【作者】 吴玉桐；

【导师】 梁静国；

【作者基本信息】 哈尔滨工程大学 ， 管理科学与工程， 2008， 博士

【摘要】 以行为金融学理论为基础对我国新兴的证券市场投资者行为和投资策略进行研究是近几年国内金融学界的热点问题。本文主要探讨投资者基于有限理性前提下的个体投资者行为及其投资策略,并通过实证分析来验证投资策略在我国证券市场的适用性。这为我国证券市场个体投资者提供了有益的参考和借鉴。论文首先介绍了与投资者行为与投资策略的相关理论,包括完全理性假说与有限理性假说、标准金融理论和行为金融理论等,为本文个体投资者行为和投资策略的研究奠定了坚实的理论基础。其次,论文研究了不确定条件下的行为决策与有限理性的关系。完全理性与有限理性是标准金融学与行为金融学各自的理论基础。标准金融学认为,人是完全理性的,是以“最大化原则”为追求目标的。而行为金融学认为,人由于受到外部环境及自身的制约,不可能完全理性,是有限理性的。之后文章还对有限理性模型及有限理性的深化发展进行了研究。第三,从认知心理学角度,研究了认知偏差的发生机理和形成方式,并研究了我国个体投资者典型的认知偏差以及这些偏差对个体投资者的影响。研究表明,人类大脑的不尽完美之处如同它们的奇妙之处一样多,人类信息处理过程受到了很多因素的影响和制约,并形成认知偏差,包括代表性偏差、小数定律偏差、保守主义偏差、锚定偏差和心理账户等,这些认知偏差是导致市场异象的根本原因。第四,从情绪心理学角度,介绍了心态及情绪的概念、特征及对投资者的影响,重点分析了我国个体投资者的典型心态与情绪,包括投机心态、暴富心态、贪婪、恐惧和浮躁等,并重点研究了群体对个体情绪的影响以及由此导致的羊群行为。心态是个体对外部客观事物的起点和平台,是一个参照点或基点。良好的心态能够引导投资者理性地看待问题,对投资者来说受益无穷。而情绪的发生一般具有强烈性、暂短性和急剧性的特点。良好的心态和稳定的情绪可以引导投资者理性决策和投资。第五,在全面了解个体投资者认知及心态情绪偏差的基础上,重点研究了基于有限理性的自我管理与投资策略。不同个性的投资者风险承受程度不同,即使同一类型的投资者承受风险的程度也不同,不同个性类型和风险承受能力的个体投资者应采取的投资策略也不同。个体投资者应该加强在投资过程中的自我管理,包括投资前的心态管理,投资过程中的情绪管理以及投资过程中的节奏控制等等。物随心转,境由心造,烦恼皆由心生,良好的心态和情绪控制是投资成功的一半。了解自己,战胜自己,是个体投资者成功的首要条件。最后,本文选取了沪深股市从2001年到2007年的数据,对逆向投资策略和惯性投资策略在我国证券市场上的适用性进行了检验和分析。实证研究证明,逆向投资策略是个体投资者最佳的投资策略,惯性投资策略并不适用于个体投资者。这为我国个体投资者在今后的投资提供了一定的借鉴和参考。更多还原

【Abstract】 It is a hot issue in domestic financial academia to study the investors behavior and investment strategies in China’s jumped-up stock market based on behavioral finance theory in recent years. In this paper, it will be discussed what is individual investors behavior and their investment strategies based on the limited rationality, and it will be verified how is the applicability of the investment strategy through empirical analysis in China’s securities market. This provides a useful reference for individual investors in China’s securities market.First of all papers presented the related theories with investors behavior and the investment strategy, including the hypothesis of complete rational and hypothesis of limited rationality, the standard financial theory and behavioral finance theory. This establishes a solid theoretical basis for studying individual investors behavior and investment strategy.Second, the thesis studies the relationship of the decision-making under the uncertain conditions and the limited rationality. Complete rationality and limited rationality is respectively their theoretical basis of the standard finance and behavioral finance. Standard finance considers that man is totally rational takes "Principle of maximizing" as the pursuant goal. And behavioral finance considers that man can not be completely rational and is limited rationality because of the external environment and his own constraints. Subsequently limited rationality model and depth development has been studied in the article also.Third, the thesis studies the mechanism of the cognitive bias and a forming way from cognitive psychology angle, and studied China’s individual investors typical cognitive biases and the impact of these cognitive biases on individual investors. Research shows that the imperfection of human brain is so much as their perfection is, and human information processing is impacted and constrained by many factors and form the cognitive bias, including the representative bias, law of small number, Conservatism bias, anchoring bias and mental accounting. These cognitive biases lead to the market phenomena fundamentally. Fourth, the thesis introduced the concept of mentality and emotions, characteristics and the impact on investors from the emotional psychology angle, and emphatically analyzed China’s individual investors typical mentality and emotions, including the speculative mentality, rich-quick mentality, greed, fear and impetuous, and so on, while focusing on the compact of a group on individual emotion and the resulting herding behavior. Mentality is the starting point and platform that of the individual treats the outside objective things, and is a point of reference or basis points. Good mentality can guide investor to treat problems rationally, which will bring investors the infinite benefits. Moreover mentality happens with a strong, short and sharp characteristics generally. A good mentality and stable emotion can guide investors decision-making and investment rationally.Fifth, on the basis of a comprehensive understanding to individual investors cognitive bias, emotion and mentality, the thesis focus on self-management and investment strategies based on the limited rationality. Investors of different personality have the different levels of risk bearing, even if the same type of investor also have different levels of risk bearing, and individual investors with different personality types and risk bearing should take a different investment strategy. Individual investors should strengthen self-management in the investment process, including the mentality management of pre-investment, emotional management in investment process and the rhythm control in investment process, and so on. The thing will be changed along with heart, Habitat made by the heart, all troubles given birth by heart. A good control of mentality and emotion is half the success of the investment. For individual investors, understanding their own and overcoming their own are the first-line condition for success.Finally, the data are selected in the Shanghai and Shenzhen stock markets from 2001 to 2007, which are used to test and analyze the applicability of the reverse investment strategy and momentum investment strategy in China’s securities market. Empirical studies have shown that reverse investment strategy is the best investment strategy for individual investors, and momentum investment strategy does not apply to individual investors. This provides some reference for China’s individual investors in the future.更多还原