上海股票市场异象：过度反应现象的实证证据与分析

军中绿花华东师范大学博士学位论文上海股票市场异象：过度反应现象的实证证据与分析姓名：郭强申请学位级别：博士专业：世界经济指导教师：张志超20060401上海股票市场异象：过度反应现象的实证证据与分析作者：郭强学位授予单位：华东师范大学参考文献(224条)1.AigbeAkhigbe.StephenJLarson.JeffMaduraMarketUnderreactionandOverreactionofTechnologyStocks2002(03)2.AIbertRL.HendersonGVFirmsize,overreaction,andreturnreversaIs1995(04)3.AIexanderGordon.EunCheol.SJanakiramananAssetPricingandDualListingonForeignCapitalMarkets:ANote19874.AllenDE.PrinceRThewinnerrloserhypothesis:SomePreliminarYAustralianevidenceontheimpactofchangingrisk19955.AhmetB.NusretCDomarketsoverreact?Internationalevidence19996.AnchourD.CHarvey.GHopkins.C.LangStockseIectioninemergingmarkets:PortfoliostrategiesforMalaysia,Mexico,andSouthAfrica19987.AndreassenP.KrausSJudgmentaIextrapolationandthesalienceofchange19908.AngJ.YMaTransparencyinChinesestocks:AstudyofearningsforecastsbyprofessionaIanalyst19999.BaileyWarren.ChungYPeter.Jun-kooKangForeignOwnershipRestrictionsandEquityPricePremiums:WhatDrivestheDemandforCross-Borderlnvestments?199910.BaileyWarren.GaoYuan.ConnieXMaoBusiness-Governmnt,andthelnformationEnvironment:StockTradingandEarningsShocksinChina,lndonesia,andSingapore200211.BallR.KothariSPNonstationaryexpectedreturns:lmplicationsfOrtestsOfmarketefficiencyandseriaIcorreIationinreturns198912.BaIIR.PBrown.FJFinnShareCapiraIisationChanges.Information.andtheAustraIianEquityMarket1977(02)13.BaIIR.KothariSP.WasIeyCECanweimpIemantresearchonstocktradingrules?199514.BarberisN.ShIeiferA.VishnyRAmodeIofinvestorsentiment199815.BarryC.EGoIdreyer.LLockwood.M.RodriguezSizeandbook-to-marketeffects:Evidencefromemargingequitymarkets199916.BarskyR.DeLongJBWhydoesthestockmarketfIuctuate?199317.BernardVStockpricereactionstoearningsannouncements199218.BernardV.ThomasJPost-earningsannouncementdrift:deIayedpriceresponseorriskpremium?1989(zI)19.BernardV.ThomasJEvidencethatstockpricesdonotfuIlyreflecttheiIllpIicationsofcurrentearningsforfutureearnings199020.BinderJJTheEventStudyMethodoIOgySince19691998(02)21.BIackFBetaandreturn199322.BIumeME.StambaughRFBiasesincomputedreturns:AnappIicationtOthesizeeffect198323.BoudoukhJ.RichardsonMP.WhiteIawRFAtaIeofthreeschooIs:Insightsonautocorrelationsofshort-horizonstockreturns199424.BowmanRG.IversonDShort-runoverreactionintheNewZeaIandstockmarket199825.BraiIsfordTAtestforthewinner-loseranomalyintheAustraIianequitymarket:1958-87199226.BrownS.JWarnerMeasuringSecurityPricePerformance1980(03)27.BrOwnS.JWarnerUsingDailyStockReturns.theCaseofEventStudies1985(01)28.CampbellJY.AWLo.ACMacKinlayTheEconometricsofFinanciaIMarkets199729.CampbellJY.ShillerRStockprices,earnings,andexpecteddividends198830.ChanKAHameed.WTongProfitabiltyofmomentumstrategiesintheinternationalequitymarkets200031.ChanKCOnthecontrarianinvestmentstrategy198832.ChangRP.McLeaveyDW.RheeSGShort-termabnormalreturnsofthecOntrarianstrategyintheJapanesestockmarket199533.ChanL.JegadeeshN.LakonishokJMomentumstrategies199734.ChenCR.SauerDAIsstockmarketoverreactionpersistentovertime?1997(01)35.ChenZhiwu.PengXiongDiscountsonⅢiquidStocks:EvidencefromChina200136.ChOpraN.LakonishokJ.RitterJRMeasuringabnormalperformance:Dostocksoverreact?199237.ChuiA.STitman.JWeiMomentum.1egalsystems,andownershipstructure:AnanalysisofAsianstockmarkets200238.ChuiA.JWeiBook-to-market.firmsize.andtheturn-of-the-yeareffect:EvidencefromPacific-Basinemorgingmarkets199839.CIaessensS.SDasgupta.JGlenThecrosssectionofstockreturns:Evidencefromemergingmarkets199840.ClareA.ThomasSTheoverreactionhypothesisandtheUKstockmarket199541.CIiveGauntOverreactionintheAustraIianequitymarket:1974-19972000(08)42.ConradJS.GuItekinM.KauIGProfitabiIityofshort-termcontrarianstrategies:ImpIicationsformarketefficiency199743.ConradJ.KauIGLong-termmarketoverreactionorbiasesincomputedreturns?199344.ConradJS.KauIGAnanatomyoftradingstrategies199845.CorradoCJANon-parametricTestforAbnormaISecurityPricePerformanceinEventStudies1989(02)46.CorradOCJ.TLZivneyTheSpecificationandPoweroftheSignTestinEventStudyHypothesisTestsUsingDailyStockReturns1992(03)47.CutIerD.PoterbaJ.SummersLSpecuIativedynamics199148.DaC0staNCAOverreactionintheBraziIianstockmarket199449.DanieIK.HirshIeiferD.SubrahmanyamAInvestorpsychoIogyandsecuritymarketunder-andoverreactions199850.DanielK.HirshleiferD.SubrahmanyamAAtheoryofoverconfidence,seIf-attribution.andsecuritymarketunder-andover-reactions199851.DanieIK.STitmanEvidenceonthecharacteristicsofcross-sectionalvariationinstockreturns199752.DanieIK.STitman.JWeiExplainingthecross-sectionofstockreturnsinJapan:FactorsorCharacteristics?200153.DavisJ.EFama.KFrenchCharacteristics,covariances,andaveragereturns:1927to1997200054.DeBondtWBertingontrends:intuitiveforecastsoffinanciaIriskandreturn199355.DeBondtWFM.ThaIerRHDoesthestockmarketoverreact?198556.DeBondtWFM.ThalerRHFurtherevidenceoninvestoroverreactionandstockmarketseasonality198757.DeLongJB.ShleiferA.SummersL.Waldmann,RNoisetraderriskinfinanciaImarkets199058.DeLongJB.ShleiferA.SummersL.Waldmann,RPositivefeedbackinvestmentstrategiesanddestabilizingrationalspeculation199059.DissanaikeGOnthecomputationofretur