【“羊群效应”与股票收益分布的厚尾特性】

()19994716,,,,:,,,:,,,,-:J=L4R4-3L44,R,,,,(1)1Figure1.Returndistribution,,,,,,,:,,,04©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.Scharfstein;Grinblatt:TruemanWelch,,:,,;,,:Banerjee,,,:,,,:,,;:,,,,,,,N,,tx(t),5i,5i+1-10,t:D(t)=6Ni=1i(t);{P(5i=+1)=P(5i=-1)=a,P(5i=0)=1-2a}(1),a,1-2a:$x=x(t+1)-x(t)=1K6Ni=1i(t)=1KD(t)(2)14©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.K,,,(),,(),,,,,:(1),,,,(2),:,,,;N(N),c;nc,W:01-c1,W:P(W)AW5ö2exp-(c-1)WW0:nc-N1-c2Ncö2NN(0,1),nlc=N(1-cö2),:XA=AWA,(2):$x=1K6Ni=1i(t)=1K6ncA=1XA=1KD(t)(2)’G(x)XA,:F(x)=P(XAxûXA0),XA:G(x)=P(XAx)=(1-2a)H(x)+2aF(x)(3),H0G(x),XA(1-2a),(2):2anlc2aN(1-cö2)=Norder(1-cö2),Norder=2aN,,:P($x=x)=6Nk=1P(nc=k)6kj=0kj(2a)j(1-2a)k-jfáj(Kx)(4)24()©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.D,,:L2(D)=Norder(1-cö2)L2(XA)(5)L4(D)=Norder(1-cö2)L4(XA)+3N2order(1-cö2)2L2(XA)2(6),():J(D)=L4(XA)Norder(1-cö2)L2(XA)2=2c+1Norder(1-cö2)A(c)(1-c)3(7)A(c)(7):1,:,;,2,c,c1,A(c)0.5,Norder1000,J103(),,,:c1,,c1,,,,c,,[1][]B...[2]AndreaDevenow,IvoWelch.RationalHerdinginFinancialEconomics.EuropeanEconomicReview40325,April1996.[3]BakP.,M.Paczuski&M.Shubik.Pricevariationsinastockmarketwithmanyagents.SantalFeIn2stituteWorkingpaper,1996.[4]HausmanJ.,LiA.W.&MacKinlayC.Anorderedprofitanalysisoftransactionstockprices.Journaloffinancialeconomics,31,1992.[5]Bannerjee,A.Asimplemodelofherdbehavior.OuarterlyJournalofEconomics,107,7972818,1992.[6]Bannerjee,A.,Theeconomicsofrumours.ReviewofEconomicStudies.60,1993.[7]GrinblattM.,&TitmanS.Momentuminvestmentstrategies,portfolioperformanceandherding:astudyofmutualfundbehavior.AmericanEconomicReview,(5),1995.[8]ScharfsteinD.S.&SteinJ.C.Herdbehaviorandinvestment.AmericanEconomicReview,80,1990.34©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.