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机构投资者与股票收益时间可预测性
时间:2011-02-21 浏览次数:1317次 无忧论文网
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国民经济学
资本市场资本市场
    近年来,许多学者发现机构投资者倾向于采取买进过去赢家并卖出过去输家的动量策略,此外,也有不少文献指出西方发达股票市场存在显著的短期反转和中期动量的市场异象。基于上述两种实证结果,本文尝试以中国股市的动量效应和反转效应为研究切入点,探讨股市的动量效应及反转效应是否与机构投资者的交易行为有关,并考察机构投资者与个人投资者的信息反应模式及其对股票收益的时间可预测性的影响,从而为投资者提供一个投资策略的参考。
    本文以2000年7月至2007年12月为研究窗口,以在沪深证券交易所上市A股公司为研究样本,采取投资组合分析、时变分析和自序相关回归分析进行实证检验。研究结果表明:在短期内,机构投资者对信息的反应相对理性,而个体投资者更为强烈的反应过度将整个市场推向过度反应的非理性状态;在中长期内,个人投资者逐渐走向理性,而机构投资者由于对新信息存在一个反馈调整的渐近过程,在其主导下,市场整体表现出反应不足。这一研究发现部分支持了机构投资者的参与有助于信息传递和市场稳定的观点。
    本研究认为采取不同的投资策略可以获得较好的投资收益,在短期采用反转策略,其年化超额收益率(即扣减大盘收益率)稳定在10%以上,甚至超过了20%。而在长期采用动量策略,其年化超额收益率虽然较低,但也显著为正,并维持在5%左右。 [英文摘要]:     
    Recently, many scholars have found that institutional investors tend to follow positive feedback trading strategies, i.e., to buy previous winners and sell previous losers. In additions, the remarkable phenomena of short-term reversal and mid-term momentum in the western developed countries are also documented in the literature. Based on the above empirical results, this paper attempts to investigate the relationship between the behavior of institutional investors and the momentum /reversal trends of the stock market, and to contrast the momentum/reversal trends of the stock market in China. Furthermore, we also test the relationship between the investors’ heterogeneity and return time-series predictability from momentum effect and contrarian effect in order to provide the investment strategies to the investors.
    Based on a panel data of Chinese listed firms during 2000-2007, this paper adopts the Investment portfolio analysis, the time-varying analysis and the Autocorrelation analysis. The results show that in the short term, the information feedback of institution investors is rational and the great overreaction of individual investors push the whole market into the irrational condition. But in the long term, individual investors tend towards rational, and institution investors underreact the new information which induces the whole market to underreact. This studies partially sustain that the institutional investors can impress the information and level off the stock market.
       This paper finds that choosing different investment strategies can obtain high yield. In the short term, when choosing negative feedback trading strategy, we can obtain above 10% returns in excess of market average return. In the long term, when choosing positive feedback strategy, we can obtain about 5% returns in excess of market average return.    
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