: Barber Odean (2000) 78,000 ( ) :,,,: (1)? (2),? (3),? :, ,,, : (1) ; (2),, ; (3) ; (4),( ), 1. ( Event Study

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1 : 3 ( ) ( ) :,, ,,, :,,,,,,,,, (Edwards,1995 ;Rabin,1998 ;Shiller,1999 ;Shleifer,2000 ;Shefrin,2000 ; Hirshleifer,2001),,,, (anomalies), (2001) : ,,46 %, (2001), , 30, 60 %(,2001 ;,1998 ;,1998),,, Benos(1998) Odean (1998a),, :,,,(), Benos(1998) Odean(1998a),,?? Odean (1998b) :,,, Grossman Stiglitz (1980) : (),,, 3 54

2 : Barber Odean (2000) 78,000 ( ) :,,,: (1)? (2),? (3),? :, ,,, : (1) ; (2),, ; (3) ; (4),( ), 1. ( Event Study Methodology),, Fama Fisher Jensen(1969),Brown Warner (1980,1985) : (event) (event window),, : (Constant Mean2Return Model) (Market Model), 2 F i, t = lnq i, t, F i, t = i + i, t,e( i, t ) = 0,Var ( i, t ) = i,t ;i ; Q i, t i t ( ) ; F i, t Q i, t (1), i CF i ( ) i t : AF i, t = F i, t - CF i (2) () ( ),,7 ( 1) , , , , :, , , (1) 55

3 :, (estimation window) (event window) (post2event win2 dow) ( 1) 1, T 0 - T 1, T 1 - T 2, T 2 - T 3,0 ( ),, 30, i t CAF i, t, (1), i CF i, (2) AF i, t,af i, t,caf i, t CA F i, T1 = A F i, T1, CA F i, t = CA F i, t- 1 + A F i, t,t = T 1 + 1,,T 2, t CA F i, t = A F i, s,t = T 1,T 1 + 1,,T 2 s = T 1 N,, t : CA F t = 1 N N CA F i, t,t = T 1,T 1 + 1,,T 2 i = 1 { CAF t }t, (H 0 ) :,CAF = 0 ; (H 1 ) : CAF 0 t ( n - 1) = CAF SΠ n, S (CAF t = X t,s =,n = T 2 - T = 30, n - 1 = T 2 - T 1 = 29 2.,: 1 n - 1 ( X t - X) 2 ), n t = T 1 : ( T - )Π :, R p : ( T - )Π :, R s :,0175 %,, 115 % (1) t ;T 41 ( ) 82 ( ) ;DR t + T = R p t + T - R s t + T ;C,115 % (N 1 ), - <,, H 0 : DR T C ;H 1 : DR T < C (N 2 ), - < 0,, (2) 56 (a) H 0 : DR T 0 ;H 1 : DR T < 0 t P T R p t + T : T 2

4 R p t+ T = P R p i, t+ T i = 1, P, R p i, t + T t i T, : R p i, t+ T = P i, t+ T - P p i, t P p i, t, P p i, tt i, P i, t + T T,t S T R s t + T : R s t+ T = S R s i, t+ T i = 1, S i R s i, t + T, (b),(a) j R p j, T, R s j, T DR j, T = R p j, T - R s j, T (3) { DR t + T }{ DR j, T }, :t t (Bootstrapped Skewness2Adjusted t2statistic) t, : t ( n - 1) = DR T - 115, SΠ n, DR T ;n ;S,: S = 1 n - 1 n k = 1 ( DR T, k - DR T ) 2 Barber Lyon(1999a),,,t,Johnson(1978), Hall (1992) Sutton(1993) t :, S = DR T S, ^= n ( DR T, k - DR T ) 3 k = 1 ns 3 3. t sa ( n - 1) = n ( S ^S n^ ),,,^ Barber Odean(2000), ; ( ),,, ;,,,, (1) :,, 0175 %,, () = 115 % (2) : () F a (3) : (),,, h R net h R net h = m ( P gr i - C i ) i = 1 m, F i i = 1 : 57

5 :, P gr i i, C i i, F i i,,m n : R net = 1 n R net h, n h = 1 (4) :, A.,,, B.,,, 1.,,,, 23 2 t, 95 %29, t > 11699,, 2 3, :,,,,,, 2.,,, 3 3,, N 1 N 2 95 %,? A. :,,,,,, B. :,,,,,, 58

6 CAF t (01000) (01000) (01000) : t 59

7 : C. :, 3 ( ), R p t + T (,1995 ;,1998),, R s t + T ,, DR T N 1 (01001) (01026), N 2 (01001) (01039),: N 1 N 2 ( ),, :, 3., (HIGH, F a > 300) (MID2 DLE,100 < F a < 300) (LOW,0 < F a < 100),20,, 4 4 (HIGH) (MIDDLE) (LOW) H M L H M L H M L H M L H M L H M L H M L H M L H M L H M L H M L H M L H M L H M L H M L H M L H M L H M L H M L H M L , % ; (3 ) 8132 % 5 60

8 ( ) 1 (low) 2 (middle) 3 (high) % % % , ( 4) 4 :,, : A.,, (6 ),,, B., ,2200, %,,,, C.,,,,,,,,,,,,,,,,,,,,,,,, 61

9 :,,,, :,,,,,,,,,,,,,,,,,,,, : 1.,,,, ;,,,, 2.,, 3.,,,,,,, 4.,,,,,,,,2000 :,2000,2001 :, J,2001 :, :,1995 :, :,,1995 :, 4,pp ,,1998 :, 2,,1998 :, 5,pp ,1998 :, 11,pp Benos, Alexandros V.,1998,Aggressiveness and Survival of Overconfident Trades,October, 1 (3 4). Benos, Alexandros V.,Overconfidence Speculators in Call Markets : Trade Patterns and Survival, Journal of Financial Markets, Vol. 1, pp Brad M. Barber, Terrance Odean,2000,Trading Is Hazardous to Your Wealth : The Common Stock Investment Performance of Individual In2 vestors, Journal of Finance, Vol. LV, pp , April Daniel Kahmeman, Mark W. Riepe,1998,Aspects of Investor Psychology, Journal of Portfolio Management, Vol. 24, No. 4, Summer. DeBont, W. F. M.,1998,A Portrait of the Individual Investor, European Economic Review, Vol. 42, pp DeBont, W. F. M. and R. H. Thaler.,1985,Does the Stock Market Overreact?, Journal of Finance, Vol. 40, pp Edwards, Kimberley D.,1995,Prospect theory : A Literature Review, International Review of Financial Analysis 5, pp Fama, Eugene F., Kenneth R. F.,Common Risk Factors in Returns on Stocks and Bonds, Journal of Financial Economics, Vol. 33, pp. 62

10 Fama, Eugene F.,Efficient Capital Markets, Journal of Finance, Vol. 46, pp Grossman, Sanford J. and Stiglitz, Joseph E.,1980,On the Impossibility of Informationally Efficient Market, American Economic Review, 70 (3), pp Hirshleifer, David,2001,Investor Psychlogy and Asset Pricing, Journal of Finance, Vol. 56, pp John R. Nofsinger and Richard W. Sias,1999,Herding and Feedback Trading by Institutional and Individual Investors, Journal of Fi2 nance, Vol. LIV. No. 6, December. Kahneman, Daniel, and Amos Tversky,1973,On the Psychology of Prediction, Psychological Review 80, pp Narasimhan Jegadeesh,1991,Seasonality in Stock Price Mean Reversion : Evidence from the U. S. and the U. K., Journal of Finance, Vol. No. 4, September. Odean, Terrance,1998a,Volume, Volatility, Prices, and Profit When All Traders Are Above Average, Journal of Finance, December, 53 (6), pp Odean, Terrance,1998b,Do Investors Trade Too Much?, American Economic Review, December, pp Rabin, Matthem,1998,Psychology and Economics, Journal of Economics Literaturey, 36, pp Robert J. Shiller,Market Volatility and Investor Behavior, Stock Market Volatility, Vol. 80, No. 2. Shefrin, H. and M. Statman,The Disposition to Sell Winners too Early and Ride Losers too Long, Journal of Finance, Vol. 40, pp Shefrin, H.,2000, Beyond Greed and Fear, Boston MA : Harvard Business School Press. Shiller, R. J. Human Behavior and the Efficiency of the Financial System, in J. Taylor and M. Woodford ed., Handbook of Macroeconomics. Shleifer, A,2000, Inefficient Market, Oxford : Oxford U. Press. William F. Wempe, Jim A. Seida, 2000,Do Capital Gain Tax Rate Increases Affect Individual InvestorsTrading Decisions?, Journal of Accounting and Economics 30, pp ( : ) ( :) ( 11 ),1995 :,,2001 :, 6,1998 :,,1991 :, 4 Aghion. P. and P. Howitt,1992,A Model of Growth Through Creative Destruction,Econometrica,60,pp Barro,R, and X. Sala2I2Martin,1992,Convergence, Journal of Political Economy 100,pp Barro,R,1991,Government Spending in A Simple Model of Endogenous Growth,Journal of Political Economy, 99, pp Cass,D., 1965,Optimum Growth in an Aggregate Model of Capital Accumulation, Review of Economic Studies,32,pp Grossman,G and E Helpman,1991,Quaterly Ladders in the Theory of Growth,Review of Economic Studies, 58,pp Hall, R., and C.,Jones,1999,Why Do Some Counties Produce So Much More Output Per Work Than Others, Quarterly Journal of Eco2 nomics,114,pp Harris,R, 1995, Using Cointegration Analysis in Econometric Modeling,Printice Hall. Jones,C, 1995,Time Series Test of Growth Models,Quarterly Journal of Economics,110,pp Kremer,M.,1993,Population Growth and Technological Change : One Million B. C. to 1990, Quarterly Journal of Economics,108,pp Lucas,R.,1988,On The Mechanics of Economic Development,Journal of Monetary Economics,22,pp Romer Mankin,G. D., and D.,Weil, A. 1992,Contribution to the Empirics of Economic Growth, Quarterly Journal of Economics,107,pp Romer,P.,1986,Increasing Returns and Long2Run Growth,Journal of Political Economy,94,pp Romer,P,1990,Edogenous Technological Change, Journal of Political Economy,98,pp Romer. D : Advanced Macroeconomics, McGraw Hill. Solow,R., A. 1956,Contribution to the Theory of Economic Growth, Quarterly Journal of Economics,70,pp Solow,R.,1957,Technical Change and the Aggregate Production Function, Review of Economics and Statistics,39,pp ( : ) ( : ) 63

11 Investigations on the Transaction Behaviors of Chinese Individual Securities Investors Li Xindan,Wang Jining & Fu Hao (Nanjing University) The research on the transaction behaviors of securities investor is one of the important academic approaches of the efficiency of se2 curities market. On the basis of the transaction data of 7894 individual investors from a securities transaction department, demon2 strations were separately made on thepolicy2dependent bias,over2confident biasand the hazard of over2trading to investors wealth. The outcomes show that these biases really lie in the transaction behaviors of individual investors. Some suggestions are put forward to eliminate these biases. Key Words : individual investor ; cognitive bias ; transaction behaviors JEL Classification : G140, G200 A Positive Study in ClientsDealing Behavior under the Fluctuating Commission System Hu Guanjin ( Guo Sen Securities Co.Ltd) This paper holds that the core of the securities company s brokerage business is the pricing of commission, while the clientsdeal2 ing behavior is the important foundation of the pricing. Based on relative behavioral finance research, this article conforms proper commission pricing model and bring forward innovative suggestions on the mode of brokerage business management, which is con2 cluded from massive client trading data and character analysis. Key Words : fluctuating commission system ; behavioral finance ; commission pricing model JEL Classification : G200, G280,D240 Study on the Mechanism of Behavioral Distortion in China s Medical System Jiang Tianwen & Fan Zhihong ( Huazhong University of Science and Technology) In China s current medical system, it is a common practice for some players (such as doctors and administrative departments of hospitals) to deviate from their normal behavioral mode (for example, they collude with the pharmaceutical representatives). Aim2 ing at opening out the rationale of such aberrant behaviors and based on the N2player Game Theory and the Principal2Agent Theo2 ry, the research shows that it is the absolute control of the government in the game that deduces the efficiency of hospitals (defined as the formal organizations of N2player coalition) and aggravates the risk of principal2agent in hospitals. Inefficiency of hospitals induces and causes aberrant behavior and should account for the invasion of the medical2drug collusions ( defined as the informal organization into the medical system). Furthermore, we prove that some of the reforms in practice are unable to eradicate the col2 lusions. Key Words : Medical System ; Game with Coalitions ; Informal Organization ; collusion JEL Classification : I180 C710 94

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