( ) ,Stulz(1981) 3 :,Martin Rey(2004) ;, ; Glassman Riddick(2001) Ahearne (2004) Fidora (2007),,,,Tesar Werner(1995) Warnock(2001) (2005) (Frenc

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1 * A 109 (Home bias) French Poterba(1991),Coval Moskowitz(1999) Huberman(2001) (Home bias in home) (French and Poterba, 1991; Tesar and Werner,1995; Piet and Rosanne, 2007; Wioletta and Jordi, 2009) ;,,?? (Gu et al., 2007) * : ; (NCET ); ( ); (09YJA790169,09YJCZH103,09XJC630013); ( ); (SWJ- TU09CX089,SWJTU09ZT32)

2 ( ) ,Stulz(1981) 3 :,Martin Rey(2004) ;, ; Glassman Riddick(2001) Ahearne (2004) Fidora (2007),,,,Tesar Werner(1995) Warnock(2001) (2005) (French and Poterba, 1991; Suh, 2005),Coval Moskowitz (1999) Kang (Coval and Stulz(1997) Portes Rey(2005) Moskowitz, 1999; Wioletta and Jordi, 2009) French Poterba(1991),, Hatchondo(2008),Coval ;Nieuwerburgh Veld- Moskowitz (1999) kamp(2009) Mondria Wu (2010),,,Brennan, Suh(2005),Mishra(2009) Huberman(2001), (Familiarity) 3 Solnik(2008), Magi Black(1974) (2009) (Narrow framing)

3 , (Karlsson and Norden, 2007) (Beugelsdijk and Frijns, 2010), Seasholes(2004) Froot Ramadorai(2008), (Piet and Rosanne, 2007),,,,,, (Gu et al.,2007), (Das and Chen,2007) 3 :(1)? (2),? 3 (Wysocki,1999; Gu et al., 2006; Peter et al., 2006; Chen et al.,2008) Michael(2003) (Poster) Chen (2008),,? (3) ( (Gu et al., 2007) ) ( ), (Wysocki, 1999; Das and Sisk, 2003; Antweiler and Frank, 2004),

4 ( ) A B (Wasko and Faraj, 2000; Ma and Agarwal, 2007; Asvanund et al., 2004; Butlter, 2001) E(R B,A )=E(C A )+E(ε B,A ) (3) E(R B,B )=E(C B )+E(ε B,B ) (4),E(R A,B )=E(C B )+E(ε A,B ) (5) (Birchler and Butler, 2007) E(ε A,A )=E(ε B,A )=E(ε B,B )=E(ε A,B )=0; (Limited : attention) (Cognitive biases) Simon (1955) E(ε B,A )=E(ε A,B )=0 (6),Kahneman(1973) (7) (8) E(R A,A )>E(R B,A ) (7) E(R B,B )>E(R A,B ) (8) (Barber (7) (8) A B and Odean, 2008),A B,, H1:,,A A ;, A B,, ; B A ; B B ; Kang ( Stulz(1997) Coval Moskowitz(1999) ),Huberman(2001) Portes Rey(2005) Solnik(2008) 1 1., : C i i (Coval and S i Moskowitz,1999; Portes and Rey,2005) R s,i,r s,i : R s,i =C i +ε j,i S j (1) : E(R A,A )=E(C A )+E(ε A,A ) (2) E(ε A,A )>0,E(ε B,B )>0, C A C B (2)~(6) (Hatchondo,2008),ε j,i i j

5 , H2:, 2.,Huberman(2001),, (Forker, 1992; Jaggi and Tsui, 2007),,,, H3:,, ; Hong (2008) Hong (2008),, ( ), D 2,,, ;,P 1 D 1 D 1 P 1 P 1 P 1 ;,, ( ) (Huberman,2001) D 2 P 2 P 2 >P 1,

6 ( ) , H4:, H4,,,,, Hong (2008) H4 = Hong (2008) (LB), H ,,,, : (BS) (BA) { =, 1 / BS IP B!"# 2. BA A $ % A!" # &B $ () Eps *+,-/./012 : 3., (DOP)= (Cheung and Ng, 1992; Fama and French, 1996; Abarbanell and Bushee,1997), (BS) = A A 1 B B (EPS)= Lb { 0 A 1 B 8934:(/2:3(;< 89 =>?@A34 8!BCD 89!EF GH P *I(JGH K Dop LM A N0%B N1 + O Be *I+ O/./012 PQ Size *I2RS!TUV

7 2 BS=α 0 +α 1 Eps+α 2 Lb+α 3 Dop+ε (9) :α 0,α 1 ~α 3,BS Eps (A ) (B ) Lb Dop 1,ε PT ST , CSMAR( ) , P=β 0 +β 1 Eps+β 2 Be+β 3 Size+β 4 BS+ε (10) F10 :β 0,β 1 ~β 4,P Eps Be (guba.eastmoney. Size BS 1,ε com) ChinaRank 3, IP 109, 2 Pearson IP, IP 3, 4, 1% ; ; H4,,t ; 1. 2 t 1, BS H1, BA Eps : Lb (1) P Be Size Pear son i BS BA Eps Lb P Be Size BS j BA (2) Eps Lb i P j? Be Size H2 H3 :

( ) 2011 1 H1, H3, 5, (VIF) 10 R 2 H2 H3 ( ), 11.

8 ( ) H1, H3, 5, (VIF) 10 R 2 H2 H3 ( ), 11.3% 10% H2 6,, 5% (VIF) 10 R 2 46% 5% H (VIF) 10 7, 5% , ~2009 7, H4-59 -

9 ,, A, 109,, ,, :(1), 1% 3 1, ( 2) 3,, ( 3) ( istock.jrj.com.cn) (2) ;(3) ; 1 2 (1) ;(2) (1)Abarbanell J. S. and B. J. Bushee, 1997, Fundamental Analysis, Future Earnings, and Stock Prices, Journal of Accounting Research, Vol. 35, pp.1~24 (2)Ahearne A., Griever W. and F. Warnock, 2004, Information Costs and Home Bias: An Analysis of U.S. Holdings of,, Foreign Equities, Journal of International Economics, Vol.62, pp.313~336. (3)Antweiler, W. and M. Frank, 2004, Is All That Talk Just Noise? The Information Content of Intemet Stock Message Boards, Journal of Finance, Vol.59, pp.1259~1295. (4)Asvanund A., Clay K., Krishnan R. and M. D. Smith, 2004, An Empirical Analysis of Network Externalities in Peer-to-Peer Music-Sharing Networks, Information Systems Research, Vol.15, pp.155~174. (5)Barber B. M. and T. Odean, 2008, All That Glitters: The (3) Effect of Attention and News on The Buying Behavior of Individual and Institutional Investors, Review of Financial Studies,Vol. 21, pp.785~818. (6)Beugelsdijk S. and B. Frijns, 2010, A Cultural Explanation of The Foreign Bias in International Asset Allocation,Jour- nal of Banking and Finance, Forthcoming., (7)Birchler, U. and M. Butler, 2007, Information Economics, Routledge. (8)Black F., 1974, International Capital Market Equilibrium with Investment Barriers, Journal of Financial Economics, Vol.1, pp.337~352. (9)Brennan, M. J., H. H. Cao, N. Strong and X. Xu, 2005, The Dynamics of International Equity market Expectations,, Journal of Financial Economics, Vol.77, pp.257~288. (10)Butler B. S., 2001, Membership Size, Communication Activity and Sustainability:A Resource -Based Model of Online, Social Structures, Information Systems Research, Vol.12, pp

10 ( ) ~362. (11)Chen, H. W. M. et al., 2008, Melting-Pot or Homophily? An Empirical Investigation of User Interactions in Virtual Investment-Related Communities, University of Texas at Austin, McCombs Research Paper Series. (12)Cheung Y. W. and L. K. Ng, 1992, Stock Price Dynamics and Firm Size: An Empirical Investigation,The Journal of Finance,Vol.47, pp.1985~1997 (13)Coval J. D. and T. J. Moskowitz, 1999, Home Bias at Home: Local Equity Preference in Domestic Portfolios, Journal of Finance, Vol.54, pp.2045~2073. (14)Das S.R. and Mike Y. Chen, 2007, Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web, Management Science, Vol.53, pp.1375~1388. (15)Das S. R. and J. Sisk, 2003, Financial Communities, Santa Clara University, Leavey School of Business, Dept of Finance, Working Paper. (16)Fama E. F. and K. R. French, 1996, Multifactor Explanations of Asset Pricing Anomalies, The Journal of Finance, Vol.51, pp.55~84 (17)Fidora M., Fratzscher M. and C. 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An Analysis of Foreign Portfolio Equity Ownership in Japan, Journal of Financial Economics, Vol.46, pp.3~28 (30)Karlsson, A. and L. Norden, 2007, Home Sweet Home: Home Bias and International Diversi?cation Among Individual Investors, Journal of Banking and Finance, Vol.31, pp.317~333. (31)Ma M. and R. Agarwal, 2007, Through a Glass Darkly: Information Technology Design,Identity Verification and Knowledge Contribution in Online Communities, Information Systems Research Vol.18, pp.42~67. (32)Magi, A., 2009, Portfolio Choice, Behavioral Preferences and Equity Home Bias, Quarterly Review of Economics and Finance, Vol.49, pp.501~520. (33) Martin, P. and H. Rey, 2004, Financial Super-markets: Size Matters for Asset Trade, Journal of International Economics,Vol.64, pp.335~361. (34)Michael D., 2003, Internet Investment Advice: Investing with a Rock of Salt, Financial Analysts Journal, Vol.59, pp. 65~77. (35)Mishra A. 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11 MANAGEMENT WORLD No for the said explanation, which means that, because of investors aversion for loss, the degree of investors response to bad information is greater than the degree of their response to good information. Between the Structure of the Board of Directors of Small-and Medium-sized Enterprises And the Selection of Strategies Xie Xuanli and Zhao Shengli Starting from the theory of the agency by agreement and the theory of the reliance on resources, and taking as the object of our study the listed companies in the group of the small - and medium -sized firms listed in Shenzhen securities market, we have explored the relationship between the structure of the board of directors of small- and medium-sized firms and their selection of strategies. The results of our study demonstrate that the structure of the board of directors has a noticeable impact on companies strategy of diversification, and that, Compared with the theory of the agency by agreement, the theory of the reliance on resources can better explain the above-mentioned impact. In our opinion, because the scale of small- and medium-sized firms is small and the extent of the owners involvement in the operation and management of the firms is relatively great, the problem of the agency by agreement is not obvious, and the lack of resources is the main bottleneck that restrains the expansion in diversification of many small- and medium-sized firms. The Home Bias in the Exchange of the Stock Information and its Impact on Stock Prices: Evidences fro the Stock Forum Dong Dayong and Xiao Zuoping By the use of the data, of A shares of Shanghai Securities Market and Shenzhen Securities Market, of 109 listed companies registered in Sichuan Province and Liaoning Province, and the data posted on East-money Forum Bar, we have, in this article, made a study on the existence of the home bias in the exchange of information, its influencing factors and its impact on the pricing of assets. The results of our study show that there exists a home bias, that in the exchange of the stock information, that, in the forum about stock, investors have a great probability to participate in the communication in the information on local shares, that, with limited attention, the fundamentals and the localization degree of impact on the home bias in communication, that earnings per share has a significantly negative effect on the ratio of the local communication, that the proportion of the localization of company s operation of business has a noticeable positive bearing on the proportion of the local communication, that the home bias in the exchange of information has a noteworthy influence on stock prices, and that, the greater the proportion reached by the local investors in the exchange of information, the higher the stock prices. Editor in Chief: Vice Chief_Editor: General Editor: President: Sponsor: Add: Tel: Li Kemu Tian Yuan,He Shaohua,Lu Jian & Jiang Dongsheng Xie Yue Gao Yanjing Development Research Centre of the State Council,P.R.C. No.8 Dazhongsi,Donglou,Beijing,China (010) MANAGEMENT WORLD Original Name:ADMINISTRATIVE WORLD

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untitled RESEARCH REPORT 2000~2006 1. 2. 2000 2001~2006 3. 4. A-HA A-HH A-HAA-H H 2 3 1992 9 10 1993 10 IPO 14 Black(1974) P/E ratiocost of capitalsarkissian and Schill (2004) home bias home premium + 2005 1 2