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证券市场过度反应研究综述 被引量:2

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摘要 对证券市场中过度反应的判断,过度反应理论研究思路进行了梳理,文章对过度反应理论的实际应用——反转交易策略进行了分析,并总结出该领域进一步研究的方向。
作者 胡娜 薛燕
出处 《现代管理科学》 2007年第12期118-119,共2页 Modern Management Science
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参考文献3

  • 1Eric Hillebrand. A Mean-reversion Theory of Stock--Market Crashes. Working Paper,Oct. ,2002.
  • 2Clive Gaunt. Overreaction in the Australian Equity Market:1974-1997. Pacific-basin Finance Journal,2000, (8).
  • 3刘煜辉,贺菊煌,沈可挺.中国股市中信息反应模式的实证分析[J].管理世界,2003,19(8):6-15. 被引量:50

二级参考文献16

  • 1刘煜辉 沈可挺 唐璐.《中国股市中个股间超前——滞后关系的规模与交易量效应》 Working Paper[M].,2003..
  • 2Christie and Huang, 1995, "Following the pied piper:Do Individual Returns Herd around the Market?", Financial Analysts Journal, July - Auzust 1995, 31-- 37.
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  • 4Debondt and Thaler, 1985, "Does the Stock Market Overreact?" ,Journal of Finance 40, 793-805.
  • 5Hong Harrison and Stein, 1999, "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets", Journal of Finance 54. 2143-2184.
  • 6Jagedeesh and Leahman, 1990, "Evidence of Predictable Behavior of Security Returns", Journal of Finance 45, 881-898.
  • 7Jagedeesh and Titman, 1993, "Returns to Buy the Winners and Sell the Losers: Implications for Stock Market Efficiency" ,Journal of Finance 48,65-- 91.
  • 8Lo and MaeKinlay, 1990,"When are Contrarian Profits are Due to Stock Market Overreaction?", Review of Financial Studies 3,175-205.
  • 9Newey, W. and K. D. West, 1987,"A imple Positive Semi - definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica , 55(3):703-708.
  • 10Shefrin, H. and M. Statman , 1985,"The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and evidence", Journal of Finance. 777-- 790.

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