基金应用基于行为金融的动量与反向投资策略研究

《基金应用基于行为金融的动量与反向投资策略研究》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、北京交通大学硕士学位论文基金应用基于行为金融的动量与反向投资策略研究姓名：李音申请学位级别：硕士专业：区域经济学指导教师：叶蜀君20080601ABSTRACTABSTRACT：Asbehavioralfinancehadbeenrisenfromthe1980suntilnow,therelativestudyhasbeenmuchplentiful．Inpractice，theMomentumTradingStrategy(MTS)andContrarianInvestmentStrategy(CIS)whicharebroughtforthbybehavio

2、ralfinancehavebeenappliedbymanyinvestmentinstitutionslikeinvestmentfunds．TIlispaperstudiesoninvestmentstrategyofinvestmentfundsintermsofbehavioralfinance．MTSandCISarethemostimportantandwelldevelopedinvestmentstrategiesinbehavioralfinance．nispaperlaysstressonthem．Thisthesishassetforthp

3、urposeandsignificancestudyingfirst，summarizesthehomeandabroadstudyingcurrentsituationofMTSandCIS；Secondly,itmakesallexpositionofthebackgroundtheoryandthereasonsofobtainingextraprofitsbyadoptingMTSandCIS；Finally,itadoptstheITMmodelcreatedbyGrinblatt，Titman&Wermersandimprovesthemodelbyc

4、hangingtheparameterinit，thenitanalyzesthecurrentsituationandfeatureofMTSandCISappliedbyopen-endfund．Throughanalyzingdifferenceofinvestmentstrategyindifferentperiodofstockmarket，thispaperexplorestheinfluencebroughtbybearishmarketandbullmarket．ItalsoreferstoJegadeeshandTitman’Sstudyinor

5、dertochooseabetterinvestmentstrategy,andprovidespracticeexperienceforSecuritiesInvestmentFundstochooseinvestmentstrategies．Afterstudythispapergetsfollowingconclusions：IninvestmentfundsmarketofChina,MTSandCIShaveappliedgenerally．Fundsadoptdifferentinvestmentstrategiesaccordingtostocks’

6、performanceinpresentquarterandinlastquarter；Itisbearishmarketorbullmarkethaslargeinfluenceonchoosingstrategies；ApplyingMTSaccordingtostocks’performanceinpresentquartercouldincreaseinvestmentfunds’profit，howeverchoosingeitherstrategyhaslittlerelationwithinvestmentfunds’profitaccordingt

7、ostocks’performanceinlastquarter．KEYWORDS：SecuritiesInvestmentFunds；Behavioralfinance；MomentumTradingStrategy；ContrarianInvestmentStrategyCI。ASSNO：学位论文版权使用授权书本学位论文作者完全了解北京交通大学有关保留、使用学位论文的规定。特授权北京交通大学可以将学位论文的全部或部分内容编入有关数据库进行检索，并采用影印、缩印或扫描等复制手段保存、汇编以供查阅和借阅。同意学校向国家有关部门或机构送交论文的复印件和磁盘。学位论文

8、作者签名：