投资者过度自信与股票收益率的关系研究

摘要传统的金融理论以有效市场假说为基础，认为市场中的投资者都是完全理性人，这种理论在现实市场中遭到了质疑。尤其是，有效市场假说不能合理的解释各种金融异象。在对传统金融理论的质疑和挑战中，行为金融理论开始产生并发展起来。行为金融学放松了传统金融学中的两个基本假设，即市场有效性和投资者完全理性，并试图从“人”的角度来解释市场行为，认为投资者的投资决策与行为会受到情绪因素的影响。82290

本文选取过度自信作为情绪的代表，利用回归分析法，实证研究投资者过度自信与股票收益率之间的关系。首先建立了基于过度自信的资产均衡价格模型，从理论上研究了过度自信与股票收益率之间的关系；然后构建了度量投资者过度自信程度的指标，实证表明了投资者的过度自信是股票收益率的影响因素，进一步表明了投资者过度自信程度对收益率的影响不仅与公司的特征有关也与整体市场情绪有关。通过本文的研究有助于规范国内市场的监管，引导投资者理性交易，保障股票市场的健康发展。

毕业论文关键词：过度自信，行为金融，股票收益率，不完全理性

Investor overconfidence and Stock returns

Abstract

The traditional financial theory is based on the efficient market hypothesis, and the investors are completely rational people in the market。 But the market was in reality in question。 Especially, efficient market hypothesis can not explain all kinds of financial vision。Behavioral finance theory of traditional financial theory is the questioning and challenge appear in the process of the development and up。 Behavioral finance relaxes rational person and market efficiency which are the two assumptions of modern finance theory。It explain the market behavior from the point of view 'human", give full consideration to the impact of investor from the point of view investor sentiment in the stock market。

This paper takes overconfidence as the representative of sentiment, and uses regression analysis to empirically study the relationship between overconfidence and stock returns。 First of all, this paper establishes an asset equilibrium price model which is based on overconfidence, and theoretically studies the relationship between overconfidence and stock returns。 Then, this paper constructs an index to measure investor overconfidence。 And the empirical results show that overconfidence is an important factor in stock returns, further shows that the extent of investor overconfidence is not only related to the characteristics of the company, but also to the overall market sentiment。 Through the research of this paper, it will help regulate the supervision of the domestic market, guide the rational trading of investors, and ensure the healthy development of the stock market。

Key words: Overconfidence, behavioral finance, stock returns, incomplete rationality

摘要 II

Abstract III

第一章绪论 1

1。1 研究背景及意义 1

1。2 研究的目的 2

1。3 研究的方法 2

1。4 研究的内容和框架 2

1。5 论文的创新点 3

第二章行为金融理论基础 4

2。1 行为金融理论 4

2。1。1 行为金融的产生 4

投资者过度自信与股票收益率的关系研究:http://www.youerw.com/shuxue/lunwen_96508.html