我国股票市场“聪明投资者”投资绩效归因研.pdf

理论综合 我国股票市场“聪明投资者”投资绩效归因研究 1,2 3 1 梅立兴 闫伟 方进 (1.广发证券股份有限公司，广东 广州 510627；2.华南理工大学，广东 广州 510641； 3.中信证券股份有限公司，北京 100125) 摘要：不同于寻找具有超额收益“证券”的股票市场主流投资方法，根据历史投资绩效来“选人”，即寻找“聪明投资 者”可为构建有效的投资策略提供新思路。本文利用我国投资者全账户交易信息，根据历史投资绩效界定“聪明投资 者”，并探索其获得超额收益的原因。结果显示，我国股票市场存在“聪明投资者”，在牛熊市中均可获得显著的超额 收益；相比其他投资者，“聪明投资者”风险偏好较低但能获得超额收益，即不是因为他们高杠杆融资和配置更多风险 资产承担风险而获得风险溢价，而是因为这类投资者具有更好的仓位管理能力、市场风格适应能力及显著的选股能力。 本研究拓展了对我国这一部分特殊群体投资者行为的探索，结论可以用于构建具有实践意义的投资策略。 关键词：聪明投资者；投资绩效；仓位管理能力；市场风格适应能力；选股能力 Abstract: “Sophisticated investors” is uesd to classify investors based on their historical investment performance. This is a new investment strategy of “picking people”, following their investment and then obtaining excessive returns, which is obviously different from traditional mainstream “picking stock”. This paper aims at exploring the reasons why “sophisticated investors” could get excessive returns, using historical investment performance derived from transactions in investor account to define sophisticated investors. The empirical results show that there are “sophisticated investors” in China’s stock market, who can obtain significant excessive returns in bull and bear markets. Compared with other investors, “sophisticated investors” have relatively low risk preference and can obtain excessive returns not by their high leverage and greater allocation of risky assets. The main reasons are that these investors have better position management ability, market adaptability and significant stock selection ability. This study expands the exploration of behaviors of the particular investors in China, and the conclusions can be used to construct investment strategies. Key words: sophisticated investors, investment performance, position man