动量效应的行为金融学解释

陈蓉, 陈焕华, 郑振龙

系统工程理论与实践 ›› 2014, Vol. 34 ›› Issue (3) : 613-622.

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系统工程理论与实践 ›› 2014, Vol. 34 ›› Issue (3) : 613-622. DOI: 10.12011/1000-6788(2014)3-613
研究论文

动量效应的行为金融学解释

    陈蓉, 陈焕华, 郑振龙
作者信息 +

Behavioral finance interpretation of momentum effect

    CHEN Rong, CHEN Huan-hua, ZHENG Zhen-long
Author information +
文章历史 +

摘要

动量效应为何长期广泛存在,是传统金融理论和行为金融理论争论的焦点.本文针对中国股市的特性,基于行为金融理论下的锚定 偏误与处置效应构建了两种“相对股价动量”组合,并研究了这些“股价动量”与传统动量的关系.结果表明:控制传统动量 效应和系统性风险之后,股价动量组合的收益仍然显著为正;在控制了股价动量效应后,传统的动量效应不再明显;在考虑交易成 本之后,动量收益不显著.这说明,“锚定偏误”和“处置效应”是导致我国股市动量效应的重要原因,交易成本则阻碍了套利行为的进行.

Abstract

It is one debating point between traditional and behavioral financial theories why momentum effect persists in most financial markets. In view of Chinese stock markets' features, this paper constructs "relative price" momentum portfolios based on "Anchoring Bias" and "Disposition Effect" in behavioral financial theories, and explores the relationship among these new momentums and classical momentums. The results show after controlling the classical momentum effect and systematic risk factors, the relative price momentum effect still exists. However, after controlling the relative price momentum effect, the classical momentum effect disappears. If considering transaction costs, investors could not benefit from the momentum strategies. These findings indicate that "Anchoring Bias" and "Disposition Effect" are important reasons of momentum effect in Chinese stock markets' features, and high transaction costs hinder the arbitrary.

关键词

动量效应 / 行为金融 / 前景理论 / 锚定偏误 / 处置效应 / 相对股价动量

Key words

momentum effect / behavioral finance / perspective theory / anchoring bias / disposition effect / relative price momentum

引用本文

导出引用
陈蓉 , 陈焕华 , 郑振龙. 动量效应的行为金融学解释. 系统工程理论与实践, 2014, 34(3): 613-622 https://doi.org/10.12011/1000-6788(2014)3-613
CHEN Rong , CHEN Huan-hua , ZHENG Zhen-long. Behavioral finance interpretation of momentum effect. Systems Engineering - Theory & Practice, 2014, 34(3): 613-622 https://doi.org/10.12011/1000-6788(2014)3-613
中图分类号: F830.91   

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基金

国家自然科学基金青年项目(71101121);福建省新世纪人才支持课题;国家自然科学基金面上项目(71073023,71371161);国家自然科学基金地区项目(71261024)
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