BSV, DHS and HS model - based securities market reaction behavior theory and empirical research
|Keywords||Overreaction Inadequate response to Behavioral Finance Model assumes Questionnaire Event Study|
Empirical Study of the reality of financial markets reveal that more and more the standard finance based on the efficient market hypothesis is difficult to explain the anomalies exist in the market. Thus, the combination of the psychology of individual decision-making research, behavioral finance theory be able to put forward a more reasonable explanation of the financial market anomalies, recently has been rapid development. Financial market overreaction and an inadequate response to the phenomenon, has important implications for discriminating whether the financial markets in line with the efficient market hypothesis. Behavioral Finance on the basis of an empirical test of overreaction and an inadequate response to further attempt theoretical model, which more influential BSV model, DHS model and the HS model. However, although these models can build on the basis of its assumptions the the logical theoretical model, but when considering its suitability to explain the reality of the market overreacted and inadequate response to the internal formation mechanism, the basis of the test model behavior assumptions with the reality of the market (especially the behavior of China's securities market) investors have better consistency, is particularly important. Therefore, the thesis in Chapter 1 of the history of the development of behavioral finance review and comment for the paper, and on this basis to establish the behavioral finance perspective. Turn in Chapter 2, the literature of behavioral finance theory are reviewed, including the theoretical basis of behavioral finance, the behavior of financial and market efficiency issues (including over-reaction and reaction) and behavioral finance theory construction work. Chapter 3 overreaction in financial markets and an inadequate response to the phenomenon theoretically defined, while research in behavioral finance theory overreaction and an inadequate response to the main model (BSV, DHS and HS models) may exist the comprehensive study was to investigate the problem. Basic behavior of these models assume that the study commenced in Chapter 4. The chapter from the impact of the arguments and market environment of the psychological theory of investor behavior that may exist, applicable BSV, DHS and HS model assumes a more detailed study investigated the qualitative distinction between the applicable model assumes . Whether these distinctions in line with the actual situation of China's securities market, Chapter 5 gives some conclusions. In Chapter 5, the use of a questionnaire on the behavior of China's securities market investors, especially as BSV, DHS and HS model assumes behavioral factors for actual research, based on the results of the statistical analysis of the questionnaire investigated each model behavior assuming the suitability of the securities market in China, which considered the HS model is more appropriate to overreact to China's securities market and an inadequate response to a reasonable explanation. To overreact to China's securities market and an inadequate response to empirical research in Chapter 6, the annual earnings report released for the event, China's securities market there may overreact and inadequate response to the phenomenon and its characteristics empirical statistical tests, and use the HS model to be a more reasonable explanation.