在Reddit上的财务建议,股票收益率和累积前景理论
Felix Reichenbach1, Martin Walther1
1Chair of Finance and Investment, Technische Universität Berlin, Sec. H 64, Straße des 17. Juni 135, 10623 Berlin, Germany.
概括
像Wallstreetbets这样的Reddit金融论坛的股票推显示了更高的风险和较差的长期表现. 尽管如此,累积前景理论解释了它们的吸引力是由于投资者偏好超出了传统的风险回报指标.
科学领域:
- 金融 金融 金融 金融 金融
- 行为金融是行为金融.
- 社交媒体分析 社交媒体分析
背景情况:
- 社交媒体平台,特别是Reddit的金融子分支 (wallstreetbets,投资,股票),在股票市场讨论中变得具有影响力.
- 零售投资者的行为和在线社区对投资决策的影响是越来越有研究兴趣的领域.
研究的目的:
- 评估主要Reddit金融子reddits上推的股票的投资表现.
- 使用累积前景理论 (CPT) 探索潜在的行为因素,这些因素推动投资者对这些社交媒体驱动的股票推的吸引力.
主要方法:
- 开发了一个定量策略,购买在Reddit上推的股票,按每日帖子量加权.
- 投资组合的业绩被评估使用诸如平均收益率,风险,夏普比率和相对于常见风险因素的阿尔法等指标.
- 累积前景理论 (CPT) 用于分析投资者的估值和偏好.
主要成果:
- 基于Reddit的策略带来了更高的平均回报,但也带来了更高的风险,导致与市场相比不利的夏普比率.
- 该战略显示了积极但微不足道的短期阿尔法和负显著的长期阿尔法,表明"模拟股"通货膨胀而不是基本价值.
- 基于CPT的估值表明,Reddit投资组合对投资者来说比市场更有吸引力,尽管风险回报概况差.
结论:
- 在受欢迎的Reddit论坛上的股票推,虽然可能导致短期收益,但并不能提供可持续的长期投资价值.
- 这些建议的持续吸引力,即使风险回报率不利,也可以通过投资者对风险和潜在收益的偏好来解释,根据累积前景理论的模型.
- 通过像CPT这样的框架来理解行为偏见对于理解社交媒体驱动的金融市场背景下投资者行为至关重要.
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