证券市场异常现象及其理论解释

A Study on the Theoretical Explanations of Security Market Anomalies

证券市场异常现象 ,是指风险调整后证券收益率超过预期收益率的现象。有效市场假说支持者认为 ,证券市场异常现象由风险因素引起 ,是证券价格变化的偶然偏离。行为金融理论研究者放松了有效市场假说理性人的假定 ,从投资者心理活动入手 ,研究投资决策行为 ,有效地解释了证券市场异常现象。本文梳理。

Security market anomalies refer to the particular phenomenon in which the risk-adjusted returns to securities in mind exceed the expected values. Researchers in support of the EMH (Efficient Market Hypothesis) propose that the risk factors cause the security market anomalies, regarding them as the incidental deviations from the security price changes in nature. However, the advocators the Behavioral Finance Theory adopt somewhat psychological methods on investor behavior research on the basis of the relaxation of the EMH rationality hypothesis, and derive some weighty but conflicting explanations to those of the EMH. In this paper, the authors reflect and present in depth comments on the explanations of security market anomalies from both sides.