Study on the formation of anomalies in securities market under rational human being hypothesis

摘要

From the perspective of efficient market, the existence of anomalies in securities business indicates the lack of market efficiency. This paper puts forward the forming model of anomalies in securities market under rational human being hypothesis. And then it uses some models to analyze the formation mechanism of securities business of overreaction and under reaction with simulation method and theoretical deduction. Finally, it gives two basic methods to eliminate these anomalies, that the investors should change their original expectations through the "learning" and banish the source of “policy market”.