【作者】 杨奇志；

【导师】 冯文伟；

【作者基本信息】 华东师范大学 ， 世界经济， 2005， 博士

【副题名】行为金融框架下的心理学试验和实证检验

【摘要】 行为金融学是在对现代金融理论的挑战和质疑的背景下产生的,是基于心理学实验结果来分析投资者各种心理特征,并以此来研究投资者的决策行为及其对资产定价的影响。从行为金融学对投资者行为和股票价格波动的分析中看出,投资者的行为是股票价格波动的最关键因素。正是因为现实中绝大部分投资者都是非理性的,他们由于各种心理原因对已知的信息缺乏理解和加工判断能力,从而影响信息的传递导致股价的波动。对于中国股票市场的投资者来说,由于市场发展时间短、市场结构和监管体系等方面的不健全造成投资者的非理性程度非常高,从而在行为金融理论框架下对中国投资者的行为进行研究就显得尤为必要。 本文首先对证券市场投资者行为的研究作了一个较为系统的回顾,之后在行为金融理论的分析框架下,采用国外比较成熟的研究方法——和实证研究方法分析并总结了中国股票市场中投资者的心理偏差和决策行为,并根据行为金融理论提出了一些适合个体投资者的投资策略。 本文对中国股票市场投资者进行的心理学实验发现,在面对风险性选择时,被试具有相似的认知偏差,即存在明显的过度自信、不确定性厌恶心理、损失厌恶心理和锚定心理等。因此可以得出结论,中国的投资者在决策过程中也存在着同国外研究中发现的类似心理偏差。但由于特定的经济和文化环境等因素的不同,中外投资者在心理偏差的程度上还存在着较大的差异。其次,本文采用中国股票市场的数据对投资者过度自信和处置效应两个假设进行了计量检验,发现中国股票市场确实存在着过度自信的情况,并且在上升趋势时期和下降趋势时期投资者的过度自信程度会有所不同。同时发现中国的投资者比美国的投资者具有更强的处置效应,并且不具有美国股票市场中的季节性。这充分显示出了中国股票市场的独特性。 最后,本文选取了反向投资策略、动量投资策略和小盘股投资策略等行为投资策略进行了具体的分析。综合中国股票市场投资的实际特点,我们发现其中某些投资策略具有较好的实用性,可以为中国证券市场的投资者所借鉴,同样也存在一些策略还需要进一步的考虑斟酌。鉴于此,本文认为在不同的市场环境中应该采用不同的投资策略。本文还探讨了个体投资者行为对公司财务活动和政策监管的影响,并发现中国个体投资者的行为偏差确实会发生作用,无论政府还是上市公司在制定政策时,都应该将这方面的因素考虑进去。 本文只是试图对中国股票市场投资者的行为进行初步研究,至于监管政策、信息环境、社会文化等外部因素对投资者行为的影响,以及投资者行为对资产定价的影响等领域,则需要进行更深入的研究。更多还原

【Abstract】 The theory of behavioral finance comes into being with the challenges and queries to the modern financial theory. Based on psychological experiments, behavioral finance analyzed different kinds of investor’s mental characteristics and use these results to study investor’s decision-making process as well as its impact on the assets pricing. From the behavioral analysis of the connections between investors’ behavior and the fluctuation of stock price, we can get a clue that investors’ behavior is the key factor to influence stock prices. That’s because most of investors are irrational. Because of different reasons, Individual Investors lack the abilities to analyze or process the already known information, which has a negative impact on the connection between information delivery and price fluctuation. Considering Chinese stock market is still young, its structure and supervision system are not quiet sound, which lead to high degree of investors’ unreasonableness. Therefore it is a necessity to study Chinese investors’ behavior through the theory of Behavioral finance. This article made a review in the behavioral research of investors in stock market. Firstly, we give readers the clear understanding of the research field under the theory of Behavioral finance. Then we adopt the overseas comparatively sound research methods —psychological experiments and empirical study. We analyze Chinese investors’ mental bias and decision-making behaviors and draw conclusions. This article also puts forward some investment strategies for the individual investors.According to the psychological experiments targeting on the individual investors of Chinese stock market, we found that when at face of risk choice, the tested investors have familiar cognition bias which include obvious overconfidence, ambiguity aversion, lost-averseness as well as anchoring and adjust. Informed by that, we can deduce that when making a decision, Chinese investors have analogical mental biases as which had been found abroad. However, because of the difference in economy and culture environment, the degree in mental bias is different. Then, backed up by statistics in Chinese stock market, this article takes metric tests to the assumptions of overconfidence and deposition effect. The result proves overconfidence do exits in Chinese stock market and its degree will be different on ascending anddescending period. The result also shows that Chinese investors have stronger deposition effect than overseas investors, but the effect has not seasonal phenomenon that has been found in United States stock market.Finally, this article gives detail analysis to some behavioral investment strategies such as contrarian investment strategy, momentum investment strategy and small company investment strategy and so on. Some of them are good examples to learn for investors while some others need more perfection. Different strategies should be used in different market environment. This article also discussed the influence of investor behavior to company finance and supervision policy. We found that in China when making policy, the government and listed companies should consider over the behavioral bias of individual investors.This article just tries to make pilot study to the investors’ behavior of the Chinese stock market. The fields of the influences thrown to investors by exterior factors such as supervision policy, information environment, social culture etc. and the influence thrown to assets pricing by investors’ behaviors still need much profound study .更多还原