期刊文献+

三因素模型、行为金融与股票横截面收益“异常” 被引量:1

下载PDF
导出
摘要 股票横截面收益对于CAPM理论预期的偏离,国外学者称之为“异常”。本文基于Fama-French的三因素模型,结合行为金融学的观点对预期股票横截面收益异常进行阐释和讨论。三因素模型的提出的确解释了CAPM模型不能解释的“异常”问题;非严格理性的市场投资者的投资行为,也是使股票横截面收益产生“异常”的原因之一。
作者 马倩 蒋俊锋
出处 《科技管理研究》 CSSCI 北大核心 2005年第3期120-122,共3页 Science and Technology Management Research
  • 相关文献

参考文献11

  • 1陈信元,张田余,陈冬华.预期股票收益的横截面多因素分析:来自中国证券市场的经验证据[J].金融研究,2001(6):22-35. 被引量:164
  • 2Banz, Rolf W. The Relationship Between Return and Market Value of Common Stocks [J]. Journal of Financial Economics, 1981, 9: 3-18.
  • 3Barberies, Nicholas C. Andrei Shleifer and Robert W. Vishny. A model of investor sentiment [ J ]. Journal of Financial Economics,1998, 49: 307-343.
  • 4Daniel Kent, David Hirshleifer and Avanidhar. Subrahmanyam Security Market Under and Overreaction [J]. Journal of Financ, 1998, 53:1839- 1885.
  • 5Fama, Eugene F. Kenneth R. French. The Cross- Section of Expected Stock Returns [ J]. Journal of Finance, 1992, 47:427 -465.
  • 6Fama, Eugene F. Kenneth R. French. Common Risk Factors in The Retums on Stocks and Bonds [ J ]. Journal of Financial Economics,1993, 33: 3-56.
  • 7Fama, Eugene F. Kenneth R. French. Size and Book - to- Market Factors in The Earning sand Returns [J]. Journal of Finance, 1995,50:131 - 155.
  • 8Frankel, Richard and Charles M. C. Lee. Accounting Valauation,Market Expectation, and Cross-Sectional Stock Returns [J]. Journal of Accountingand Economics, 1998, 25: 283-319.
  • 9Hong, Harrison and Jeremy C. Stein. A Unified Theory of Underreaction, Momentum Trading, and Overreation in Asset Markets [ J ].Journal of Finance, 1999, 54: 2143-2184.
  • 10Jegadeesh, Narasimhan and Sheridan Titman. Returns to Buying Winners and Selling Losers: Implication for Stock Market Efficiency [J].Journal of Finance, 1993, 48:65-91.

二级参考文献8

共引文献163

同被引文献12

引证文献1

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部