基于前景理论的股票反转交易策略及其有效性检验

商业研究

基于前景理论的股票反转交易策略及其有效性检验

陈智颖1，陈苗臻2，许林2

（华南理工大学 1.经济与贸易学院；2.工商管理学院，广州 510640）

收稿日期:2019-06-24 出版日期:2019-12-24
作者简介:陈智颖（1986-），男，广东云浮人，华南理工大学经济与贸易学院博士研究生，研究方向：行为金融与宏观经济；陈苗臻（1995-），女，广东汕头人，华南理工大学工商管理学院硕士研究生，研究方向：证券市场与公司金融；许林（1984-），本文通讯作者，男，江西上饶人，华南理工大学工商管理学院副教授，研究方向：基金投资与分形市场。
基金资助:
教育部人文社科青年基金项目，项目编号：19YJC790163；广东省自然科学基金项目，项目编号：2018A030310370。

Stock Reverse Trading Strategy and Its Effectiveness Test based on Prospect Theory

CHEN Zhi-ying1, CHEN Miao-zhen2, XU Lin2

(1. School of Economics and Commerce,South China University of Technology, Guangzhou 510640,China; 2. School of Business Administration, South China University of Technology,Guangzhou 510640,China)

Received:2019-06-24 Online:2019-12-24

摘要/Abstract

摘要： ：针对股票投资“动量策略”在中国股市应用中因投资者非理性而存在的局限性，基于行为金融学的前景理论构建一种新的“锚定-处置”股票反转交易策略，通过刻画锚定效应与处置效应对投资者的决策影响，实证结果表明，该策略在短期、中期、长期均可以获得显著的正收益，证实了中国股市反转效应普遍存在性；该策略相比传统的动量交易策略具有更高的收益，且在扣除交易成本后的收益率仍高于市场收益率。

关键词: 关键词：反转交易策略, 前景理论, 锚定效应, 处置效应, 有效性

Abstract: Aiming at the limitation of stock investment “momentum strategy” in the application of China′s stock market due to the irrationality of investors, a new “anchoring disposal” stock reverse trading strategy is constructed based on the prospect theory of behavioral finance.The empirical results show that the strategy can achieve significant positive returns in the short term, medium term and long term, which confirms the universal existence of the reversal effect of China′s stock market; the strategy has higher returns than the traditional momentum trading strategy, and the return after deducting the transaction costs is still higher than the market return.

Key words: reversal trading strategy, prospect theory, anchoring effect, disposition effect, effectiveness

陈智颖1，陈苗臻2，许林2. 基于前景理论的股票反转交易策略及其有效性检验 [J]. 商业研究.

CHEN Zhi-ying1, CHEN Miao-zhen2, XU Lin2. Stock Reverse Trading Strategy and Its Effectiveness Test based on Prospect Theory [J]. 商业研究.

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