1. Behavioral Finance Theory and Investment Decision Model
A large number of facts have proved that the behavior of investors and their deep psychological characteristics have a direct and important impact on the results of investment activities. When studying the complex financial market, we must consider the complex and changeable characteristics of human behavior. Based on the research results of behavioral science, psychology and sociology, a theoretical system of behavioral finance based on the psychological factors of the parties involved in investment activities has been initially formed. Corresponding to the hypothesis of modern investment theory, behavioral finance theory gives its own theoretical hypothesis: (1) people are bounded rational; (2) the existence of an incomplete market; (3) Investors' investment has the characteristics of group behavior. The theoretical basis of behavioral finance mainly includes: (1) prospect theory1979); ); (2) Behavioral Asset Pricing Model (BAPM); (3) Modern portfolio theory of behavioral finance (1999). On this basis, behavioral financial investment decision-making models are: (1)BSV model and DHS model; (2) unified theoretical model; (3) Herd effect model.
Second, the empirical research conclusion of behavioral finance on investor behavior
1. Overconfidence. People tend to overestimate their abilities and knowledge in psychology, which shows that they trust their own judgment and decision-making too much in investment decision-making and ignore the possibility that objective changes lead to decision-making mistakes. The Research on the Behavior of Securities Investors in China organized by Shanghai Stock Exchange points out that among the 65 million investors in China stock market, a large proportion are unemployed. There is reason to believe that a considerable number of these unemployed people are people who lack market competitiveness. Because they have nothing to do, they want to make money in the stock market without considering their own abilities, which shows the seriousness of China investors' overconfidence.
2. Anchoring error. When people judge the value of a commodity, they usually need a certain information anchor as a reference standard. Similarly, investors also need some information as the basis for predicting the changes of securities prices. Anchoring often leads to investors' insufficient response to new positive information. China investors often use the share prices of similar industries, departments, share capital scale and operating performance to measure the price of their investment stocks. However, the anchor can not maintain accuracy and effectiveness for a long time, that is, the anchor will make investors misjudge.
3. Herd behavior. Herd behavior in the stock market means that investors adopt the same investment strategy because of the influence of other investors' investment strategies. The key is that the behavior of other investors affects the investor's investment decision and his decision-making results. A large number of "follow the trend", "follow the village" and portfolios of China stock market investment funds are typical "herding behavior". Sun Peiyuan (2002) proved the existence of herding effect in China stock market by constructing the absolute deviation of the cross section of stock return and the nonlinear test of market return.
4. Noise trading. Irrational investors think that information that has nothing to do with value is related to value, or some investors artificially create false information, while other investors cannot identify its authenticity. These two kinds of information are considered as noise, and the corresponding transaction is called noise transaction. At least 300% of the annual turnover rate of China stock market can be attributed to noise trading. Shi Donghui's empirical research (200 1) shows that because the technical analysis method is widely used in Shanghai stock market, when a technical signal shows an "upward" or "downward" trend, it will trigger a large number of trading behaviors, thus strengthening the existing stock price trend.
5. overreaction and underreaction. Overreaction was first discovered by DeBondt and Thaler( 1985). They found that investors did not make a correct Bayesian response to the recent good news, but overreacted, causing the stock price to exceed its intrinsic value. China and Wang Yonghong (200 1) studied the overreaction in China stock market with DT method, and confirmed that there was obvious overreaction in China stock market. Under-reaction means that investors are too confident in their own judgment, or blindly rely on past historical experience as a reference standard (making anchoring mistakes), are slow to respond to new trends and changes in the market, and lose a good profit opportunity. The "round-up effect" in China stock market is a kind of "insufficient response".
6. disposition effect. "disposition effect" refers to the phenomenon that investors hold locked stocks for a long time and sell profitable stocks prematurely. This means that investors are risk-averse in a profit state and risk-averse in a loss state. Zhao Xuejun (200 1) and others concluded that compared with foreign countries, China investors are more inclined to sell profitable stocks and continue to hold losses. The disposition effect of China stock market increased relatively at the end of the year, and the disposition effect of individual investors was stronger than that of institutional investors.
7. Momentum effect. In a certain holding period, on average, if a stock or some stock combinations have a good increase in the previous period, then this stock or stock combination will still have a good performance in the next period. Through the statistical analysis of the data of China stock market over the years, we think that there is momentum effect in China stock market, both in the market and in individual stocks. The momentum effect of the market is obvious in the day, while some typical stocks are very obvious in the day, week or month.
8. Excessive fear and policy dependence. When false news was flying all over the sky and the stock market plummeted, investors threw out a lot of stocks at no cost, showing full fear. When the stock market plummets, investors in China often pin their hopes on the government's rescue policy, which is more dependent on the policy than any other country in the world.
9. regret. Regret theory holds that investors may avoid selling stocks whose prices have fallen in order to avoid the regret of wrong decisions and the embarrassment of reporting losses. Also, even if the decision-making results are the same, if a certain decision-making method can reduce investors' regrets, it is superior to other decision-making methods for investors. Therefore, investors have herd mentality and tend to buy stocks that are popular or chased by everyone this week, because when considering that a large number of investors have also suffered losses on the same investment, investors may reduce their emotional reactions or feelings.
10. Money psychology and gambling psychology. Small and medium-sized investors frequently make short-term operations in order to get rich quickly. Stocks with a face value of 1 yuan have been fired to more than 100 yuan, and some people dare to chase them; The company lost hundreds of millions, and some people dared to take over the debt. ST phenomenon refers to the phenomenon that the stock price of listed companies labeled with special treatment rises instead of falling after the news of special treatment is announced. Knowing that listed companies make huge frauds, and some people dare to speculate, all these have fully exposed the real gambling nature of China investors.
1 1. In a market, if some stocks don't go up (down), then they have the potential to make up for it. Those that have not gone up should be replenished unconditionally, and those that have not gone down should be replenished with five conditions. For a long time, China stock market speculation is an example.
12. Small-cap stocks and new shares effect. China stock market has a unique feeling for small-cap stocks and new stocks, and it has become the practice of China stock market to speculate on small new stocks. Our statistical analysis shows that in the past ten years, the yield of small-cap stocks and new stocks in China is obviously higher than that of large-cap stocks and old stocks. However, this situation has changed since the long-term decline of China stock market in June 20001and the massive issuance of securities investment funds.
Third, the securities investment strategy under the guidance of behavioral finance theory
The theoretical significance of behavioral finance lies in establishing the role and position of psychological factors of market participants in investment decision-making behavior and market pricing, denying the simple assumption of rational investors in traditional financial theory, which is more in line with the actual situation of financial markets. The practical significance of behavioral finance lies in that investors can adopt investment strategies aimed at irrational market behavior to achieve investment profit goals. At present, several asset management companies in the American securities market are practicing behavioral finance theory, and some of them have achieved good investment performance of 25% compound annual rate of return based on behavioral finance. By investigating the behavior characteristics of investors in China's securities market, we summarized the investment strategy of China's financial market:
1. overreacting reverse investment strategy. Reverse investment strategy is an investment method of arbitrage by buying stocks with poor past performance and selling stocks with good past performance. Behavioral finance theory holds that investors often pay too much attention to the recent performance of listed companies in actual investment decisions, which leads to persistent overreaction to the recent performance of companies and excessive underestimation of the stock prices of poor companies, and finally provides arbitrage opportunities for reverse investment strategies.
2. Momentum trading strategy. That is, the filtering criteria are set in advance for stock returns and trading volume, and when stock returns or stock returns and trading volume meet the filtering criteria at the same time, the investment strategy of buying or selling stocks is adopted. The momentum trading strategy in the sense of behavioral finance comes from the study of the continuity of intermediate returns of stock prices in the stock market.