证券投资基金羊群行为与股票市场过度反应

Mutual Fund Herding and Stock Market Overreaction

本文将账面市值比分解为公司基本面信息和投资者对公司发展前景的主观预期信息,以1994-2008年间在沪深两地上市的A股公司为样本,首先采用Fama and Macbeth(1973)方法检验市场对什么信息过度反应,接着利用羊群行为指标考察证券投资基金对该信息的反应。结果表明,市场对公司基本面无明显反应,但对公司发展前景的主观预期过度反应;当市场对公司发展前景乐观(悲观)时,基金在股票上表现出买方(卖方)羊群行为,基金羊群行为加重市场过度反应。

After decomposing the book-to-market ratio into corporate fundamentals and investor＇s expectation of firm growth opportunity components, with a sample of listed companies in China＇ s A-share market from 1994 to 2008, this paper empirically tests which component the stock market overreacts to by Fama-Macbeth regression. Then we further investigate mutual fund＇ s reaction to it with a herding measure. The results show in Cfiina stock market, investors don＇ t react to corporate fundamentals but overreact to expectation of firm growth option, leading to the stock retum reversal and book-to-market effects. Mutual Funds buy （sell） shares in herd in response to positive （negative） growth opportunity information to exacerbate stock market overreaction.