基于行為金融理論的投資策略實(shí)證研究.pdf

1、i’172219梗里大學(xué)碩士學(xué)位論文基于行為金融理論的投資策略實(shí)證研究院系：經(jīng)濟(jì)學(xué)院專業(yè)：姓名：指導(dǎo)教師：完成日期：國民經(jīng)濟(jì)學(xué)劉偉亭杭行副教授2005年5月學(xué)校代碼：學(xué)號：10246022015109AbstractAlthoughChinastockmarkethasuniquecharactersinatransitioneconomy，Investorsindifferentstockmarketpossessthesameirr

2、ationalcognitivebiases，DefinitelyChinainvestorsmaybepresentmoreirrationalbehaviorthanoverseainvestorunderChinathespecialschemeThenwhetherornotinveststrategybasedonbehavioralfinancearesuccessinChinamarketaswellasmaturesto

3、ckmarketItisapuzzlethatwillbetestedandanalyzedinthepaperIntheviewofbehavioralfinance，thepaperclassifiedallforegoneresearchfindings，developedaappropriateeconnmetricalmodel，andtestedthevalidityofcontrariantinvestmentstrate

4、gyandmomentumtradingstrategyinChinastockmarketAsaresult，wehadthefollowingfindings：first，theseinveststrategyCallgetabnormalreturnsinChinastockmarket，buttherearesomedifferenceindomesticmarketandoffshorematuremarketcontrari

5、antinvestmentstrategyalwaysmakesuccesswhetherinshorttermormidlongrun，andit’Sabnormalreturngoeswithtesting—termupwardhowevermomentumtradingstrategybasedonpastreturnisnotluckyascontrariantinvestmentstrategyitisSuccessinver

6、yshorttermbutnotinmid—longtermsecond，tradingvolumeisaindicatorofinformation，WinnerportfolmwiththepastlowtradingvolumeCangainhigherabnormalreturnthanthoseportfoliowithhi曲tradingvolume，butitisnotthecaseforLoserportfolioint