本文应用行为金融理论和分析方法,搜集1993年～2002年上海和深圳证券交易所所有 A 股的月收益率数据,对中国股票市场是否存在过度反应现象进行了实证研究。结果发现:第一,输家组合在检验期内的累积平均超常收益率高于赢家组合;第二,输家组合的平均贝塔系数低于赢家组合;第三,形成期超常收益越大,随后的反向修正越明显。这些发现说明,在我国股票市场也存在一定程度的过度反应现象,该现象与形成期长度有关,且无法用风险的不同加以解释。 This article applies behavioral finance theory and analytical methods to collect the monthly return data of all the A shares in Shanghai and Shenzhen Stock Exchanges from 1993 to 2002 and makes an empirical study on whether there is overreaction in the Chinese stock market. The results show that: firstly, the cumulative average abnormal return rate of losers in the test period is higher than that of the winner; second, the average beta of the losers is lower than that of the winner; thirdly, the greater abnormal returns during the formation, The more obvious the amendment. These findings indicate that there is also a certain degree of overreaction in the stock market in our country. This phenomenon is related to the length of the formative period and can not be explained by the different risks.