CAJ | 학술논문

针对通货膨胀风险，以盯住通胀率为目标，基于随机混合整数规划模型（ SMIP ）构建了具有通胀保护功能的大宗商品期货投资组合，实现对通货膨胀率的动态跟踪。结果表明，基于盯住通胀率所构建的动态调整的商品期货投资组合能够以较低成本跑赢CPI指数，从而保证获得高于市场通胀率的较稳定的超额投资收益。对通胀保护能力的检验结果表明，商品期货投资组合具有良好的通胀保护功能，能够有效对冲通胀风险，有助于建立长期价格稳定机制。研究结果为企业和机构投资者在既定通胀水平下对冲通胀风险提供了一个具有战略意义的微观选择。
침대통화팽창풍험，이정주통창솔위목표，기우수궤혼합정수규화모형（ SMIP ）구건료구유통창보호공능적대종상품기화투자조합，실현대통화팽창솔적동태근종。결과표명，기우정주통창솔소구건적동태조정적상품기화투자조합능구이교저성본포영CPI지수，종이보증획득고우시장통창솔적교은정적초액투자수익。대통창보호능력적검험결과표명，상품기화투자조합구유량호적통창보호공능，능구유효대충통창풍험，유조우건립장기개격은정궤제。연구결과위기업화궤구투자자재기정통창수평하대충통창풍험제공료일개구유전략의의적미관선택。
The phenomena of high initial IPO returns and poor long-term returns are popular in China ’ s stock market , and the traditional rational financial theory is unable to explain such phenomena at the same time .In this paper , based on the behavioral financial theory , from the perspective of investor sentiment and disagree-ment, we construct a buy-sell imbalance(BSI) index, using initial IPO from the investors’ trading data, to represent investor sentiment to study these IPO phenomena in China .We find that investors ’ sentiment and disagreement both have significant positive impacts on the initial returns , and when the disagreement is big , the impact of sentiment is more serious .Meanwhile , sentiment has significant positive impact on the long-term abnormal return, but disagreement has no such impact .This paper provides explanations to the IPO puzzle in China ’ s stock market from the perspective of individual investors ’ irrational biases .