过度反应视角下的股市反转效应与个体风险偏好

Risk preference and reversal from the perspective of overreaction

针对中国股票市场的反转异象,构建了多期投资模型以刻画市场反转效应的生成过程――投资者对极端信息反应过度并低估市场噪音,导致股票市场出现反转效应.实证研究显示极端信息与未来股票横截面收益负相关,而低频交易组中的相关性显著降低,表明过度反应会因交易量下降而减弱.进一步研究了不同状态下的投资者风险偏好,发现损失状态下过度反应的投资者为风险规避,非过度反应的投资者为风险追寻.而无论反应是否过度,投资者在盈利状态下均为风险中性.

In terms of reversal anomalies in Chinese stock market,this paper constructs a multi-period investment model to describe the generation process of reversal.Reversal will show up if investors overreact towards extreme signals too much and undervalue noise.The empirical results show that extreme signals have a negative relationship with cross-section returns,and the relationship weakens significantly in low-frequency trading groups.That means overreaction will be weaker as a result of decreases in volume.Further more,this paper explores investors’risk attitudes in different conditions.Empirical tests show that investors who overreact tend to be risk averse and investors who do not overreact tend to be risk seeking after losses.However,despite of overreaction,investors show a neutral risk attitude after gains.