摘要
在回顾相关文献的基础上，选取了相应的实证检验方法，并针对乘积法计算累积收益率提出了简化算法。采用沪市2002～07～2005—09的月收益数据，着重对上证180指数股票进行了赢者输者效应检验，从而排除规模因素的影响，得出与沪市A股市场基本一致的结论：上证180指数股票普遍反应不足，仍有升值潜力。对投资者而言，采用相应的惯性投资策略，具有很好的投资价值。
This paper reviews the corresponding empirical tests, and simplifies the calculation of cumulative excess returns. It also investigates whether there is a similar anomaly among Shangzheng 180-index companies, using the data of A shares from July 2002 to September 2005 in Shanghai Securities Exchanges. Consistent with the test in Shanghai A shares, it concludes that Shangzheng 180-index companies are mostly under-reacted and of rising potential. The investment strategies froming these tests, particularly those momentum strategies, have some practical significance for investors.
出处
《系统管理学报》
北大核心
2007年第6期612-617,共6页
Journal of Systems & Management
基金
教育部社会科学基金资助项目(05JA63005)
教育部新世纪优秀人才支持计划资助项目(2005)
关键词
行为金融
反应过度
反应不足
behavioral finanee
over-reaction
under-reaction
