基于排行榜的巧合投资策略研究

发布时间：2018-02-25 07:19

本文关键词： 有限理性启发法注意力配置排行榜效应巧合交易　出处：《南京大学》2013年硕士论文　论文类型：学位论文

【摘要】：Kahneman (1973)提出了有限注意理论,投资者对一件事物注意力的增加势必会减少对另一件事物的注意力。近些年来越来越多的金融学家开始对这方面进行了研究,而且涨幅排行榜是一种低成本的信息资源,这无疑会获得投资者的青睐。现在,各大期刊杂志、网络上的经济板块每天都会更新热门股票涨幅排行榜。被推荐的热门股票很容易进入股民们的视野,同样它们吸引到的关注度也越来越高,因此产生了排行榜效应。排行榜效应是众多投资者共同作用的结果。这是因为投资者更倾向于购买那些可以引起他们关注的股票。本文通过对有限注意和排行榜的相关研究发现当涨幅排行榜公布以后,排行榜中的前十只股票会比排行榜外的十只股票得到投资者更多的关注,并且通过2005年1月1日至2012年12月31日的相关数据研究发现的确存在这样的排行榜效应。最后,论文还将排行榜中大于2只以上的股票归属于同一概念股板块这一事件作为巧合因素,同时这也被投资者利用作为投资策略进而赢得市场。本文的研究结果是：在有限注意的情况下,排行榜会吸引投资者的关注,产生了排行榜效应。同时当所选取的巧合因子K=4时,夏普比率最大,波动率较低,投资收益率赢得市场,投资组合是最优的。同时还发现在熊市的时候,投资者会抱团取暖,排行榜巧合效应能够赢得市场,但是在牛市的时候,人们的投资相对比较分散,巧合投资策略会输给市场。
[Abstract]:Kahneman proposed the theory of limited attention, in which an increase in investor attention to one thing is bound to reduce attention to another. In recent years, more and more financiers have begun to study this area. And the rise list is a low-cost information resource, which will undoubtedly win the favor of investors. Now, major journals, The economic sector on the Internet updates the list of popular stocks every day. Recommended hot stocks are easily visible to investors, and they are attracting more and more attention. So there is the ranking effect. The ranking effect is the result of a lot of investors working together. This is because investors are more likely to buy stocks that attract their attention. Based on a study of limited attention and rankings, this paper finds that the top 10 stocks in the top 10 stocks will get more attention from investors than the 10 stocks out of the list after the increase in the list is announced. And through the relevant data from January 1st 2005 to December 31st 2012, it is found that there is such a ranking effect. Finally, The event that more than two stocks in the rankings belong to the same concept sector is also cited as a coincidental factor, which is also used by investors as an investment strategy to win the market. The results of this study are as follows: in the case of limited attention, the chart will attract investors' attention and produce a ranking effect. At the same time, when the coincidental factor K = 4:00, Sharp's ratio is the largest and the volatility is low. The return on investment wins the market, and the portfolio is optimal. It is also found that in a bear market, investors get together and coincidences can win the market, but in a bull market, people's investments are relatively scattered. Coincidentally, investment strategies lose out to the market.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.59;F224;F830.91

【参考文献】