我国股市首次公开发行(Initial Public Offering,简称IPO)股票的长期收益率问题一直是IPO领域研究的热点问题之一。发达国家证券市场存在IPO长期弱势已经得到实证的检验,而我国证券市场成立较晚,尚不成熟,信息披露不健全,同时也具有与...我国股市首次公开发行(Initial Public Offering,简称IPO)股票的长期收益率问题一直是IPO领域研究的热点问题之一。发达国家证券市场存在IPO长期弱势已经得到实证的检验,而我国证券市场成立较晚,尚不成熟,信息披露不健全,同时也具有与发达国家证券市场不同的特征。通过对不同行业的IPO长期持有收益率走势的实证研究,以期为投资者的正确决策、提高股市效率提供理论依据。展开更多
In this paper,we discuss a kind of behavioral asset pricing model,called Hong-Stein model.Although this model succeeded in explaining the momentum and reversal effects,we find it usually reaches two extremes:the absol...In this paper,we discuss a kind of behavioral asset pricing model,called Hong-Stein model.Although this model succeeded in explaining the momentum and reversal effects,we find it usually reaches two extremes:the absolute value of autocorrelation of return sequence is so large that the direction of returns could be easily forecasted,or the value is so small that the elements in return sequence are almost independent of each other.The empirical results show that these two extremes are not supported by the real market data.展开更多
文摘我国股市首次公开发行(Initial Public Offering,简称IPO)股票的长期收益率问题一直是IPO领域研究的热点问题之一。发达国家证券市场存在IPO长期弱势已经得到实证的检验,而我国证券市场成立较晚,尚不成熟,信息披露不健全,同时也具有与发达国家证券市场不同的特征。通过对不同行业的IPO长期持有收益率走势的实证研究,以期为投资者的正确决策、提高股市效率提供理论依据。
基金the participants of the Financial Engineering Seminar at ECNU and the International Conference on Actuarial Science and Related Fields
文摘In this paper,we discuss a kind of behavioral asset pricing model,called Hong-Stein model.Although this model succeeded in explaining the momentum and reversal effects,we find it usually reaches two extremes:the absolute value of autocorrelation of return sequence is so large that the direction of returns could be easily forecasted,or the value is so small that the elements in return sequence are almost independent of each other.The empirical results show that these two extremes are not supported by the real market data.
