【作者】 李杨；

【导师】 姜波克；

【作者基本信息】 复旦大学 ， 金融（专业学位）， 2014， 硕士

【摘要】 随着资本市场的发展,市场上不断发现的无法用经典金融学理论解释的异象引起经济学家的注意,行为金融学正是在对传统金融理论的挑战和质疑的背景下悄然兴起的。股票的反转和动量效应是行为金融学研究的一大成果,动量效应是指以前强势的股票的未来收益率高于以前弱势的股票；反转效应是指以前强势的股票的未来收益率低于弱势的股票。虽然国内外已经有不少文献研究这一现象,但对于我国股市,以前的研究还显得不够充分,故本文决定再次深入探讨这一重大课题。本文首先阐述了市场异象及行为金融学的发展,着重从实证和理论角度介绍了动量和反转效应国内外目前的研究成果；其次,运用实证方法,分别从短期,中期和长期检验了我国股市是否存在动量与反转现象；最后,从理论角度解释了我国动量与反转收益的来源,并针对A股市场动量和反转现象的特征做出了合理的理论解释。结果发现,第一,我国A股市场存在明显的动量和反转现象。在短期(1-2周)发现了明显的价格反转现象,在中期(1-12个月)同时发现了动量和反转现象,在长期(1-3年)发现了非常显著的反转现象。第二,动量和反转效应在我国股市具有反转收益很高,反转效应明显强于动量效应的特点。第三,本文发现赢者输者组合的风险差异并非导致动量和反转收益的主要因素,故经典的金融学理论无法完全解释动量及反转收益,而从行为金融学的角度,运用HS模型和动量生命周期理论可以比较好的解释我国动量和反转收益的来源。本文的创新主要来自两点,第一点是在长期和短期实证检验中都使用更多的因子划分赢者输者组合,以期望找到最有效的划分方法；第二点是本文充分结合中国股市的现实情况,尝试运用“概念观察者”和“概念追随者”的理论来解释我国中期反转效应明显强于动量效应的现象,相比其他解释更加符合中国股票市场现状,更加具有说服力。更多还原

【Abstract】 With the development of the capital market, the market can not continue to find the attention caused by the classical economists finance theory to explain the vision, behavioral finance is in the challenge to the traditional financial theory and questioned quietly rising in the background. And momentum stocks reverse effect is a major achievement of behavioral finance research, the momentum effect refers to the next higher income before equity in strong stocks previously disadvantaged; reversal effect refers to a strong future earnings before the stock low on vulnerable stocks. Although there have been numerous domestic and foreign literature to study this phenomenon, but for China’s stock market, previous studies also seem insufficient, so this article once again decided to further explore this important issue.This paper first describes the vision and the development of behavioral finance market, focusing on empirical and theoretical perspective on the current interpretation of research results and reverse the momentum effect at home and abroad; Secondly, the use of empirical methods, respectively, from the short, medium and long-term test of the China’s stock market and the existence of momentum inversion phenomenon, finally, from a theoretical point of view to explain the source of our revenue momentum and reversal, and for the market momentum and reversal phenomena characteristic of A shares to make a reasonable explanation. The results showed that, first, China’s A-share market momentum and there is an obvious inversion phenomenon. In the short term (1-2 weeks) found a significant price reversal phenomenon, in the medium term (1-12 months) also found that the phenomenon of momentum and reversal in the long-term (1-3 years) found a very significant reversal phenomenon. Second, momentum and reversal effects in China’s stock market has reversed a high income, reverse effect was stronger than the momentum effect characteristics. Third, we find that the winner loser portfolio risk difference was not the main factor and reverse gains momentum, so the classical finance theory can not fully explain the momentum and reversed gains, but from the perspective of behavioral finance, the use of HS model and momentum of the life cycle theory can explain the source of China’s relatively good earnings momentum and reversal.The main innovation of this paper from the two, the first point in the long-term and short-term empirical factors are used in more division winners losers portfolio to expect to find the most effective way of classifying; second point is fully integrated herein Chinese stock market the reality of the situation, the first use of "observer concept" and "concept followers" theory to explain the medium-term reversal effect was stronger than the momentum effect of the phenomenon,explained more in line with the status quo compared to other Chinese stock market, more persuasive.更多还原