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文章将估值难度定义为单个投资者的估值准确度与投资者间的估值差异。通过理论模型分析发现,估值难度大小会影响反转效应。借鉴Zhang(2006)的方法,本文运用规模、超额收益波动率、盈利价格比与分析师关注度等指标衡量估值难度,发现在我国A股市场上确实存在估值难度越大、反转效应越强的现象。此外,文章还运用不同时间段样本数据及深交所信息透明度数据进行稳健性检验,均进一步证实了这一现象。
The article defines valuation difficulty as the difference between the valuation accuracy of an individual investor and that of an investor. Through the theoretical model analysis found that the difficulty of valuation will affect the reversal effect. Using the method of Zhang (2006), this paper uses the scale, the excess return volatility, the profit-to-earnings ratio and analyst attention and other indicators to measure the valuation difficulty, and finds that there is indeed more difficulty in the valuation of A-share market in our country. The stronger the phenomenon. In addition, the article also uses the sample data of different periods and the Shenzhen Stock Exchange information transparency data for robustness tests, are further confirmed this phenomenon.