管理评论

管理评论 ›› 2025, Vol. 37 ›› Issue (12): 3-15.

• 经济与金融管理 •    

黏性预期和过度自信下的动量效应和反转效应

王先甲1, 余志颖1, 陈聪2, 吴亮3, 饶育蕾4, 苑莹5   

  1. 1. 武汉大学经济与管理学院, 武汉 430072;
    2. 江苏大学财经学院, 镇江 212013;
    3. 湖北经济学院法商学院, 武汉 430205;
    4. 中南大学商学院, 长沙 410083;
    5. 东北大学工业智能与系统优化国家级前沿科学中心, 沈阳 110819
  • 收稿日期:2024-06-24 发布日期:2026-01-15
  • 作者简介:王先甲，武汉大学经济与管理学院教授，博士生导师，博士;余志颖，武汉大学经济与管理学院博士研究生;陈聪（通讯作者），江苏大学财经学院讲师，硕士生导师，博士;吴亮，湖北经济学院法商学院副教授，博士;饶育蕾，中南大学商学院教授，博士生导师，博士;苑莹，东北大学工业智能与系统优化国家级前沿科学中心教授，博士生导师，博士。
  • 基金资助:
    国家自然科学基金重点项目（72031009）；国家社会科学基金重大项目（20&ZD058）。

Momentum Effect and Reversal Effect under Sticky Expectation and Overconfidence

Wang Xianjia1, Yu Zhiying1, Chen Cong2, Wu Liang3, Rao Yulei4, Yuan Ying5   

  1. 1. School of Economics and Management, Wuhan University, Wuhan 430072;
    2. School of Finance and Economics, Jiangsu University, Zhenjiang 212013;
    3. School of Law and Business, Hubei University of Economics, Wuhan 430205;
    4. Business School, Central South University, Changsha 410083;
    5. National Frontier Science Center for Industrial Intelligence and System Optimization, Northeastern University, Shenyang 110819
  • Received:2024-06-24 Published:2026-01-15

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摘要： 本文构建了一个基于黏性预期和过度自信的刻画投资者信念偏差的行为模型，通过对资产收益序列相关性的分析来解释存在于市场中的若干金融异象。研究结果表明，该模型可解释市场中的动量效应和反转效应，且黏性系数越大，发生反转的时期越晚；过度自信系数对发生反转的时期产生非单调的影响；短期动量效应在全时段上表现出较强的稳健性。应用该模型也能对其他的金融异象（事件研究中的价格漂移现象和同行业内风险证券收益的领先-滞后效应）给予较好的解释。实证结果表明黏性预期与过度自信能对动量效应和反转效应的产生给予较好的解释。其中，黏性系数高的组合动量效应较为显著。在同一黏性程度的组合中，过度自信程度更高的股票组合中长期反转效应更显著。

关键词: 黏性预期, 过度自信, 动量效应, 反转效应

Abstract: This paper constructs an investor behavior model to describe investors’ belief bias by using sticky expectation and overconfidence and explains some typical asset price anomalies by discussing the correlation of the asset return in the model. The research results show that the model can explain the momentum effect and reversal effect in the market, and the larger the stickiness coefficient is, the later the inversion occurs. The overconfidence coefficient has a non-monotonic effect on the reversal period. The short-term momentum effect of the asset prices is robust over the whole period. The model can also effectively explain other financial anomalies, such as post-event price drift in event study and lead-lag effect of stock returns in the same industry. Empirical results show that sticky expectations and overconfidence provide a good explanation for the momentum and reversal effects. Among them, the momentum effect is more significant in portfolios with a higher stickiness coefficient. In portfolios with the same degree of stickiness, stocks with a higher level of overconfidence show a more significant long-term reversal effect.

Key words: sticky expectation, overconfidence, momentum effect, reversal effect