Research On The Prediction Ability Of Market Excess Return Based On Accessibility Bias Index

As a subject combining finance,behavior and psychology,behavioral finance has become a hot interdisciplinary subject in Finance recently.It rejects the initial assumption that investors in traditional finance are completely rational people,brings new vitality to the development of finance,and attracts more and more attention.This paper will focus on the analysis of a branch of behavioral finance--Accessibility bias.Accessibility bias usually occurs in the process of people's cognition and decision-making.Therefore,stock investment decision-making can be a good carrier to study accessibility bias.In this paper,we will take 300 stocks in Shanghai and Shenzhen as a sample to study and observe whether there is accessibility bias under this sample,and whether such accessibility bias can produce future stock price volatility Birth effect.The general idea of this paper is: through Granger causality test to verify the existence of the accessibility bias under the samples of Shanghai and Shenzhen 300,construct indicators that can reflect the accessibility bias attribute,and finally through ARMA model,Monte Carlo simulation analysis method and bootstrap self-help sampling method to study the impact of accessibility bias on the future stock price.Through the research,it is found that the accessibility bias exists under the sample of Shanghai and Shenzhen 300.After the stock price has a large negative fluctuation,because the large price fluctuation will bring people greater psychological impact and leave a deeper impression,investors will strengthen the impact of this large negative price fluctuation on their decision-making in the future investment decision-making,which will lead to In the next 10-20 days,the price increase of the stock is significantly larger than that of the common stock.In addition,after the samples are divided into high market value,medium market value and low market value according to the market value of different companies,the results show that the volatility of the stock price of low market value companies is more easily affected by the accessibility bias.Through the derivation of this study,this paper constructs two kinds of accessibility bias related indicators,one of which is predictive for the six-month stock market excess return.It can be seen that the accessibility deviation index can be used for the decision-making of investors' asset allocation,and optimize the investors' asset allocation scheme.