A 1

2 1 2 1.1 2 1.2 6 1.3 7 2 9 2.1 9 2.2 10 3 11 3.1 12 3.2 13 3.3 15 4 20 4.1 21 4.2 22 22 2

Merrill Lynch Bernstein 18 sell-side indicator 18 60 sell-side indicator 1 1.1 1952 (H.Markowitz) 3

(Economics of uncertainty) (portfolio selection ) 1952 (capital asset pricing model) Sharp Lintner Mossin 4

(Capital Market Line) (Security market line) (Robert Merton) (R.Lucas) (Cox) (option pricing theory) (Black) (Scholes) 1973 5

(Cox)1979 Black Scholes (Arbitrage pricing theory) (Ross)1976 (law of one price) (effect market) 6

(Random walk) 1.2 EMH 1987 10 19 20 BS Fama(1991) CAPM APT 7

CAPM APT CAPM APT CAPM APT CAPM APT CAMP EMH 1.3 1951 O K Burrel Possibility of An Experimental Approach to Investment Strategies Paul Slovic Bauman 1972 Psychological Study Of Human Judgement 8

Kahneman 2002 Tversky 1979 BAT APT BAPM CAPM BAPM 1994 CAPM CAPM BAPM CAPM 9

Dollar-cost Averaging strategy Time Diversification Strategy Counter Investment Strategy Momentum Trading Strategy 2 2.1 1985 Merrill Lynch (chief U.S. Strategist and chief quantitative strategist Bernstein the sell-side indicator In other words, it has historically been a bullish signal when Wall Street was extremely bearish, and vice versa 18 S&P500 40% Bernstein 18 10

2.2 90 2001.9 1998.10-2000.9 8 2001.10 1999 1 2000 2001.11 11

Bernstein sell-side indicator 60 sell-side indicator = *1000-1000 0-1000 3 2001 12

60 A A 3.1 A 2001 7 4 2002 12 31 362 72 f A t = σ f ρ f σ σ ρ f f t t σ f f t t f σ f σ A A -0.135 A t 13

-0.183 A A A A A A 1-1 1-1 A -0.65 A -0.68 A 3.2 A A P f f ) P t A t ( t 14

ft A 2001 7 4 A 1 2300 2200 2100 1 A 2 3 4 2000 1900 1800 1700 1600 1500 1400 1300 2001-7-4 2001-8-4 2001-9-4 2001-10-4 2001-11-4 2001-12-4 2002-1-4 2002-2-4 2002-3-4 2002-4-4 2002-5-4 2002-6-4 2002-7-4 2002-8-4 2002-9-4 2002-10-4 2002-11-4 2002-12-4 2003-1-4 2003-2-4 1 A 4 1 2 3 4 2003 1 4 1 2001 10 19 24 70% 2 2001 10 22 2002 1 18 13 15

62% 3 2002 1 21 2002 6 7 16 81% 4 2002 6 10 2003 1 3 27 62.5% 68% A 1 A 400 38 62 200 400 44 56 0 200 48 52-200 0 57 43-200 -600 62 38-600 80 20 16

3.3 Kenneth L. Fisher and Meir Statman Investor Sentiment and Stock Returns S&P500 Kenneth L. Fisher 2001 7 1 4 3 5 2001 10 22 2 17

1900 1850 1800 1750 1700 1650 1600 1550 2001-9-24 2001-9-26 A 5 1 2001-11-8 2001-11-6 2001-11-2 2001-10-31 2001-10-29 2001-10-25 2001-10-23 2001-10-19 2001-10-17 2001-10-15 2001-10-11 2001-10-9 2001-9-28 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 2 2001 10 22 5 2001 10 5 80% 10 16 10 20 35% 10 22 5 2001 10 22 5 70% 40% 2001 7 10 4 A 4 2 10 1 6.24 5 1 10 18

3 4 5 4 3 2002 1 22 2001 12 5 80% 2002 1 40% 10 1 22 1750 A 5 1 1700 0.9 0.8 1650 0.7 1600 1550 0.6 0.5 0.4 1500 0.3 1450 0.2 0.1 1400 0 2002-2-4 2002-1-31 2002-1-29 2002-1-25 2002-1-23 2002-1-21 2002-1-17 2002-1-15 2002-1-11 2002-1-9 2002-1-7 2001-12-31 2001-12-27 2001-12-25 3 4 6.24 2002 5 5 100% 5 21 6 2 20% 6 5 A 6.24 3 19

1850 A 5 1 1800 0.9 0.8 1750 0.7 1700 1650 0.6 0.5 0.4 1600 0.3 1550 0.2 0.1 1500 0 2002-7-8 2002-7-4 2002-7-2 2002-6-28 2002-6-26 2002-6-24 2002-6-20 2002-6-18 2002-6-14 2002-6-12 2002-6-10 2002-6-6 2002-6-4 2002-5-31 2002-5-29 2002-5-27 2002-5-23 2002-5-21 2002-5-17 2002-5-15 2002-5-13 4 6.24 6 26 28 5 80% 6 28 40% 6.24 7 10 10 5 2003 1 4 2002 11 5 80% 100% 2002 12 20% 12 15 2003 1 2 12 10 20

1550 A 5 1 1530 0.9 1510 0.8 1490 0.7 1470 0.6 1450 0.5 1430 0.4 1410 0.3 1390 0.2 1370 0.1 1350 0 2003-1-8 2003-1-6 2003-1-2 2002-12-30 2002-12-26 2002-12-24 2002-12-20 2002-12-18 2002-12-16 2002-12-12 2002-12-10 2002-12-6 2002-12-4 2002-12-2 2002-11-28 2002-11-26 2002-11-22 2002-11-20 2002-11-18 2002-11-14 5 5 4 2002 11 2003 1 1 2003 2 22 60 100 21

4.1 2002 11 2003 3 11 85 55 64% 17 10 59% A 6 2002 11 8 880 68% A 33.19 90 80 70 60 50 40 30 20 10 0-10 -20-30 -40-50 -60-70 -80-90 2002-11-1 2002-11-7 2002-11-13 2002-11-19 2002-11-25 2002-11-29 2002-12-5 2002-12-11 1000 900 800 700 600 500 400 300 200 100 0-100 -200-300 -400-500 -600-700 -800 A -900-1000 2002-12-17 2002-12-23 2002-12-27 2003-1-3 2003-1-9 2003-1-15 2003-1-21 2003-1-27 2003-2-11 2003-2-17 2003-2-21 2003-2-27 2003-3-5 2003-3-11 6 2003 1 4 3.3 22

4.2 20 Bernstein 23

[1] Alok Kumar,Charles M.C. Lee 2002, Individual Investor Sentiment and Comovement in Small Stock Returns, Cornell University, Department of Economics, JEL [2] Bernstein, Richard, and Satya D.Pradhuman 1994, A Major Change in Our Work II: Sell_side Indicator Gives a Buy Signal. Merrill Lynch Quantitative Viewpiont(Dec 20):1-4 [3] Bernstein, Peter L. 1996. Against the Gods: The Remarkable Story of Risk. New York: John Wiley & Sons. [4] Colin F. Camerer,George Loewenstein 2002, Behavioral Economics: Past, Present, Future, Carnegie-Mellon University Press [5] Fama, E. F., 1970, Efficient capital markets: A review of theory and empirical work, Journal of Finance 25, 383 417. [6] Fama, Eugene. 1991. Efficient Capital Market. Journal of Finance, vol.46, no. 5 (December): 1575 1617 [7] Hersh Shefrin,2000, Behavioral Portfolio Theory,JFQA,Vol.35,NO.2 [8] Hirshleifer, D., 2001, Investor psychology and asset pricing, Journal of Finance 64, 1533 1597. [9] Kahneman, D., and A. Tversky. 1979, Prospect Theory: An Analysis of Decision Making under Risk. Econometrica, vol. 47, no. 2 (March): 263-291. [10] Kahneman, D., P. Slovic, and A. Tversky, 1982, Judgment under Uncertainty: Heuristics and Biases. New York: Cambridge University Press. [11] Thaler,R.,1999, The End of Behavioral Finance. Financial Analysts Journal, Vol.55, Nov/Dec 1999. 24