中文摘要：

基于A股投资者过度自信导致过度反应的行为特征以及DHS行为模型（Daniel，Hirshleifer and Subramanyam，1998），本文探讨了A股反转效应的存在性，并进一步考察了信息不确定性与反转效应之间的关系。我们发现，A股市场在短期内呈现出很强的反转效应，但随着时间推移，效应逐渐减弱；而信息不确定性越大，反转效应就越强。在将股票收益率标准差分解为市场、行业和公司三个层面之后，我们发现，公司层面特有的信息不确定性是反转效应得以强化的根本原因。

英文摘要：

By employing A-share sample in recent ten years and the framework of behavioral finance （overconfidence bias, overreaction, and DHS model） for A-share investors, this paper investigates the existence of eontrarian effect and the relationship between information uncertainty and eontrarian anomalies. We find that, a strong eontrarian effect exists during the beginning short holding period, and this effect fades in the following periods; the eontrarian effect is stronger when information uncertainty is relatively high. By decomposing the information uncertainty into market,industry and firm levels, we find that firm-specific information uncertainty is the key determinant for the stronger contrarian effect.