| 基于投资者过度自信的A-B股溢价研究 |
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| 引用本文： | 李潇潇,杨春鹏,高红伟. 基于投资者过度自信的A-B股溢价研究[J]. 系统管理学报, 2010, 19(1) |
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| 作者姓名： | 李潇潇 杨春鹏 高红伟 |
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| 作者单位： | 1. 青岛大学,数学科学学院,山东,青岛,266071
2. 青岛大学,经济学院,山东,青岛,266071 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 主要利用投资者过度自信心理研究A-B股溢价问题.首先,建立了基于投资者过度自信的A-B股溢价模型,模型分析表明:A-B股溢价与国内有信息投资者(收到利好信息)过度自信程度正相关;然后,通过构造度量投资者过度自信程度的指标,实证检验了国内有信息投资者(收到利好信息)的过度自信程度与A-B股溢价之间存在显著的正相关关系.理论和实证研究都表明,利用投资者的过度自信心理能够部分解释A-B股溢价现象.
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| 关 键 词： | 过度自信 溢价 有信息投资者 |
Analysis of the A-B share Premium Based on Overconfidence |
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| LI Xiao-xiao,YANG Chun-peng,GAO Hong-wei. Analysis of the A-B share Premium Based on Overconfidence[J]. Systems Engineering Theory·Methodology·Applications, 2010, 19(1) |
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| Authors: | LI Xiao-xiao YANG Chun-peng GAO Hong-wei |
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| Affiliation: | LI Xiao-xiao~a,YANG Chun-peng~b,GAO Hong-wei~a(a.College of Mathematical Science,b.College of Economics,Qingdao University,Qingdao 266071,China) |
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| Abstract: | We examine the effect of investors' overconfidence on A-B share premium.Firstly,we develop an A-B share premium model based on investors' overconfidence,and find that the relationship between A-B share premium and the degree of overconfidence(positive information) is positive.Secondly,we construct an index to measure investors' overconfidence and verify that the degree of overconfidence(positive information) has a significantly positive relationship with the A-B share premium.Therefore A-B share premium can... |
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| Keywords: | overconfidence premium informed investors |
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