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信息不对称资本市场的实验研究 总被引:17,自引:0,他引:17
我们采用经济学实验研究方法构建了信息不对称的实验室资本市场,研究信息是否可以通过市场迅速传递。实验结果表明,在信息不对称的情况下,资本市场是非有效的;市场对信息的传递和价格反应是有条件的而且也是需要时间的;资本市场中的投资者并非完全理性,而是具有认知和行为偏差的普通人,存在过度自信和过度交易的情况;信息不对称还可能引起市场操纵行为,从而导致价格泡沫的形成。 相似文献
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西方金融投资学的主流观点是以有效市场假说为基础 ,以均衡、线性思维、标准计量模型优化求解为主要特征的。它们受到广泛的实证检验,是现代资本市场理论的基石。协同市场假说尤其是分形市场假说等新的更为广义的非线性理论的出现 ,为资本市场研究和投资策略设计开创了一种新视角和新方法 ,并可能重新构造资本市场理论框架 相似文献
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YANG Xiong-hui 《中国会计电算化》2009,(21):95-98
10 stock sectors are selected in Shanghai and Shenzhen stock market's as samples. By event study, the change of stock's cumulative abnormal return rate around the data of annual report disclosure was analyzed among the year 2004-2008. The market reaction pattern of such kind of news was summarized in order to test the efficiency of China's stock market and its trend before and after the comprehensive completion of the Share-trading Reform and the imple- mentation of new Accounting Standards. The conclusion is that Chinese stock markets response more accurately to ROE and EPS; its efficiency continued to decline in 2005 and 2006, but there was a gradual increase in 2007 and in 2008; and in general the capital market do not reach the semi-strong efficiency, but the machinery industry and biopharmaceutical industry have done. 相似文献
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中国股市价值反转投资策略有效性实证研究 总被引:41,自引:1,他引:40
本文以中国深沪A股股票市场为考察对象 ,分析了价值反转投资策略的有效性。作者通过实证分析发现 :在中国深沪A股股票市场上 ,以帐面价值与市场价值比 (B M)、B M GS等指标构造的价值反转投资策略可以产生显著的超额收益率 ,并且其显著程度因持有期不同而不同。接着 ,作者利用CAPM模型、Fama French三因素模型并引入了协偏度 (coskewness)和协峰度 (cokurtosis) ,构造出多风险因子模型来解释价值反转投资策略超额收益率。我们发现 :在经过传统风险因素调整后 ,价值反转投资策略效果依然明显 ;CAPM模型无法解释价值反转投资策略超额收益率 ;Fama French三因素模型对价值反转投资策略超额收益率的解释能力最为显著 ,但对于有些价值投资策略 ,在Fama French三因素基础上加上协偏度和协峰度因子后 ,模型的解释能力有所提高 相似文献
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Erik R. Lidén 《European Journal of Finance》2013,19(8):731-748
Abstract This paper analyses the initiated and changed recommendations published in six well-known Swedish newspapers and business magazines for the period 1996–2000 using a buy-and-hold abnormal returns (BHARs) approach. The results distinguish between recommendations from analysts and journalists. Buy recommendations were misleading investors, whereas sell recommendations were leading them correctly, overall yielding returns in line with the market. This asymmetry is due to positive information from the management of the company being more intricate to interpret than negative. Both good and bad information provided by the management is generally positively biased, a phenomenon influencing both analyst and journalist recommendations. Following buy and sell recommendations from analysts yielded BHARs in line with those from journalists, which in turn generates returns in line with their peers. Going short in the recommended stocks, irrespective of type and origin, would lead to a 24-month BHAR of 14%. 相似文献
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Following recent judgment of the Supreme Court of US (June 2014), several commentators had declared that “Securities class actions are here to stay” (insidecounsel.com—September 2014, 11). This paper provides a critical perspective on this judgment, which “implicates substantive issues at the intersection of economic theory, financial markets, and securities regulation” (128Harv. L. Rev. 291 2014–2015, 291), and shows that we must be much more careful. This recent judgment is based on the Fraud on the Market Doctrine, which was introduced in 1973 in order to preserve the class action procedure in securities fraud litigation. The characteristic of the Fraud on the Market Doctrine is to have been structured from one of the most popular financial theory: Efficient Market Hypothesis. In this paper, by analysing the implementation of the Efficient Market Hypothesis in Fraud on the Market Theory, we argue that if the Supreme Court had to take position for a second time about the Fraud on the Market Doctrine it is due to the practical difficulties inherited from Efficient Market Hypothesis and that have raised several problems to the US courts, including the Supreme Court. This issue is illustrated by the definition of Efficient Market Hypothesis lawyers used (“most” vs “all”/“fully”). As this paper shows, if “Securities class actions are here to stay”, the opportunity to open such a class action is strongly reduced in the facts. 相似文献
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Abstract This paper provides a systematic review of the weak‐form market efficiency literature that examines return predictability from past price changes, with an exclusive focus on the stock markets. Our survey shows that the bulk of the empirical studies examine whether the stock market under study is or is not weak‐form efficient in the absolute sense, assuming that the level of market efficiency remains unchanged throughout the estimation period. However, the possibility of time‐varying weak‐form market efficiency has received increasing attention in recent years. We categorize these emerging studies based on the research framework adopted, namely non‐overlapping sub‐period analysis, time‐varying parameter model and rolling estimation window. An encouraging development is that the documented empirical evidence of evolving stock return predictability can be rationalized within the framework of the adaptive markets hypothesis. 相似文献
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郭文英 《首都经济贸易大学学报》2004,6(5):47-50
行为金融学是当前金融学领域研究的热点。与现代经典金融学不同,行为金融学研究中纳入人的心理行为,成为沟通现实和理论的一种方法。本文从有效市场假说(EMH)入手,对行为金融学的产生背景,发展历史、现状加以综述。 相似文献
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本文针对国内外实证研究中出现的不符合有效市场假说之异象进行了归纳和分析 ,并指出对异象的深入研究所具有的理论价值和实践意义。 相似文献