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传统的检验市场过度反应的方法是采用De Bondt和Thaler构造的赢家组合和输家组合,通过检验赢家组合和输家组合的超额收益率来判断市场是否存在过度反应。有别于传统的检验市场过度反应的方法,本文基于我国股票市场上A股和H股估值变化的特殊视角,实证分析了我国A股市场存在的过度反应现象。
The traditional method to test the overreaction in the market is to use the combination of winners and losers constructed by De Bondt and Thaler to judge whether the market is overreacted by checking the excess returns of the winner and loser combinations. Different from the traditional method to test the overreaction in the market, this paper empirically analyzes the overreaction phenomenon in the A-share market of our country based on the special perspectives of the valuation changes of the A shares and the H shares in China’s stock market.