| 中国股市账面市值比效应成因分析:基于行为金融视角 |
| |
| 引用本文： | 王磊,刘亚清.中国股市账面市值比效应成因分析:基于行为金融视角[J].管理评论,2011(10). |
| |
| 作者姓名： | 王磊 刘亚清 |
| |
| 作者单位： | 上海对外贸易学院金融管理学院;清华大学经济管理学院; |
| |
| 基金项目： | 国家自然科学基金项目(70012052); 教育部青年基金项目(09YJC630072); 上海市教委重点学科金融学建设项目(J512-01) |
| |
| 摘 要： | 本文将账面市值比分解为反映公司基本面的有形收益和反映投资者主观预期的无形收益,以1994-2008年间在沪深两市交易的A股公司为研究样本,实证考察投资者对账面市值比中不同元素的反应,结果显示,投资者对公司发展前景的主观预期过分乐观或者悲观引发市场过度反应,随着市场回归理性,股票收益发生反转导致账面市值比效应。
|
| 关 键 词： | 投资者预期 行为金融 市场过度反应 账面市值比效应 |
Causes Analysis of the Book-to-Market Effect in China's Stock Market:From the Perspective of Behavioral Finance |
| |
| Wang Lei , Liu Yaqing.Causes Analysis of the Book-to-Market Effect in China's Stock Market:From the Perspective of Behavioral Finance[J].Management Review,2011(10). |
| |
| Authors: | Wang Lei Liu Yaqing |
| |
| Affiliation: | Wang Lei1 and Liu Yaqing2(1.Finance School,Shanghai Institute of Foreign Trade,Shanghai 201620,2.School of Economics and Management,Tsinghua University,Beijing 100084) |
| |
| Abstract: | This paper firstly decomposes the book-to-market ratio(BM) into corporate fundamentals and investor's expectation of firm growth opportunity and then empirically investigates market reaction to such two components with a sample of listed companies in China's A-share market from 1994 to 2008.We find that in China stock market,investors only overreact to expectation of firm growth option.When market overreaction is corrected by investors' rationality,stock price experiences long-term reversal,leading to the b... |
| |
| Keywords: | investor expectation behavioral finance market overreaction book-to-market effect |
| 本文献已被 CNKI 等数据库收录！ |
