第1章 有效资本市场理论、行为金融学与证券投资研究综述
1.1前言
1.2有效资本市场假说
1.3投资异象的出现及其对有效资本市场理论的挑战
1.4套利成本与市场有效性
1.5套利风险与市场有效性
1.6行为金融学:错误定价为什么会发生?
1.7结论
第2章 有效资本市场假说
2.1本章 概述
2.2知识在社会中的利用
Hayek,F.A..1945.The use of knowledge in society.American
Economic Review 35:519530
2.3有效资本市场:Ⅱ
Fama, Eugene. 1991.Efficient capital markets:Ⅱ.Journal of
Finance 46:15751617
2.4期望股票回报的横截面分析
Fama, E., French, K.. 1992. The cross?section of expected stock
returns.Journal of Finance 47: 427466
2.5股票和债券回报中的共同风险因素
Fama, E., French, K.. 1993. Common risk factors in the returns
on stocks and bonds.Journal of Financial Economics 33:356
附录
中国证券市场Fama?French三因素
计算过程说明
第3章 投资异象的出现及其对有效资本市场假说的挑战
3.1本章 概述
3.2普通股的股票回报和市场价值之间的关系
Banz, Rolf.1981. The relationship between return and market
value of common stocks.Journal of Financial Economics 9:318
3.3盈余收益、市场价值与回报之间的关系:基于纽
约股票市场的进一步论证
Basu,S..1983.The relationship between earnings yield,market
value and return for NYSE common stocks: further evidence.Journal
of Financial Economics 12: 129156
3.4市场真的过度反应了吗?
DeBondt, W., and R. Thaler. 1985.Does the stock market
overreact? Journal of Finance 40:793805
3.5“买进赢者,卖出输者”的回报:对市场有效性的挑战
Jegadeesh, N. and S. Titman.1993.Returns to buying winners and
selling losers: implications for stock market efficiency.Journal of
Finance 48:6591
3.6盈余公告后的价格漂移:反应滞后还是风险溢价?
Bernard, Victor L., and Jacob K.Thomas, 1990.
Post?earnings?announcement drift: delayed price response or risk
premium? Journal of Accounting and Economics 13:305341
3.7股票价格是否完全反映了应计项目和现金流中关
于未来盈余的信息?
Sloan, Richard. G.. 1996. Do stock prices fully reflect
information in accruals and cash flows about future earnings? The
Accounting Review 71:289315
3.8会计稳健性、盈余质量和股票回报
Penman, S. and X. Zhang.2002.Accounting conservatism, the
quality of earnings, and stock returns. The Accounting Review 77:
237264
3.9资产规模增长与股票横截面回报
Cooper M.J., H.Gulen, and M. Schill.2008.Asset growthand the
cross?section of stock returns.The Journal of Finance 63:
16091651
3.10中国上市公司股票横截面回报预测性研究
Cakici, N., K. Chan, and K. Topyan. 2011. Cross?sectional stock
return predictability in China.香港科技大学工作论文
第4章 套利成本与市场有效性
4.1本章 概述
4.2估计交易成本的一种新方法
Lesmond, D., Ogden, J., Trzcinka, C.. 1999. A new estimate of
transaction costs.Review of Financial Studies 12: 11131141
4.3套利成本:来自封闭式基金的证据
Pontiff, J.. 1996. Costly arbitrage: evidence from closed end
funds. Quarterly Journal of Economics111:11351152
4.4股票借贷市场
D?Avolio, G.. 2002. The market for borrowing stocks.Journal of
Financial Economics 66: 271306
4.5卖空限制与股票回报
Jones, Charles, and Owen Lamont.2002. Short sale constraints
and stock returns.Journal of Financial Economics 66: 207239
4.6观念差异和横截面股票回报
Diether, K., C.Malloy and A.Scherbina. 2002. Differences of
opinion and the crosssection of stock returns.Journal of Finance
57: 21132141
第5章 套利风险与市场有效性
5.1本章 概述
5.2投资者情绪与封闭式基金折价之谜
Lee, C.M.C., A.Shleifer, and R.Thaler. 1991. Investor sentiment
and the closed?end fund puzzle.Journal of Finance 56: 75109
5.3套利是否使得股票的需求曲线趋于水平呢?
Wurgler, Jeffrey, and Katia Zhuravskaya. 2002. Does arbitrage
flatten demand curves for stocks? The Journal of Business 75:
583608
5.4套利风险与BM异象
Ali, Ashiq, Lee?Seok Hwang, and Mark Trombley. 2003. Arbitrage
risk and the book?to?market anomaly.Journal of Financial Economics
69: 355373
5.5套利风险与盈余报告后的漂移
Mendenhall, R..2004. Arbitrage risk and post?earnings
announcement drift.Journal of Business 77:875894
5.6为什么套利不能阻止应计异象的存在?特质风险
和套利成本的作用
Mashruwala, Christina, Shivaram Rajgopal, and Terry Shevlin.
2006. Why is the accrual anomaly not arbitraged away? The role of
idiosyncratic risk and transaction costs. Journal of Accounting and
Economics 42: 333
第6章 行为金融学:错误定价为什么会发生?
6.1本章 概述
6.2市场有效与会计研究:对于S.P.Kothari“会计领
域资本市场研究”的讨论
Lee, Charles M.C.. 2001.Market efficiency and accounting
research: a discussion of “capital market research in accounting”
by S.P.Kothari.Journal of Accounting and Economics 31:233253
6.3反转投资策略、推断和风险
Lakonishok, J., A.Shleifer, and R.W.Vishny. 1994. Contrarian
investment, extrapolation, and risk.Journal of Finance
49:15411578
6.4信息不确定性与股票的预期回报
Jiang, Guohua, Charles M.C.Lee, and Grace Zhang.
2005.Information uncertainty and expected returns. Review of
Accounting Studies, V10, No.23, 185221
6.5投资者情绪与股票的横截面回报
Baker, Malcolm, and Jeffrey Wurgler. 2005. Investor sentiment
and the cross?section of stock returns.Journal of Finance LXI:
16451678
6.6过早卖出盈利股而过久持有亏损股的倾向:理论
和证据
Shefrin, Hersh, and Meir Statman.1985. The disposition to sell
winners too early and ride losers too long: theory and
evidence.Journal of Finance 40: 777790
第7章 投资策略设计中的统计问题:如何正确衡量股票的回报
7.1本章 概述
7.2发现股票长期超额回报:检验统计量功效与设
定的经验证据
Barber, Brad, and John Lyon. 1997. Detecting long?run abnormal
stock returns: the empirical power and specification of test
statistics.Journal of Financial Economics 43: 341372
7.3检验股票长期超额回报的优化方法
Barber, Brad, John Lyon, and C. Tsai. 1999. Improved methods
for tests of long?run abnormal stock returns.Journal of Finance 54:
165201
第8章 证券投资研究未来展望
8.1投资策略研究的成果
8.2投资策略研究对金融投资界的指导作用
8.3投资策略研究面临的问题
8.4投资策略研究的新动力
8.5中国资本市场投资研究
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