本文選題：行為金融學(xué)　切入點(diǎn)：投資者情緒　出處：《重慶理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：大量的實(shí)證研究發(fā)現(xiàn)，傳統(tǒng)金融理論對(duì)于現(xiàn)代金融市場(chǎng)出現(xiàn)的很多異象難以起到合理的解釋。而建立在傳統(tǒng)金融學(xué)理論基礎(chǔ)之上的行為金融學(xué)，大膽借鑒認(rèn)知心理學(xué)的研究成果，認(rèn)為投資者不是完全理性的，投資者的情緒能對(duì)決策行為產(chǎn)生重大的影響。行為金融學(xué)重新把投資者的不完全理性引入到理論模型中，成功的對(duì)金融市場(chǎng)的異象進(jìn)行了合理的解釋。 本文在參考相關(guān)文獻(xiàn)的基礎(chǔ)上，以行為金融學(xué)理論作為投資者情緒的理論基礎(chǔ)，從金融市場(chǎng)尋找投資者情緒存在的證據(jù)，并選取封閉式基金折價(jià)率、市場(chǎng)換手率、IP0首日回報(bào)率、IPO數(shù)目、IPO首日募集資金、消費(fèi)者信心指數(shù)等6個(gè)隱性情緒指標(biāo),剔除宏觀經(jīng)濟(jì)影響的因素后，采用主成分分析法構(gòu)建成一個(gè)反映中小板市場(chǎng)的綜合投資者情緒指數(shù)。 在實(shí)證分析中，首先利用Fama和French三因素模型的基礎(chǔ)上引入構(gòu)造的中小板市場(chǎng)的綜合投資者情緒指標(biāo)，研究了投資者情緒對(duì)市場(chǎng)收益的影響程度，發(fā)現(xiàn)投資者情緒是影響市場(chǎng)整體收益除風(fēng)險(xiǎn)外的具有顯著獨(dú)立影響的因子。并利用回歸模型，，驗(yàn)證投資者情緒對(duì)于不同市值規(guī)模公司的股票收益的影響，結(jié)論表明在市場(chǎng)存在投資者情緒的影響下，中小板上市公司的股票收益與公司的市值規(guī)模是正向波動(dòng)的，市值規(guī)模越大，股票收益也就越高，說(shuō)明在中小板市場(chǎng)上不存在明顯的規(guī)模效應(yīng)。
[Abstract]:A large number of empirical studies have found that the traditional financial theory is difficult to provide a reasonable explanation for many anomalies in modern financial markets. Using the research results of cognitive psychology for reference, the author thinks that investors are not completely rational, and that investors' emotions can have a significant impact on decision-making behavior. Behavioral finance reintroduces investors' imperfect rationality into the theoretical model. The vision of the financial market was successfully explained reasonably. In this paper, based on the reference of relevant literature, the behavioral finance theory is used as the theoretical basis of investor sentiment, the evidence of investor sentiment is found from the financial market, and the discount rate of closed-end funds is selected. Market turnover rate and IP0 rate of return on the first day of IP0 the number of IPOs, the number of IPOs on the first day of IPOs, the index of consumer confidence and other hidden emotional indicators, and so on, after taking into account macroeconomic factors, The principal component analysis method is used to construct a comprehensive investor sentiment index which reflects the small and medium scale board market. In the empirical analysis, based on the Fama and French three-factor model, this paper introduces the comprehensive investor sentiment index of the small and medium-sized board market, and studies the influence of investor sentiment on the market returns. It is found that investor sentiment is a significant independent factor that affects the overall market returns except risks. The regression model is used to verify the influence of investor sentiment on the stock returns of companies with different sizes of market value. The conclusion shows that under the influence of investor sentiment in the market, the stock returns of the small and medium-sized board listed companies and the size of market value are positively fluctuated, and the larger the size of market value, the higher the stock returns. It shows that there is no obvious scale effect in the small and medium board market.
【學(xué)位授予單位】：重慶理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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本文編號(hào)：1631408