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论文编号：	346
作者编号：	032906
上传时间：	2008/1/4 14:53:26
中文题目：	股票收益的惯性与反转现象研究
英文题目：	The Study on Momentum and Reve
指导老师：	刘志远
中文关键字：	惯性 反转 成交量 建仓 机构
英文关键字：	Momentum Reversal Volume
中文摘要：	大量实证研究发现的股票收益“惯性现象”与“反转现象”，已经成为财务、金融领域的最重要 “异常现象”之一。为了解释这些现象，行为金融学学者提出了一些有影响的理论模型，这些模型的共同点是都假设投资者存在心理偏差，即投资者不是完全理性的。本文的研究用机构投资者理性的狭义的建仓行为解释惯性与反转现象，探讨了建仓的原因、动机，并且指出建仓行为对股票价格、成交量的影响，建仓行为使得有关股票套利的私有信息逐步扩散，建仓过程（即私有信息的扩散过程）使得股票价格发生“惯性现象”与“反转现象”。 论文共分七章，各章的主要内容和结论如下： 第一章提出了研究问题——如何解释惯性与反转现象，并阐述了论文逻辑思路和研究意义、创新点，并界定了建仓、私有信息等重要概念。 第二章对相关文献进行了梳理和评价：在1970年以前，股票技术分析常用的惯性、反转策略日益受到随机游走学派的批判，这一批判到1970年Fama 提出有效市场理论时达到顶峰；但在1970年以后，越来越多的实证研究支持惯性与反转效应的存在；然后本章对传统金融学和行为金融学对惯性、反转现象解释进行了评述；最后本章总结了目前与广义建仓和狭义建仓相关的研究。 第三章依次探讨了如下问题：（1）（狭义）建仓行为的理论学术框架，即建仓的前提是机构投资者需要建立巨大头寸，建仓主观原因在于股票套利风险巨大，建仓客观原因在于股市特殊结构带来的流动性（成交量）风险。（2）考察了成交量变化、机构投资者建仓、惯性与反转现象之间的关系：机构投资者存在建仓行为的重要动机之一就是克服股票成交量变化带来的流动性问题，而建仓行为本身又导致了股票价格和成交量的惯性与反转现象。（3）从证券设计的角度看，“惯性现象”与“反转现象”有其理论上的合理性，因为股票上市的一个重要目的是“便于确定公司的价值，以利于促进公司实现财富最大化目标。”如果股票价格确实是一个上市公司经营管理水平的“晴雨表”，由于利润等指标是时期指标，那么股票价格出现惯性与反转是正常合理的。（4）最后，本文探讨了建仓过程与“惯性现象”与“反转现象”的关系。各种信息中，内幕信息的成本低、风险最小，而Barclay 和Warner（1993）等实证研究发现拥有内幕信息的投资者进行“隐秘”交易，而大量机构投资者依据基本分析进行的股票买卖过程必然有一个狭义的建仓过程。建仓行为使得有关股票套利的私有信息逐步扩散，建仓过程（即私有信息的扩散过程）使得股票价格发生惯性与反转。 第四章在文献回顾的基础上，阐述机构投资者基于利好（利空）的建仓交易策略。本章然后阐述建仓交易策略如何使股票价格和成交量分别产生惯性与反转趋势，从而揭示建仓、成交量、惯性与反转三者之间的关系。 第五章在文献回顾的基础上，通过实证研究验证了（1）成交量极小值往往伴随惯性下降转为惯性上升，即“地量地价”现象；（2）成交量极大值往往伴随惯性上升转为下降，即“天量天价”现象。成交量与惯性、反转有着密切的联系，这一联系很大程度上是机构投资者建仓行为造成的。而中国大陆目前的缺乏卖空机制的制度背景使得“天量天价”现象更加显著。 第六章通过实证研究考察并验证了：（1）股票价格经历长期下跌，在成交量的极小值出现之后伴随“价升量升”现象，在上市公司和基金公司的季度报告中会发现，基金等机构投资者增加了持仓量。（2）在成交量的极大值出现之后伴随“价跌量减” 惯性现象，在上市公司和基金公司的季度报告中会发现，基金等机构投资者降低了持仓量。中国大陆目前的缺乏卖空机制的制度背景使得机构投资者倾向于利用其他投资者的乐观情绪卖出手中的巨大头寸。 第七章总结了论文的主要结论，提出了相关政策建议，并指出了论文研究中存在的不足之处和进一步研究的方向。
英文摘要：	A large volume of empirical works have found momentum and reversal of stock return， which become most controversial in Finance. To explain these anomalies， the scholars in the behavioral finance school proposed several influential theoretical models. The common point of these models is that the investors are not fully rational， with some psychological errors. In this dissertation， we explained the momentum and reversal by the rational position building behavior of investors. We explored the motives of position building， and pointed out its impact on the stock price and volume. Position building makes the private information of stock arbitrage diffuses gradually， leading to momentum and reversal. The dissertation consists of the following 7 chapters. In chapter 1， we pointed out the key issue of this dissertation is how to explain the momentum and reversal anomalies. We introduced the logic， research method， research significance， and innovation points， with definition of several important concepts such as position building and private information. In chapter 2， we conducted literature review. Before 1970， momentum and reversal strategies got more and more criticism by the random walk school， with the highest level of Efficient Market Hypothesis by Fama (1970). However， after 1970， more and more empirical research showed the permanent existence of momentum and reversal. Then we reviewed the explanation of momentum and reversal by both traditional finance and behavioral finance. At last， we introduced the related works on position-taking and position-building. In chapter 3， we discussed the following issues: (1) Theoretical framework of position building. The precondition of position building is the need of institutional investors to take a large position. The subjective reason is the high risk of stock arbitrage， and the objective reason is the liquidity (volume) risk due to the special trading system of stock market. (2) The relationship between volume change， position building， momentum and reversal. One key motive of position build is to deal with the liquidity issue of changing volume; on the other hand， position building itself can lead to momentum and reversal of stock price and volume. (3) Momentum and reversal is reasonable in the view of security design. (4) We illustrated how the position building process lead to momentum and reversal. In chapter 4， based on literature review on the trading strategies， we illustrate the position building process in long position and short position respectively. In addition， we distinguished legal position building between illegal stock price manipulations through an empirical study. At last， we illustrated how the position building process lead to momentum and reversal， and its impact on volume and price. In chapter 5， we conducted an empirical study to verify the following hypothesis: (1) the lowest volume tends to be accompanied by the lowest price， which is the price reversal leading to upward momentum; (2) the highest volume tends to be accompanied by the highest price， which is the price reversal leading to downward momentum. In chapter 6， we conducted an empirical study to verify the following hypothesis: (1) if the lowest volume is accompanied by the upward price volume momentum， the institutional investors tend to increase their shareholding; (2) if the highest volume is accompanied by the highest price volume momentum， the institutional investors tend to decrease their shareholding. The second hypothesis is more significant due to the lack of short sale in the mainland China. In chapter 7， we summarized the main conclusions of the dissertation， and provided several related suggestion for stock market construction. In addition， we also pointed out the shortcoming and further research of this dissertation.
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