directly describes momentum effect’s size and direction affected by fundamental Analysts and momentum traders. This dissertation gives more model’s empiricalimplications.更多还原