The Research On Salience Anomaly In Chinese Market

Bordalo et al.(2012)proposed the Salience theory to explain the irrational decision-making process of a bounded rational individual when dealing with a relatively infinite amount of information.The salience theory believes that the limited attention of individual investors will be attracted by relatively different expected future returns,which will lead to misjudgments on the probability distribution of asset future returns.In this context,the salient theory has a good explanation for various financial anomalies such as skew preference and value premium.This series of studies shows that there are individuals with prominent theoretical characteristics in the market,and their irrational decision-making behaviors lead to the low efficiency of market allocation of resources,which leads to mispricing.However,previous studies seldom explain the causes of the prominent theoretical financial anomaly from the perspective of the efficient market hypothesis.This thesis attempts to construct a prominent theoretical financial anomaly in the Chinese A-share market,and hopes to explain the prominent theoretical financial anomaly from the perspective of the efficient market hypothesis.The cause of the elephant.This thesis mainly builds a prominent theoretical financial anomaly based on Ashare data.The empirical results show that there is also a significant theoretical anomaly in the Chinese A-share market,that is,stocks with a larger relative return gap(the gap between the extreme value of the upward return and the average return value)in the past return distribution will have a lower expected future return rate.And after stability tests such as portfolio analysis and Fama-Mac Beth regression analysis,the theoretical financial anomaly is still significant.The second part of the empirical study of this thesis mainly studies the causes of the prominent theoretical financial anomalies.Starting from the sources of excess returns of highlighting theoretical hedging strategies,a regression model was established according to the method of Daniel and Moskowitz(2016)to analyze the performance of the winning and losing combinations of highlighting theoretical strategies under different market conditions.It turns out that the winning combination of the highlighted theoretical strategy will change its risk exposure following the decline of the market portfolio when the market is down,but fail to keep up with the market portfolio when the market turns for the better,and then change the risk exposure again to short the market portfolio,showing The strategy collapsed.Therefore,this thesis believes that the excess return rate that highlights the theoretical anomaly is likely to be due to the systemic risk premium caused by the time-varying systemic risk exposure of the winning combination of the theoretical strategy and the collapse of the strategy.