动量效应的行为金融学解释

动量效应为何长期广泛存在，是传统金融理论和行为金融理论争论的焦点.本文针对中国股市的特性，基于行为金融理论下的锚定 偏误与处置效应构建了两种“相对股价动量”组合，并研究了这些“股价动量”与传统动量的关系.结果表明：控制传统动量 效应和系统性风险之后，股价动量组合的收益仍然显著为正；在控制了股价动量效应后，传统的动量效应不再明显；在考虑交易成 本之后，动量收益不显著.这说明，“锚定偏误”和“处置效应”是导致我国股市动量效应的重要原因，交易成本则阻碍了套利行为的进行.

Behavioral finance interpretation of momentum effect

It is one debating point between traditional and behavioral financial theories why momentum effect persists in most financial markets. In view of Chinese stock markets' features, this paper constructs "relative price" momentum portfolios based on "Anchoring Bias" and "Disposition Effect" in behavioral financial theories, and explores the relationship among these new momentums and classical momentums. The results show after controlling the classical momentum effect and systematic risk factors, the relative price momentum effect still exists. However, after controlling the relative price momentum effect, the classical momentum effect disappears. If considering transaction costs, investors could not benefit from the momentum strategies. These findings indicate that "Anchoring Bias" and "Disposition Effect" are important reasons of momentum effect in Chinese stock markets' features, and high transaction costs hinder the arbitrary.