投资者情绪和股票市场异常定价因子

发布时间：2018-01-02 13:12

本文关键词：投资者情绪和股票市场异常定价因子　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文基于中国沪深股票交易市场数据,选用了7个反映股票价格偏离的异常因子,考察了市场情绪对股价偏离的作用。本文的两大理论基础是市场范围的情绪存在,以及卖空障碍导致错误定价的主要形式是过高定价。实证检验中,多空投资组合策略的利润验证了我们基于两大理论给出的三个假设。第一,异常因子代表的价格错误在高情绪月会比在低情绪月偏离合理价格更多。第二,空头策略的利润在高情绪月份里比低情绪月份里要高。第三,多头策略的利润在高情绪月和低情绪越没有显著差异。
[Abstract]:Based on the data of Shanghai and Shenzhen stock market in China, this paper selects seven abnormal factors which reflect the deviation of stock price. This paper examines the effect of market sentiment on stock price deviation. The two theoretical bases of this paper are the existence of market sentiment, and the main form of false pricing caused by short selling obstacles is overpricing. The profit of the long portfolio strategy verifies the three hypotheses that we give based on two theories. First, the abnormal factors represent more price errors in the high mood month than in the low emotion month. Second, the abnormal factor represents more deviation from the reasonable price in the high mood month than in the low emotion month. The profit of short strategy is higher in the month of high emotion than in the month of low emotion. Third, the profit of long strategy has no significant difference between the month of high emotion and the month of low emotion.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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