价值利润、时变风险与投资者反应过度研究

Research on value of profits,time-varying risks and overreaction of investors

实证上持有价值股、卖空热门股形成的价值策略存在超额利润得到普遍证实,理论上围绕超额收益是由风险因素引致还是源于投资者的认知偏差存在诸多争议。本文对1996～2009年中国股票市场数据采用行为金融自下而上的实证分析表明,价值策略在我国的确能获得高额收益,但在策略利润的来源上,既有可能是由时变风险因素导致,又有可能是投资者对公司基本信息的错误解读所导致。

A large number of empirical studies show that the distribution of stock return is not totally depending on systematic risk,but a certain degree of predictability exits.In the long-term,investors could get significant positive returns by holding value stocks and selling short glamour stocks.As to the financial anomalies going against with the traditional theories,researchers gave different explanations.The greatest issue is whether there is an even greater unavoidable systemic risk behind the superior return or not.This paper makes an empirical research on security market in China regarding value strategies from 1996 to 2009 .The result demonstrates that,in the market of china,the positive returns of value strategies are existed significantly partly because of the time-vary risk factor.By researching all the samples’ earnings announcements returns in the observation period,we get to know that investors in China are overreaction towards the fundamental of information.The earnings surprises caused by the belief bias of investors’ incorrect expectation about the listed firms’ dividend growth could partly explain the size-adjusted superior return.