过度反应终稿.ppt

BACK GROUND Fama:The effecient market hypothesis(EMH) hypothesis of rational man、Bayes rule (1)Barberis, Shleifer Vishny(BSV) —Representative bias by TverskyKahneman (2)Daniel, Hirshleifer Subramanyam(DHS) —OverconfidenceSelf-attribution Overreaction Hypothesis : (1)one of the most important challenging EMH (2)if stock prices overshoot their in trinsic values systematically as a result of excessive investor optimism or pessimism, the price reversals should be predictable from past price performance De Bondt Thaler : Does the stock market overreaction?(1985) —the first to observe the overreaction phenomenon in the US Paul Zarowin : Size, Seasonality, and Stock Market Overreaction(1990) —shows that the size effect explains what seems to be an overreaction effect Andrew Clare Stephen Thomas : The Overreaction Hypothesis and The UK Stockmarket (1)Use UK stock market (2)Control the company size Robert Shiller : Irrational Exuberance(2000) Other researches : Size 、Profit Message、Bid 表3.8 对1年期（n=12）的过度反应 表3.8 对1年期（n=12）的过度反应 There appears to be no significant difference between, for example, small losers (R11) and large losers (R51), and no significant difference between small winners (R15), and large winners (R55), although there is always a positive difference between the returns. 意思是说公司规模最大之输者和公司规模最小之输者之间没有显著区别；同样，公司规模最大之赢者和公司规模最小之赢者之间也没有显著区别。 This result suggests that there is no significant difference between the post portfolio performance of small and large firm. 表3.9 对2年期（n=24）的过度反应 表3.9 对2年期（n=24）的过度反应 检验1：We find a significant difference between the performance of the small and large firm portfolios. 小公司和大公司的收益有显著区别，拒绝零假设。 检验2：The results show that small firms are outperforming large firms, although the results are only statistically significant for equation （3.61）, where large firms again appear to have significantly larger CAPM Betas than the small firm portfolios. 尽管只有式（3.61）特别显著，但总体小公司的业绩是超过大公司的 B组：Close inspe