Empirical Research On Event-based Behavioral Factors In Listed Banks

The theory of behavioral finance tells us that investors' trading behavior is closely related to their psychological factors after being impacted by event information.Especially when the company announces major events,due to the psychological bias of investors,the market will show different degrees of underreaction and overreaction.Therefore,this paper studies the market response of listed banks after the announcement of the incident from the perspective of behavioral finance.Combined with the characteristics of bank stocks and the current situation of interest rate liberalization,this paper selected three key events of earnings announcement events,cash dividend events and net interest margin change events as the research objects.In this paper,the classical event study method is used to determine the cumulative excess returns in different window periods as the measure of earnings announcement events and cash dividend events.Meanwhile,the measure of net interest margin change events is defined in combination with the income structureNext,based on the theoretical knowledge of behavioral finance,this paper constructs behavioral factors for three events,and tests the effectiveness of the factors.The results of stratified test,correlation test and regression test all show that the behavior factors based on the three kinds of event have the effectiveness of stock selection.At the same time,the performance of the corresponding long-short portfolios have exceeded the benchmark index in the historical cumulative returns.In addition,the long-short portfolios of three events can obtain significant positive returns within 2 months,6 months and 1 year after the occurrence of the event,respectively.This result shows that the market has insufficient response to the three kinds of events in the short,medium and long time scalesFinally,this paper established a multi-factor model for bank stocks based on the above event factors,and compared it with fama-french three-factor model in tenns of the explanatory ability of the model for excess returns and the stock selection ability of the model.In terms of the explanatory ability of the model,the six-factor model containing event factors had a higher explanatory ability for excess returns,reaching 87.1%,which was 6.7%higher than the fama-french three-factor model.Therefore,this paper argues that the above behavioral factors on different time scales have captured the mispricing caused by inadequate market response.In terms of the stock selection ability of the model,the annualized excess return of the six-factor model can reach 12.61%,which is 3.54%higher than the traditional three-factor model.At the same time,its Sharpe ratio reached 1.06 and the maximum withdrawal was 22.64%,both of which were significantly better than the traditional three-factor model.Therefore,whether from the perspective of the size of returns or the stability of returns,the addition of event factors has an obvious effect on the stock selection model.