基于投资者过度自信的A-B股溢价研究

Analysis of the A-B share Premium Based on Overconfidence

主要利用投资者过度自信心理研究A-B股溢价问题。首先,建立了基于投资者过度自信的A-B股溢价模型,模型分析表明:A-B股溢价与国内有信息投资者(收到利好信息)过度自信程度正相关;然后,通过构造度量投资者过度自信程度的指标,实证检验了国内有信息投资者(收到利好信息)的过度自信程度与A-B股溢价之间存在显著的正相关关系。理论和实证研究都表明,利用投资者的过度自信心理能够部分解释A-B股溢价现象。

We examine the effect of investors＇ overconfidence on A-B share premium.Firstly,we develop an A-B share premium model based on investors＇ overconfidence,and find that the relationship between A-B share premium and the degree of overconfidence（positive information） is positive.Secondly,we construct an index to measure investors＇ overconfidence and verify that the degree of overconfidence（positive information） has a significantly positive relationship with the A-B share premium.Therefore A-B share premium can be partly explained based on the investors＇ overconfidence by the theoretical analysis and empirical tests.