上财系列】金融实证方法（研究生）课件emp8.pptVIP

1、CAN JOE GRANVILLE TIME THE MARKET?;J·格兰威尔能选择买卖时机吗？;格兰威尔预测能力与随机游走预测的比较;binoinv([0.025,0.975],446,0.517)/446 [0.4709 0.5628] 结论：市场上升的几率是51.7%，格兰威尔预测上升行情的成功率为57%，51.7%与57%之差异在统计上是高度显著的，这意味着格兰威尔在预测上的确是成功的。这一证据当然与市场的半强式高效的假设相违。 显然，市场可能是半强式低效的，但仍以半强式有效来运做。如果允许交易费用，那么他的策略并不胜于“买入持有策略”。;2、投资者能仿效知情人士的交易吗？;证券组合;;检验方法;检验方法;;结论：局外人士仿效公司知情者的交易不能挣得超额报酬。;Special Information and Insider Trading;Cummulative returns following insider trading;推荐游戏;;;Conflicts of Interests and the Credibility of Underwriter AnalystsRecommendation ;Within one year of IPO, 1990-1991;很多分析师同样是市场的参与者，要注意区分。;Conclusion;中国证券分析师推荐价值研究;数据;所有推荐样本按评级分类的统计性描述;所有推荐样本按规模分类的统计性描述;事件研究法;全部样本推荐日起六个月内的ACAR(平均累积异常收益);大盘股、中盘股和小盘股自推荐日起六个月内的ACAR;明星分析师和非明星分析师;当年当选的明星分析师与非明星分析师ACAR的比较 ;2006年当选的明星分析师与非明星分析师短期推荐效应比较;The Cross-Section of Expected Stock ReturnsEUGENE F.FAMA KENNETH R.FRENCH ;Introduction;The contradictions of SLB(Sharp-Lintner-Black) model;;BE/ME(book-to-market equity): Stattman (1980) and Rosen Berg, Reid, and Lanstein (1985) find that average returns on US stocks are positively related to the ratio of BE/ME, Lakonishok (1991) finds the same trend on Japanese stocks. E/P: Bsau shows that earnings-price ratios help explain the cross-section of average returns on stocks. Ball(1978)argues that E/P is a catch-all proxy for unnamed factors in expected returns.;Capturing the Value Premium in the United Kingdom ;1955;Value versus Growth: The International Evidence;FF对每年年底（1974年—1994年）各个国家的股票按照最近的可得到的帐面价值和年底的市场价值的比进行排序。排序的前30%作为价值股组，最后30%作为增长股组。每年都对股票重新排序，重新组成这两个组。各组的公司按照总市场价值进行加权。;;;A Risk Story for the Global Value Premium;Value versus Growth in Emerging Market;;;Our goal;Data;Data;Table one;The value-weighted portfolio of NYSE, AMEX, and (after 1972) NASDAQ stocks. ;The pre-ranking βs are the sum of the slopes from a regression of monthly returns on the current and prior month’s returns on the market portfolio, estimated with 2 to 5 years of monthly returns (as available) ending in June of year t. ;The sum β