“品牌效应”与股票投资策略

发布时间：2019-03-06 13:41

【摘要】： Fama(1965)提出了著名的有效市场假说理论。因其具有直观的理论与实践意义,被国内外许多学者作了大量实证研究。这就为更加深入的认识股票市场以及更好的选择投资策略提供了理论和实证上的支持。现代金融理论认为股票市场是有效的,所以股票价格是不可预测的,投资者不可能利用某些相关信息和投资策略持续地在证券市场上获取超额利润(只能获得平均利润)。而随着证券市场中各种“异象”(根据有效市场假说若股票市场是有效的,就不会有超额收益产生,若有超额收益现象,就认为市场是非有效的,这种现象是异常的,称做“异象”)的出现,市场有效性受到质疑,经典金融理论中的“理性人假设”和“有效市场假设”的缺陷日益暴露。对这些异常现象最好的的解释得益于以个体行为、心理研究为中心内容的行为金融理论。文中利用我国相关样本股票和上证综指的收益率作了具体分析,运用定量分析方法证明我国证券市场存在“品牌效应”这一异象(即投资于拥有“中国驰名商标”品牌的股票将获得超额收益的现象)。文中从行为金融的角度出发,结合我国股票市场的具体特征对我国股票市场“品牌效应”形成原因进行了解释。文章得出的结论是我国的股票市场目前是非有效的,至少在某些股票领域内是非有效的,产生的原因是投资者的投资行为造成的。根据有效市场假,说若股票市场是有效的,就不会有超额收益产生,若有超额收益现象,就认为市场是非有效的,这种现象是异常的。相应的针对股票市场的非有效性问题,就可提出相应的股票投资策略,然而投资策略的运用仍没有统一的可靠的方法,本文根据实证结果提出相应投资策略以供投资者参考。
[Abstract]:Fama (1965) put forward the famous efficient market hypothesis theory. Because of its intuitive theoretical and practical significance, many scholars at home and abroad have done a lot of empirical research. This provides theoretical and empirical support for more in-depth understanding of the stock market and better choice of investment strategies. Modern financial theory holds that the stock market is effective, so the stock price is unpredictable. It is impossible for investors to make use of some relevant information and investment strategies to continuously obtain excess profits (only average profits) in the stock market. And with all kinds of "anomalies" in the stock market (according to the efficient Market hypothesis, if the stock market is efficient, there will be no excess returns, if there is an excess return phenomenon, the market is not efficient, and this phenomenon is abnormal. The market efficiency is questioned, and the defects of "rational man hypothesis" and "efficient market hypothesis" in classical financial theory are exposed day by day. The best explanation for these anomalies is the behavioral finance theory, which focuses on individual behavior and psychological research. In this paper, we make a detailed analysis of the return rate of China's relevant sample stocks and the Shanghai Composite Index. A quantitative analysis method is used to prove that the phenomenon of "brand effect" exists in China's securities market (that is, the phenomenon that investing in stocks with "well-known trademarks" in China will obtain excess returns). From the point of view of behavioral finance, this paper explains the reasons for the formation of "brand effect" in China's stock market according to the specific characteristics of China's stock market. The conclusion of this paper is that the stock market of our country is not effective at present, at least in some stock fields, which is caused by the investment behavior of investors. According to the hypothesis of efficient market, if the stock market is efficient, there will be no excess return, and if there is excess return, the market is not efficient, and this phenomenon is abnormal. In view of the inefficiency of stock market, the corresponding investment strategy can be put forward. However, there is still no uniform and reliable method for the use of investment strategy. According to the empirical results, this paper puts forward the corresponding investment strategy for investors' reference.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2009
【分类号】：F273.2;F832.51;F224

【相似文献】