“热手效应”和“赌徒谬误”决策偏差与股市极大日收益率异象——基于中国A股市场的经验证据

The Impact of ‘Hot Hand Effect'and ‘Gambler's Fallacy'Related Decision Making Biases on the Maximum Daily Anomaly——Evidence from Chinese Stock Market

针对近年来成熟资本市场普遍存在的极大日收益率异象,本文以中国A股上市公司为样本,实证检验了极大日收益率异象在新兴市场的存在性,并在行为金融框架内,基于"热手效应"和"赌徒谬误"理论,对该资产定价异象进行了解释。本文认为,投资者短期内的"热手效应"及随后的"赌徒谬误"决策偏差可解释极大日收益率异象,并且市场情绪和公司信息透明度分别通过改变"热手效应"和"赌徒谬误"决策偏差的程度及相对游程长度而影响极大日收益率异象。同理论假设一致,本文发现中国A股市场整体上存在极大日收益率异象并主要存在于低信息透明度公司中,且在市场情绪高涨期更明显。本研究对于稳定股市,提高投资者决策效率及公司市值管理水平均具有重要启示意义。

Motivated by the maximum daily return anomaly discovered in the developed stock markets,this paper investigates whether this anomaly exists in emerging stock markets and what drives this anomaly. We believe that investor＇s‘hot hand effect＇and‘gambler＇s fallacy＇related decision making biases can explain this kind of anomaly. Because corporate information transparency can affect the extent of these two decision making biases,and the investor sentiment can affect the relative persistence of these two kinds of biases,the magnitude of the maximum daily anomaly is affected by corporate information transparency and investor sentiment. Basing on the sample from Chinese Stock Market,we obtain enough evidence to support the above opinions. Our findings in this paper are helpful for investors to improve investment efficiency,for listed companies to improve market value ability,and for regulatory authorities to improve regulating efficiency.