- 1-1 Bayes 1 1 A B P AB =P A *P B
- 2 - Russell Thaler 2 1 2 unexpected dramatic P t =P t-1 + P t t P t-1 t-1 2 T.Russell and R.Thaler, The Relevance of Quasi-Rationality in Competitive Markets. American Economic Review 75(1985), forthcoming.
- 3-1965 (Fama) 3 1965 3 3 Fama, The Behavior of Stock Market Prices. The Journal of Business 1965
- 4 - (J.M.Keynes) 4 (Williams ) 5 Arrow Kahneman Tversky 4 J.M.Keynes, The General Theory of Employment, Interest and Money. London: Harcourt Brace Jovanovich, 1964. 5 J.B.Williams, The Theory of Investment Value. Amsterdam: North-Holland, 1965.
- 5-6 (Debondt ) (Center for Research in Security Prices) 7 1926 1982 35 35 2-5 1987 8 1985 1 2 (Keim ) 9 (Reinganum 3 (Chan ) 11 CAPM beta 6 K.J.Arrow, Risk Perception in Psychology and Economics. Economic Inquiry 20 (January 1982). 7 Werner.F.M.De Bondt and Richard H.Thaler, Does the Stock Market Overreact Journal of Finance 1985 8 Werner.F.M.De Bondt and Richard H.Thaler, Further Evidence On Investor Overreaction and Stock Market Seasonality. Journal of Finance 1987 9 Donald B. Keim, Size Related Anomalies and Stock Return Seasonality. Journal of Financial Economics(1983) 10 Marc R. Reinganum, The Anomalous Stock Market Behavior of Small Firms in January Empirical Tests for Tax-Loss Selling Effects. Journal of Financial Economics(1983) 11 K.C.Chan, The User of Information in Market Values for Estimating Time-Varying Stock Betas. Working Paper, Faculty of Finance, Ohio State University.(1986)
- 6 - (Daridson ) 12 1989 AMEX (Zarowin ) 13 1989 1990 5 1. 12 Daridson, A Note on The Behavior of Securities Return: A Test of Stock Market Overreact Unefficiency. Journal of Financial Research,fall(1989) 13 Zarowin, Does the Stock Market Overreaction to Corporate Earnings Information. Journal of Finance(1989)
- 7 - Bench Mark Rm CAR Ft-1 t-1 Rjt j t Rjt Ft-1 0 1996 5 1 1996 8 23 1997 10 23 1998 3 25 1998 7 1 ( 1)
- 8-2. 1 1 A A B 1995 1 1 P(t) B P(t-1) M P t = P t-1 C P t-1 S P t = P t-1 P t P t-1
- 9 - S1 D P t =P t-1 P t P t-1 S1 M 1 95.1.1 96.8.22 95.1.1 96.4.30 96.5.1 96.8.22 2 96.5.1 97.10.22 96.5.1 96.8.22 96.8.23 97.10.22 3 96.8.23 98.3.24 96.8.23 97.10.22 97.10.23 98.3.24 4 97.10.23 98.6.30 97.10.23 98.3.24 98.3.25 98.6.30 5 98.3.25 98.12.6 98.3.25 98.6.30 98.7.1 98.12.6 3 20 20 = / = / = :
- 10 -
- 11 -
- 12 -
- 13 -
- 14-2 3 4
- 15-5 1989
- 16 -
Degree papers are in the Xiamen University Electronic Theses and Dissertations Database. Full texts are available in the following ways: 1. If your library is a CALIS member libraries, please log on http://etd.calis.edu.cn/ and submit requests online, or consult the interlibrary loan department in your library. 2. For users of non-calis member libraries, please mail to etd@xmu.edu.cn for delivery details.