我国股票市场的中长期回报率的过度反应

过度反应是证券市场异象之一。对沪市1993-2001年的股市交易数据,我们分为形成期1年和2年两种情况,分别检验出显著的过度反应,而且数据结果和图表显示形成期越长,随后的反转越明显,"输家组合"的平均超常收益率越高于"赢家组合"。对套利组合的风险因子回归分析仍然支持过度反应的存在。我们认为,我国证券市场还不完善的交易制度,加剧了投资者固有的认知偏差,从而导致价格超涨超跌的过度反应现象。

Medium and Long-term returns overreaction in domestic stock market

Overreaction is known as one of stock market anomalies. Using the SSE trading data from 1993 to 2001, we set up the length of formation period with one year or two years, and then respectively find the significant overreaction phenomenon. Furthermore, the result of statistics and two figures show that the longer the formation period, the larger the reversal subsequently, and "losers"portfolios will get more average excess returns than "winners" portfolios. When we make the regression analysis to the "arbitrages" portfolios against risk factor β,the results also meet the exist of Overreaction. In our opinion, it is the human's essential cognitive bias that is worsen by our national incomplete stock market institution that results in stock price overreaction phenomenon.