Оڑ(yng)ЈЮF(xin)(yng)Щ
ڣ2024-06-14 15:40:53 Դ(lin)W(wng)
ᘌЈЮF(xin)ĴڣОڌW(xu)SͶY^дԵзͶY(dng)ײɱƽԺ͕r(sh)gɢԡ@Ȱr(ji)ֵ( r(ji)ֵָy(tng)ĻϢͶYӯʓɲԵȻ)Ҳg(sh)( (jng)ОՓԏ˵ļg(sh))߀ОƲ(ᘌ؝Ϳֵ֑c(din)Ï(qing)Ҏ(gu)tsҵ(yng)ͶY)
1.ͶYОՓl(f)չ^ͬr(sh)ҲP(gun)עՓc(din)֮һ˂Ϣ^ȷ(yng)ڴ˻A(ch)a(chn)SµՓͶYͶYԾ֮һͶYIM(jn)^ȥF(xin)ĹƱu^ȥF(xin)õĹƱM(jn)ͶY@NԵǻDeBondtThaler ( 1985, 1987) ^ȷ(yng)Č(sh)CоDeBondt Thalerͨ^xȡĘӱ(1926һ1982)l(f)F(xin)CȯЈڜyԇǰ3 -5бЈM(Ե.˹ָ(sh))F(xin)ĹƱM3-5꣬cͬڳбЈMϱF(xin)õĹƱM@õǰߵ@^Poterba(1988) cJegadeesh (1990)ṩ˶ؚwڅݵC(j)Chopra(1992 )Lakonishock(1994)Ҳе^ȷ(yng)F(xin)ṩо֧ОՓJ(rn)@ͶYڌ(sh)HͶYQ^עй˾ĽڱF(xin)ͨ^һN|(zh)һ ҲǺ Ƶķ(j)˾ĽڱF(xin)δM(jn)A(y)yĶ(do)˾ژI(y)rm(x)^ȷ(yng)γɌ˾Ƀr(ji)^ֵ͌(yu)˾Ƀr(ji)^ָ߹F(xin)K鷴ͶYṩęC(j)(hu)
2.(dng)ײ(dng)ײԣA(y)ȌƱͽO(sh)^V(zhn)t(Filter Rules)(dng)ƱƱͽͬr(sh)M^V(zhn)tIuƱͶYԡОxϵĄ(dng)ײԵԴڌйƱr(ji)m(x)ԵоJegadeesh Titman (1993) ڌƱYa(chn)MϵM(jn)оr(sh)l(f)F(xin), tcDeBondThaler (1985) ăr(ji)LڻؚwڅJegadeesh (1990)Lehmann (1990)ܞgĶڃr(ji)ؚwڅݵČ(sh)CY(ji)ͬ3-12(g)g(gu)ĹƱMϵʬF(xin)m(x),ڃr(ji)ijһBm(x)׃(dng)Ą(dng)Ч(yng)Rouvenhorst ( 1998 )12(g)Ұl(f)F(xin)Ƶڃr(ji)(dng)Ч(yng)@NЧ(yng)ǁԔ(sh)(j)ɘƫ(sh)ϣ(dng)ײ( ҲQ(qing)Ƚײ)ڌ(sh)`@Що֮ǰˏVđ(yng)ãăr(ji)ֵõ
3.ɱƽɱƽָͶYͶYƱr(sh)A(y)Ӌ(j)(j)ͬăr(ji)M(jn)Ԃ䲻yr(sh)ɱĶҎ(gu)һͶ^L(fng)U(xin)IJɱƽԼٶͶYߵؔ(ci)ֻһNʽ Ya(chn)D(zhun). -NʽɱƽԵͶYͨ(hu)ѬF(xin)ֳɲͬIJȻÿͬӔ(sh)ĬF(xin)ȴ_ķͶY@ӿԱһͶYL(fng)U(xin) ɱƽʹͶYڹƱr(ji)^ߕr(sh)ͶYĹɔ(sh)٣Ʊr(ji)͕r(sh)ͶYĹɔ(sh)ԜpͶYɱɱƽԵͶY䌍(sh)Ǵ(yu)Ķ(yu)ͶY1994 ꣬Wanther Č(sh)Cоl(f)F(xin)˾ĬF(xin)˺(qing)ҵ(lin)ϵóɱƽԵͶYڽ(jng)^Ƀr(ji)µ- .Εr(sh)gԺ пIM(jn)Ʊ
4.r(sh)gɢԡr(sh)gɢָ(j)ͶYƱL(fng)U(xin)SͶYL͵hͶYpr(sh)^ͶYƱSupٴ˱ͶYFisber Slutnan (1999քe@ɷNM(jn)ϵy(tng)ጣԲoˌ(sh)ʩмӏ(qing)ҿƵĽhr(sh)gɢɂ(g): -棬J(rn)еL(fng)U(xin)(hu)SͶYӶ;һhͶYpr(sh)Ya(chn)Mе^Ͷ˹УSgLtpٹƱYa(chn)MеıoՓǂ(g)ͶY߀ǙC(j)(gu)ͶYߣJ(rn)r(sh)gɢ(hu)pL(fng)U(xin)1998 ꣬Ibotson. Asciate ͨ^ЃƱͬr(sh)g(ni)һ I굽20Y(ji)l(f)F(xin)r(sh)gɢӰ푣Lr(sh)gسYa(chn)Խ͓pʧL(fng)U(xin)J(rn)15,Ϳԫ@÷ؓ(f)档
YƽԺ͕r(sh)gɢк֮ܶ̎ڂ(g)ͶYߺ͙C(j)(gu)ͶYձڲVܚgӭͶYͬr(sh)sֶָ؟(z)^ͶYԣcF(xin)ՓA(y)Чԭt@Оڵ֧J(rn)܆μur(ji)@ɷNԵĺcģ(sh)wF(xin)ͶYߵĸܺƫÌͶYQߵӰ푣ОՓОƲԡОڌW(xu)ͶYԵĿ:_CȯЈͶYߌϢ^ȷ(yng)(yng)@Щζ(do)Cȯe(cu)`r(ji)ɴ,ͶYڴ(sh)ͶYJ(rn)R(sh)@Щe(cu)`֮ǰͶY@ЩCȯS(dng)(sh)ͶYR(sh)@Щe(cu)`ͶY@ЩCȯr(sh)u@ЩCȯ@
CȯЈϣSI(y)ͶYMϹڑ(yng)ОڌW(xu)ľl(f)չИI(y)ĵĽײԺͰl(f)չͬĿǰеĻ˾ƳОڌW(xu)ͬһ-ОL Оr(ji)ֵОL/ڻеȡˏ(f)25%ͶYI(y)