CAJ | 학술논문

文章首先采用Tobit模型研究了我国股票市场的投资者结构,发现个人投资者持股比例与股票价格显著负相关.由于个人投资者易出现非理性投资,因而个人投资者持股比例高的股票受到投资者非理性因素影响较大.然后,分别采用四因子模型和Fama & MacBeth时间序列横截面回归法,验证了价格水平与投资者非理性因素的关系,即:与高价格股票相比,低价格股票受到投资者非理性因素影响较大,收益率更高.最后,将投资者情绪加入到股票最优价格水平模型中,完善了该模型,为公司管理层提供更加全面的股票最优价格水平的分析框架.
문장수선채용Tobit모형연구료아국고표시장적투자자결구,발현개인투자자지고비례여고표개격현저부상관.유우개인투자자역출현비이성투자,인이개인투자자지고비례고적고표수도투자자비이성인소영향교대.연후,분별채용사인자모형화Fama & MacBeth시간서렬횡절면회귀법,험증료개격수평여투자자비이성인소적관계,즉:여고개격고표상비,저개격고표수도투자자비이성인소영향교대,수익솔경고.최후,장투자자정서가입도고표최우개격수평모형중,완선료해모형,위공사관리층제공경가전면적고표최우개격수평적분석광가.
This paper use Tobit model to find that individual investors prefer investing in the low‐price stocks .Individual investors are prone to do irrational investment .And then ,it use Four‐Factor model and Fama & MacBeth time series cross‐sectional regression method to verify that low‐price stocks have been affected more by irrational factors ,that is :low‐price stocks have higher return than high‐price stocks by the reason of irrational factors of the investors .Irrational factors should be added to Optimal Price Model to provide a more comprehensive analysis framework for the management to decide the optimal price level .