中国股票市

发布时间：2018-01-07 07:32

本文关键词：中国股票市场“聪明投资者”行为研究　出处：《财经研究》2017年04期 　论文类型：期刊论文

【摘要】："聪明投资者"是根据投资绩效来界定投资者的一种新方法,在最新投资实践中有应用,但学术研究却十分缺乏。其意义在于,不同于"选股",这是一种"选人"的新投资思路,即找出"聪明投资者",并跟随其投资,便可以获取超额收益。文章首次提出了"聪明投资者"概念,并剖析了策略获得盈利的原因。研究发现,按历史投资绩效可以界定出"聪明投资者";"聪明投资者"既不同于理性投资者也不同于机构投资者,说明未来研究应重视这一分类;"聪明的个人"比"聪明的机构"绩效更好,偏好差异是造成这种差异的原因,"个人聪明投资者"的目标公司主要以资本运作方式来提高收益(因而超额收益更高),而"机构聪明投资者"的目标公司除了资本运作外更多地依靠自身经营来提高绩效。文章拓展了投资者行为研究的思路,揭示了"另类投资者"研究的重要性,且与国际上"聪明钱效应"的研究相衔接,未来资本市场与实体经济的相互影响也可从"聪明投资者"角度进行研究。文章的研究结果还可用于制订有效的投资策略。
[Abstract]:"Smart investor" is a new method to define the investor according to the investment performance, which has been applied in the latest investment practice, but the academic research is very lacking. The significance of this method is that it is different from "stock selection". This is a new investment idea of "selection", that is, to find out "smart investors" and follow their investments, we can get excess returns. This paper puts forward the concept of "smart investors" for the first time. The paper also analyzes the reasons why the strategy is profitable. The study finds that the "smart investor" can be defined according to the historical investment performance. "Smart investor" is different from both rational investor and institutional investor, which shows that future research should attach importance to this classification. "Smart individuals" perform better than "smart institutions", and preference differences are the cause of these differences. The target companies of "individual smart investors" are mainly capitalized to improve returns (and thus higher excess returns). In addition to capital operation, the target companies of "institutional smart investors" rely more on their own management to improve their performance. This paper expands the thinking of investor behavior research and reveals the importance of "alternative investors" research. And with the international study of "smart money effect". The future interaction between the capital market and the real economy can also be studied from the perspective of "smart investors". The results of this paper can also be used to formulate effective investment strategies.
【作者单位】：上海财经大学金融学院;
【基金】：国家自然科学基金项目“基于投资者非理性的财富掠夺及其监管研究”(71272009);国家自然科学基金项目“行为信号对市场化资源配置的影响及其监管研究”(71473157)
【分类号】：F832.51
【正文快照】： 一、引言投资者的传统划分方法一般以其身份属性分为机构投资者和个人投资者,并认为前者更加理性,而后者的理性程度较低。而学术研究和投资实务关注到这种划分有局限性,在投资行为、投资绩效、投资策略等研究中,这种划分并不一定能够区分投资能力。理论和实践中逐渐出现了“聪

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