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1、基于行为金融学的证券投资策略研究摘要中国证券市场经历了近二十年的发展已经初具规模，中小投资者、机构投资者和证券中介机构数量迅速增加，股票交易量和股市总市值也屡创新高，在 2007年总市值甚至超过了前一年的国内生产总值，即使在经济危机背景下，在 2008年 3季度，总市值仍然达到了国内生产总值的 73%。但是，目前我国证券市场还存在许多问题。主要表现为中小投资者数量较大，但是整体投资理念和投资心理尚未形成比较成熟的风格；机构投资者的发展还不充分，其投资研究和投资策略还有待于新的补充和发展；投资者的非理性行为导致股市异常现象显著存在。因此从投资者的有限理性出发，分析其行为偏差，进而提出投资策略建议
2、，对改善投资者行为和提高股市效率是十分有帮助的。本文分别以沪深股市 A股、沪深 300指数成分股、上证 180指数成分股等为研究对象，运用相关经济学理论、行为金融学理论、对比分析、实证分析方法，对投资者有限理性，股市异常和投资策略进行了较为深入的研究。首先，本文基于行为金融学的理论框架，在心理学、行为学研究成果基础上，通过考虑投资者的有限理性，分析了投资者分析信息过程中的认知偏差和行为偏差、面对风险时的心理偏差和投资行为中的行为偏差，并概括了投资与决策的模式偏差。其次，论文结合投资者的认知偏差和行为偏差，分析了投资者个体和群体在交易过程中的非理性行为，进而解释了国内股市的基本面异常、技术异常、
3、时间异常和信息异常等现象。再次，论文对投资者行为偏差进行纠正，并针对我国证券市场特点和目前经济环境，对中小投资者和机构投资者分别提出策略建议。论文重点在于总结以行为金融理论为指导的投资策略，并针对投资者群体的行为偏差和国内股市异常，提出了动量交易策略和反向投资策略。在实证部分，运用历史分析法和事件分析法，比较了采用动量交易策略和反向投资策略投资于样本股票收益情况，证明了两种投资策略在国内股市不同时期的适用性和对于时间异常、信息异常的适用性。关键词：行为金融行为偏差股市异常动量交易策略反向投资策略I河北经贸大学硕士学位论文AbstractChinas securities market has
4、taken shape since two decades ago, the number of smalland medium-sized investors, institutional investors and securities intermediaries increasedrapidly, the stock trading volume and the total value of the stock market are also reaching newheights. In 2007, the total market value even outstripped th
5、e GDP. Even in the financial crisis,the total maket value came up to the GDPs 73% in the third-quarter of 2008. However, thereare still many problems in Chinas securities market at present. For example, most of small andmedium-sized investors have not formed a more mature investment psychology andin
6、vestment style yet. The development of institutional investors is not adequate, also, theirinvestment research and investment strategy need to be renewed. The abnormities of stockmarket resulted from the investors limited rational behavior exist significantly. Therefore,starting from the behavior of
7、 investors, analyzing their behavior deviation, and putting forwardinvestment strategy are very helpful to improve investors behavior and efficiency of the stockmarket.This paper takes A-shares in Shanghai and Shenzhen stock markets, samples shares of theHushen 300 Index and the SSE 180 Index as the
8、 research objects, employing related theoriesof economics, behavioral finance, comparative and empirical analysis to deeply study theinvestors behavioral deviation, abnormities of the stock market and the investment strategy.Firstly, on the basis of behavioral finance, the thesis quotes the achievem
9、ent of thepsychology and behavioral science, analyzes the investors behavioral deviation and cognitivedeviation when they are analyzing the information, running the risk of losing money orreducing earnings, and investing process. Then it summarizes the pattern of investment anddecision-making bias.S
10、econdly, based on the behavioral deviation and cognitive deviation, the thesis analyzesthe investors individual and groups irrational behavior in the transaction process, thenexplains the fundamental abnormities, technical abnormities, calendar abnormities,information abnormities and other abnormiti
11、es.II基于行为金融学的证券投资策略研究Thirdly, the thesis corrects investors investment deviation. And it puts forward somestrategies for the small and medium-sized investors and institutional investors respectively.The thesis emphasis on summarizing two kinds of investment strategies guided bybehavioral finance the
12、ory. And according to the existing prominent problems of the investorsgroups behavior deviation and abnormities of Hushen stock market, it establishes momentumtrading strategy and contrarian investment strategy.In the empirical analysis parts, using the methods of the historical analysis, the thesis
13、does emirical study taking the earnings of sample shares which was invested by using themomentum trading strategy, and the earnings of sample shares which are invested by usingthis two investment strategies as cases, gets the conclusion that the behavioral investmentstrategies are rational strategie
14、s in the domestic stock market. And they are the same with thecalendar abnormities and information abnormities.Keywords: behavioral finance; behavioral deviation; abnormity of the stockmarket ; momentum trading strategy; contrarian investment strategyIII学位论文独创性声明本人声明，所呈交的学位论文系在导师指导下本人独立完成的研究成果。文中依法引用他人的成果，均已做出明确标注或得到许可。论文内容未包含法律意义上已属于他人的任何形式的研究成果，也不包含本人已用于其他学位申请的论文或成果。本人如违反上述声明，愿意承担以下责任和后果：1.交回学校授予的学位证书；2.学校可在相关媒体上对作者本人的行为进行通报；3.本人按照学校规定的方式，对因不当取得学位给学校造成的名誉损害，进行公开道歉；4.本人负责因论文成果不实产生的法律纠纷。论文作者签名：日期：年月日学位论文知识产权权属声明本人在导师指导下所完成的论文及相关的职务作品，知识产权归属
