뗚25뻭ꆡ뗚128웚닆뺭샭싛폫쪵볹(쮫퓂뾯)ꆡ쓪3퓂THETHEORYANDPRACTICEOFFINANCEANDECONOMICSMar1ꆡ2004ꆤ횤좯폫춶ꆤ뮦쫐A막맽뛈랴펦뫍랴펦늻ퟣ뗄쪵횤퇐뺿쇵짙늨,틼훾볎(쓏듳톧뷰죚쾵,ꆡ맣뚫맣훝ꆡ510632)Ξ햪ꆡ튪:퓚뛔막욱뎬뛮쫕틦싊닉폃솽훖늻춬뗄볆쯣랽램뫳랢쿖,퓚춶ퟩ뫏뗄탎돉웚쓚뇭쿖ퟮ뫃뗄펮헟ퟩ뫏뫍뇭쿖ퟮ닮뗄쫤헟ퟩ뫏,뻸듳뛠쫽퓚돖폐웚쓚뗄쫕틦싊뚼늻쓜룟폚쫐뎡욽뻹쫕틦싊,뛸쟒쯦ퟅ돖폐웚뗄퇓뎤,펮헟ퟩ뫏뫍쫤헟ퟩ뫏뢺뗄뎬뛮쫕틦싊뾪쪼뇤뗃쿔훸,헢쮵쏷잰헟듦퓚맽뛈랴펦뛸뫳헟듦퓚랴펦늻ퟣꆣ듋췢,솽룶ퟩ뫏횮볤쫕틦싊뗄닮뻠좴쪼훕늻쿔훸,컞싛쫇퓚펮헟ퟩ뫏뇭쿖뗃뇈쫤헟ퟩ뫏뫃뗄쟩뿶쿂뮹쫇쫤헟ퟩ뫏뇭쿖뗃뇈펮헟ퟩ뫏뫃뗄쟩뿶쿂,솽헟뗄닮틬퓚춳볆짏좫뚼늻쿔훸ꆣ헢퇹,샻폃솽ퟩ뫏쫕틦짏닮뻠뗄뚯솿닟싔뫍랴닟싔컞램믱뗃쿔훸뗄쫕틦,헢솽훖닟싔퓚뮦쫐A막훐믹놾쫇늻뿉탐뗄ꆣ맘볼듊:펮헟ퟩ뫏;쫤헟ퟩ뫏;뎬뛮쫕틦싊;맽뛈랴펦;랴펦늻ퟣ훐춼럖샠뫅:ꆡꆡꆡꆡ컄쿗뇪쪶싫:ꆡAꆡꆡꆡꆡ컄헂뇠뫅:1003-7217(2004)02-0051-08ꆡꆡ쫕틦,헢컞틉쫇뛔폐킧쫐뎡샭싛쳡돶뗄퇏뻾쳴햽ꆣ튻ꆢ컄쿗ퟛ쫶볌DeBondt뫍Thaler(1985)쫗듎쳡돶뎤웚쓚막욱볛룱랴뗄횤뻝뫳,맺췢탭뛠톧헟뚼뛔헢튻컊쳢폐킧쫐뎡볙쮵(EfficientMarketHypothesis)ퟔ뷸탐쇋늻뛏짮죫뗄퇐뺿ꆣChopraꆢLakonishok뫍Rit220쫀볍60쓪듺탎돉틔살튻횱쫜떽샭싛뷧웄뛠헹ter(1992)랢쿖,퓚5쓪뗄탎돉웚훐뇭쿖ퟮ닮뗄ퟩ뫏틩,듳솿뗄쪵횤볬퇩랢쿖쇋튻쾵쇐폫닺뚨볛뫍쫐붫퓚뷓쿂살뗄5쓪훐뗄쓪쫕틦싊붫뇈뇭쿖ퟮ뫃뗄ퟩ뎡폐킧탔늻쿠럻뗄틬뎣쿖쿳,듓늻춬뷇뛈랴펳쇋막뫏뗄쓪쫕틦싊룟돶5%ꆫ10%ꆣ뺡맜튲듦퓚튻퓂킧욱쫕틦듦퓚튻뚨뗄뿉풤닢탔ꆣ웤훐,볛룱뚯솿(Mo2펦,떫뷡맻뮹쫇뇭쏷맽뛈랴펦쏷쿔늻춬폚평폚튪뇜mentum)뫍볛룱랴(Contrarian)뻍쫇쫜떽맣랺맘쮰뛸돶쫛막욱뗄튻퓂킧펦ꆣ쇭췢,킡릫쮾뗄맽뛈랴힢뗄튻훖틬뎣쿖쿳ꆣ볛룱랴쫇횸퓧웚쫕틦싊뗍뗄펦튪쿔훸잿폚듳릫쮾,쯻쏇붫뎤웚볛룱랴맩틲폚막욱퓚횮뫳뗄뇭쿖믡뎬맽퓧웚쫕틦싊룟뗄막욱,볛춶헟뗄맽뛈랴펦ꆣJegadeesh(1990)뫍Lehmann룱뚯솿퓲횸퓧웚쫕틦싊뷏룟뗄막욱욽뻹죔믡퓚뷓쿂(1990)쳡돶쇋퓚룼뛌쪱볤볤룴쓚죧퓂뫍훜볤룴쓚뛌살뗄튻뛎쪱웚쓚뎬맽퓧웚쫕틦싊뷏뗍뗄막욱ꆣ뛔헢웚쫕틦랴뗄횤뻝ꆣ떫헢킩뛌웚랴닟싔뗄펯샻탔킩쿖쿳ퟮ폐듺뇭탔뗄뷢쫍뻍쫇쫐뎡뛔탅쾢뗄죏쪶듦튲뿉쓜쮵쏷쇋뛌웚볛룱톹솦믲쫐뎡짏뗄쇷뚯탔늻퓚랴펦늻ퟣ믲맽뛈랴펦(DeBondt뫍Thaler,1985)ꆣퟣ,뛸럇맽뛈랴펦ꆣJegadeesh뫍Titman(1991)쳡돶듓뷏퓧랢쿖뗄뎤웚쓚막욱볛룱퓋뚯듦퓚쿠떱돌뛈뗄쇋뎤웚쫕틦랴뫍돶튪닮볛횮볤맘쾵뗄횤뻝,횧돖쫕틦랴쿖쿳(DeBondt뫍Thaler,1985),떽뫳살랢쇋헢튻뷢쫍ꆣ쇭췢,Lo뫍Mackinlay(1990)죏캪,평쿖뗄뷏뛌쪱웚훐듦퓚쿠떱돌뛈뗄쫕틦뚯솿쿖쿳(Je2Jegadeesh뫍Titman쯹볇슼뗄틬뎣쫕틦뫜듳늿럖짏gadeesh뫍Titman,1993),뚼캪춶헟뿉틔샻폃쫐쫇평폚막볛뛔웕춨틲쯘뗄퇓동랴펦뛸늻쫇맽뛈랴뎡뗄맽뛈랴펦뫍랴펦늻ퟣ쿖쿳믱좡뎬뛮샻죳쳡릩쇋펦ꆣ쇭튻랽쏦,평Jegadeesh뫍Titman(1993)쳡돶횤뻝ꆣ룹뻝폐킧쫐뎡샭싛,춶헟퓚쎻폐돐떣뛮췢뗄뚯솿닟싔,닉폃쇋쏀맺얦풼횤좯붻틗쯹뫍쏀맺횤럧쿕뛸횻쫇샻폃맽좥막볛탅쾢뗄쟩뿶쿂쫇늻쓜믱뗃좯붻틗쯹(NYSE-AMEX)막욱퓚1965ꆫ1989쓪뎬뛮쫕틦뗄ꆣ틲듋,죧맻춶헟샻폃쫐뎡랴펦늻ퟣ볤뗄쫽뻝,쯻쏇랢쿖쪹폃릺싲맽좥6룶퓂훐뗄펮헟뛸닉좡뚯솿닟싔ꆢ샻폃쫐뎡맽뛈랴펦뛸닉좡랴닟막욱뫍돶쫛쫤헟막욱헢튻닟싔믡퓚뷓쿂살뗄6룶퓂싔,뻍뿉틔퓚쎻폐돐떣뛮췢럧쿕뗄쳵볾쿂믱뗃틬뎣훐믱뗃욽뻹1%뗄퓂쫕틦ꆣ뛸쟒,뚯솿닟싔뫍랴Ξ쫕룥죕웚:ꆡ2004-02-12ퟷ헟볲뷩:ꆡ쇵짙늨(1961ꆪ),쓐,맣뚫짘맘죋,쓏듳톧뺭볃톧풺뷌쫚ꆢ늩쪿짺떼쪦,퇐뺿랽쿲:놾쫐뎡샭싛뫍쪵컱ꆣ' 1995-2005 Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.
52닆뺭샭싛폫쪵볹(쮫퓂뾯)2004쓪뗚2웚닟싔뿉틔닺짺뎬뛮샻죳늻뷶뷶횻퓚쏀맺놻랢쿖,퓚쫐랢햹뗄ퟮ돵벸쓪붻틗훆뛈늻췪짆ꆢ붻틗맦퓲뇤뚯웤쯼탭뛠맺볒뗄막욱쫐뎡짏튲놻랢쿖ꆣ샽죧,욵랱,쪹뗃붻틗쫽뻝좱쪧믲늻헦쪵뗄쿖쿳뷏웕뇩ꆣRouwenhorst(1998)춨맽닉폃12룶얷훞맺볒뛸쟒,퓚튻킩랢쿖쇋뚯솿닟싔뫍랴닟싔폐킧뗄쪵1978ꆫ1995쓪볤뗄2190횻막욱퇹놾,뗃떽쇋폫쏀횤볬퇩훐,헢솽훖닟싔뗄쫕틦뻸듳뛠쫽쫇늻쿔훸뗄,맺막욱쫐뎡샠쯆뗄막욱쫐뎡벰막욱쫐뎡횮볤듦퓚훐볈좻컞램횤쏷헢훖뎬뛮쫕틦퓚춳볆짏쫇럱쿔훸,헢웚쫕틦돖탸뗄뷡맻,뮹랢쿖퓚20룶탂탋쫐뎡훐퓋폃킩볬퇩뷡맻뻍늻뻟놸뫜잿뗄쮵럾솦ꆣ뚯솿닟싔튲뿉믱뗃쿔훸뗄뎬뛮쫕틦ꆣ폫듋춬쪱,튲쿠뛔폚맺쓚틑폐뗄컄쿗살쮵,놾컄뻟폐틔쿂쳘폐퇐뺿헟뗄랢쿖좴폐뫜듳늻춬ꆣDaridson(1989)닉즫:튻쫇톡좡쇋짏횤180횸쫽뗄돉럝막ퟷ캪퇹놾막,폃NYSE-AMEX짏쫐뎡막욱뗄죕쇏,틔믘맩랽뿉틔쮵,톡좡뗄퇹놾막뻟폐쿠떱늻듭뗄듺뇭탔,쓜릻램볬퇩맽뛈랴펦쪱,랢쿖늻듦퓚맽뛈랴펦,쿔쪾돶막퓚뫜듳돌뛈짏랴펳뮦쫐뗄ퟜ쳥ힴ뿶ꆣ뛸쟒퓚퇹놾웚욱놨돪폐ꆰ잿헟뫣잿ꆢ죵헟뫣죵ꆱ뗄쿖쿳,늻럻뫏맽뛈볤쓚,컒맺막욱쫐뎡맦랶탔늻뛏퓶잿,붻틗훆뛈죕쟷랴펦볙쮵ꆣ췪짆,헢뻍쪹퇹놾쫽뻝룼헦쪵뿉뾿ꆣ뛾쫇퓚뎬뛮쫕뷼킩쓪살,맺쓚튲뾪쪼폐튻킩톧헟뛔훐맺막쫐틦싊뗄볆쯣랽램짏,컒쏇닉폃쇋솽훖ퟮ폐듺뇭탔뗄쫇럱듦퓚맽뛈랴펦뫍랴펦늻ퟣ뷸탐쇋볬퇩ꆣ헅죋랽램럖뇰뷸탐쇋볆쯣,틔좷놣쪵횤뗄ힼ좷뫍퇏뷷ꆣꆢ훬욽랼뫍췵뮳랼(1998)뛔뮦쫐쫇럱듦퓚맽뛈랴뛸쟒퓚뛔ퟩ뫏뷸탐뮮럖쪱,튲뾼싇쇋솽훖늻춬뗄쟩펦ퟶ쇋쪵횤볬퇩,쯻쏇뛔1994쓪6퓂훁1996쓪4뿶,틔뇣쪵횤뷡맻쓜룼뫃뗘캪쪵볊닙ퟷ쳡릩닎뾼ꆣ퓂웚볤쓚뗄48볒퇹놾막욱ퟶ쇋볬퇩,랢쿖펮볒ퟩ뫏뗄쫕틦싊듦퓚쿂붵쟷쫆뛾ꆢ톡좡뗄쫽뻝뫍쪹폃뗄랽램,뛸쫤헟ퟩ뫏뗄쫕틦늻듦퓚짏짽쟷쫆,벴ꆰ잿헟늻잿,죵헟뫣죵ꆱ뗄쿖쿳ꆣ짲틕놾컄틔뮦쫐180횸쫽뗄180횻돉럝막2000쓪럥,컢쫀얩(1999)닉폃쫂볾퇐뺿램뛔짮?붻틗쯹601퓂1죕훁2003쓪4퓂30죕웚볤40룶퓂뗄퓂쫕틦횻막욱뷸탐쇋볬퇩,뷡맻랢쿖퓚46훜뗄볬퇩쪱볤싊뫍쇷춨막막놾ퟷ캪쪵횤볬퇩뗄퇹놾쫽뻝ꆣ떽샯,컞싛쫇펮볒ퟩ뫏뮹쫇쫤볒ퟩ뫏뚼컞램믱뗃룟폚2003쓪4퓂30죕캪횹,180횸쫽뗄돉럝막횻퓚쫐뎡뗄뎬뛮쫕틦싊,죏캪컒맺횤좯쫐뎡늻듦퓚맽뛈2002쓪뗗뷸탐맽튻듎뗷헻ꆣ틲듋,헢샯뗄돉럝막뻍랴펦ꆣ헔톧뻼ꆢ췵폀뫪(2001)뫍JosephKangꆢMing틔뗚튻듎죫톡뗄막욱캪ힼ,퓚2002쓪뗗뷸탐뗷헻뫳-HuaLiu뫍SophieXiaoyanNi(2002)뚼뛔훐맺막죫톡뗄막욱늻냼삨퓚쓚ꆣ캪놣횤퓂쫕틦싊뗄컈뚨쫐퓚1993ꆫ2000쓪볤쫇럱듦퓚맽뛈랴펦ꆢ쪹폃뚯솿탔,뛔폚2000쓪1퓂1죕틔뫳짏쫐뗄막욱,붫웤퓚닟싔뫍랴닟싔쫇럱폐킧뷸탐쇋볬퇩,뷡맻쫇잰헟짏쫐뫳뗚튻룶퓂뗄퓂쫕틦싊쳞돽ꆣ퓚퇹놾쪱웚쓚평랢쿖퓚훐맺막욱쫐뎡짏,뚯솿닟싔뫍랴닟싔뚼뇭폚쒳훖풭틲퓝쪱춣없뎬맽5쳬뗄막욱,떱퓂뗄쫽뻝쿖돶쫕틦랴쳘헷,뇭쏷훐맺막쫐횻듦퓚맽뛈랴펦튲폨틔쳞돽ꆣ춬쪱퓚헢웚볤뷸탐쇋ꆢ퓶믲엤막뗄쿖쿳,늻듦퓚랴펦늻ퟣ쿖쿳ꆣ뫳헟퓲랢쿖쇋튻킩춳막욱,놾컄ퟷ헟뚼뷸탐쇋뢴좨뒦샭ꆣ퓂쫕틦싊Rit뗄볆쿔훸뗄랴쫕틦뫍맟탔쫕틦,늢죏캪랴쫕틦살볆쯣춨뎣쪹폃퓂뛔쫽튻뷗닮럖ퟷ캪쫕틦싊횸뇪,틔풴폚막쫐뛔탅쾢뗄맽뛈랴펦ꆣ훜쇕뷜(2002)닉폃짮뇣룼뫃뗘럻뫏헽첬럖늼뗄튪쟳ꆣ볆쯣릫쪽캪:뮦솽쫐1995ꆫ2000쓪뗄막욱붻틗쫽뻝뾼달쇋막쫐Ri,t=lnPi,t-lnPi,t-1(1)뚯솿닟싔뗄펮샻탔쳘헷,랢쿖웚쿞캪튻룶퓂뗄뚯솿웤훐,Pi캪막욱i뗚t룶퓂뗄퓂쒩쫕엌볛,Pi-1닟싔뗄뎬뛮쫕틦쏷쿔뫃폚웤쯻웚쿞뗄닟싔,떫쯦ퟅ캪막욱i뗚t-1룶퓂뗄퓂쒩쫕엌볛,뛔폚퓂쒩잡뫃돖폐웚뗄퇓뎤,뚯솿닟싔뗄쫕틦쏷쿔쿂붵ꆣ쇭췢,ퟞ춣없뗄막욱,퓂쒩쫕엌볛틔잰튻쳬뗄쫕엌볛듺쳦ꆣ뛔킡랲(2003)뛔뮦쫐1993ꆫ2001쓪뗄붻틗쫽뻝,볬퇩헢솽룶퓂쒩쫕엌볛좡ퟔ좻뛔쫽튻뷗닮럖벴뷼쯆뗈폚돶ꆰ펮헟ퟩ뫏ꆱ폫ꆰ쫤헟ퟩ뫏ꆱ퓂쫕틦싊횮닮퓚돖폐웚룃막뗄퓂쫕틦싊Ritꆣ캪1쓪믲2쓪쪱춳볆짏쿔훸,평듋죏캪컒맺막쫐듦볬퇩뚯솿닟싔뫍랴닟싔뗄뻟쳥랽램죧쿂:퓚맽뛈랴펦ꆣ헢킩퇐뺿닉폃뗄퇹놾쪱웚뫍볬퇩랽램11붫튻뛎쪱볤럖돉ퟩ뫏탎돉웚뫍돖폐웚ꆣ뾼싇룷폐늻춬,뚼랢쿖쇋늻춬돌뛈맽뛈랴펦뫍랴펦늻ퟣ,떽훐맺막쫐탎돉뗄쪱볤뷏뛌,헢샯뗄탎돉웚뫍돖폐늢쟒폐늿럖뚯솿닟싔뫍랴닟싔쫇폐킧뗄ꆣ떫뇊헟웚뗄뎤뛈붫틔퓂캪떥캻ꆣퟩ뫏탎돉웚뎤뛈럖뇰좡횵죏캪,쿖폐뗄듳늿럖컄쿗훐,퓧웚퇐뺿뗄튻룶쏷쿔늻1ꆢ3ꆢ6ꆢ9ꆢ12룶퓂,퓚쎿튻룶탎돉웚,폖뿉뛔펦1ꆢ3ꆢퟣ뻍쫇닉폃뗄퇹놾막욱짙ꆢ퇹놾쪱웚뛌,볓짏컒맺막6ꆢ9ꆢ12룶퓂뗄돖폐웚ꆣ헢퇹뻍탎돉쇋25훖춶닟' 1995-2005 Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.
2004쓪뗚2웚(ퟜ뗚128웚)쇵짙늨,틼훾볎:뮦쫐A막맽뛈랴펦뫍랴펦늻ퟣ뗄쪵횤퇐뺿53싔ꆣ쎿훖닟싔폃쫽뛔(탎돉웚ꆢ돖폐웚)살뇭쪾ꆣ평폚1퇹놾쪱웚뷏뛌,탎돉웚뫍돖폐웚닉좡쇋훘뗾뗄돩퇹ACARt=MꇆMCAR()j,t6j=1랽램ꆣ샽죧헢샯M뇭쪾돖폐웚뗄룶쫽,늻춬닟싔훐돖폐웚뗄,닟싔(1,1)뗄탎돉웚뫍돖폐웚뻹캪1룶퓂,떱2000쓪1퓂쫇탎돉웚쪱룶쫽튲늻춬ꆣ틔ACARL,t뇭쪾쫤헟ퟩ뫏뗄욽뻹샛볆뎬,2000쓪2퓂쫇돖폐웚,헢쫇뗚튻룶퇹놾;떱2000쓪2퓂ퟷ캪탎돉웚쪱뛮쫕틦싊,ACARW,t뇭쪾펮헟ퟩ뫏뗄욽뻹샛볆뎬뛮쫕,틦2000쓪3퓂뻍쫇돖폐웚,헢쫇뗚뛾룶퇹놾,틀듎샠싊,죧맻듦퓚랴킧펦,퓲펦폐ACARL,t>0쟒췆ACARL,t>ACARW,t,죧맻듦퓚뚯솿킧펦,퓲믡폐,퓚40룶퇹놾웚쓚릲폐39룶퇹놾ꆣ21퓚ퟩ뫏탎돉웚,쫗쿈쟳룶막뎬뛮쫕틦싊뫍샛ACARW,t>0쟒ACARW,t>ACARL,t,뛸쟒헢솽볆뎬뛮쫕틦싊ꆣ룶막뎬뛮쫕틦싊뗄볆쯣릫쪽캪룶ퟩ뫏쫕틦싊뗄닮틬펦떱쫇춳볆쿔훸뗄ꆣ캪듋,뇘탫Uퟶ쿔훸탔볬퇩ꆣi,t=Ri,t-Rm(,t2)헢쫇튻룶쳘쫢뗄쫐뎡쒣탍,볙뚨ꛁ=0쟒ꛂ=1ꆣ웤훐죽ꆢ쪵횤볬퇩뷡맻,Uit캪막욱i뗚t룶퓂쿠뛔폚쫐뎡쫕틦싊뗄뎬뛮쫕틦싊,Rit캪막욱i뗚t룶퓂뗄퓂쫕틦싊,Rmt캪뗚11퓚뮮럖뫃탎돉웚쫕틦싊평뗍떽룟뗄5룶ퟩ뫏(P1ꆢP2ꆢP3ꆢP4뫍P5)뫳,탨튪볆쯣돶쯼쏇퓚돖폐t룶퓂뗄쫐뎡쫕틦싊ꆣꋙ샛볆뎬뛮쫕틦싊캪쎿횻막욱퓚탎돉웚쓚퓂뎬뛮웚뗄뎬뛮쫕틦싊,캪뷚쪡욪럹,헢샯횻쇐돶쫤헟ퟩ뫏쫕틦싊뗄볲떥볓ퟜ,볆쯣릫쪽캪뫍펮헟ퟩ뫏벰솽ퟩ뫏쫕틦싊횮닮뗄쿠펦쫽뻝(볻뇭1)ꆣ웤훐,P1뇭쪾쫤헟ퟩ뫏뗄뎬뛮쫕틦싊,P5뇭쪾CUi=ꇆ0Ui,tt=-n펮헟ퟩ뫏뗄뎬뛮쫕틦싊,P1ꆫP5캪솽헟쫕틦싊횮(t=-n,-n+1,ꆭ,0)(3)닮,삨뫅훐캪t춳볆솿ꆣ쫗쿈,듓뇭1뗄뗚2쇐뫍뗚3CUi뇭쪾막욱i퓚탎돉웚쓚샛볆뎬뛮쫕틦싊,쇐뿉틔뾴돶,쫤헟ퟩ뫏뫍펮헟ퟩ뫏뚼컞램믱뗃룟폚탎돉웚듓뗚-n룶퓂뾪쪼떽뗚0룶퓂뷡쫸,릲n+1쫐뎡욽뻹쫕틦싊뗄쫕틦,뻸듳늿럖ퟩ뫏뗄뎬뛮쫕틦룶퓂,늻춬닟싔뗄탎돉웚뎤뛈튲뻍늻춬ꆣ싊뚼캪뢺ꆣ쫤헟ퟩ뫏뗄쫕틦싊죔좻뗍폚쫐뎡쫕틦싊,내헕샛볆뎬뛮쫕틦싊붫막욱평뗍떽룟럖돉525훖닟싔훐폐23훖뎬뛮쫕틦싊캪뢺,뎬뛮쫕틦싊캪ퟩ,쫕틦싊ퟮ뗍뗄튻ퟩ벴캪쫤헟ퟩ뫏(loser),쫕틦싊헽뗄2룶닟싔춳볆짏뚼늻쿔훸,뎬뛮쫕틦싊캪뢺뗄ퟮ룟뗄튻ퟩ캪펮헟ퟩ뫏(winner),펮헟ퟩ뫏뫍쫤헟23룶닟싔폐15룶쿔훸ꆣ춬쪱듳늿럖펮헟ퟩ뫏뗄쫕틦ퟩ뫏냼몬뗄막욱룶쫽쿠뗈ꆣ싊좴뇤뗃뗍폚쫐뎡욽뻹쮮욽,25룶닟싔훐튲폐23훖31볆쯣컥룶ퟩ뫏퓚돖폐웚뗄욽뻹뎬뛮쫕틦싊ꆢ닟싔뗄뎬뛮쫕틦싊캪뢺,10룶춳볆쿔훸,쇭췢2룶뎬샛볆욽뻹뎬뛮쫕틦싊ꆣ욽뻹뎬뛮쫕틦싊뗄볆쯣랽램뛮쫕틦캪헽뗄닟싔춳볆짏뚼늻쿔훸ꆣ쯦ퟅ탎돉웚뫍쫇쿈볆쯣돶룷ퟩ뫏쓚쎿횻막욱뗄퓚돖폐웚뗄샛볆욽돖폐웚뗄뇤뮯,솽룶ퟩ뫏뗄뎬뛮쫕틦싊돊쿖돶폐맦뻹뎬뛮쫕틦싊,랽램춬잰ꆣ퓙붫ퟩ뫏쓚막욱뗄뎬뛮쫕싉뗄뇤뮯ꆣ틦싊뷸탐쯣쫵욽뻹벴뿉ꆣ캪쇋룼뻟쳥뗘쏨쫶펮헟ퟩ뫏폫쫤헟ퟩ뫏뗄뎬뛮AR쫕틦싊퓚늻춬쪱웚쓚뗄뇤뮯쳘뗣,헢샯붫돖폐웚뮮j,t=11mꇆNi=1NUi,j,t(i=럖캪뛌웚뫍뎤웚솽룶쪱볤뎤뛈,돖폐웚캪1룶퓂뫍31,2,3,ꆭ,N)(4)웤훐,N뇭쪾룃ퟩ뫏훐막욱뗄룶쫽룶퓂쪱볆캪뛌웚,캪6ꆢ9뫍12룶퓂쪱볆캪뎤웚,뻝,j뇭쪾뗚j룶돖폐웚,m뇭쪾돖폐웚쯹냼몬뗄퓂럝쫽ꆣ듋냑헢25룶닟싔럖캪돖폐웚뛌뫍돖폐웚뎤솽훖쟩뿶뷸탐뻟쳥쳖싛ꆣ평뇭1뿉틔뾴떽,뗚튻,떱돖폐웚41볆쯣욽뻹샛볆뎬뛮쫕틦싊,늢붫펮헟ퟩ뫏뫍쫤헟ퟩ뫏퓚돖폐웚뗄샛볆뎬뛮쫕틦싊ퟶ뇈뷏,늢볆뛌쪱,컞싛탎돉웚뷏뛌뮹쫇뷏뎤,듳늿럖펮헟ퟩ뫏뫍쯣웤닮틬뗄쿔훸탔ꆣ쿈볆쯣쒳돖폐웚뗄샛볆뎬뛮쫕쫤헟ퟩ뫏쫕틦싊폫쫐뎡욽뻹쫕틦싊쎻폐쏷쿔뗄닮틦싊틬,헢솽룶ퟩ뫏쎻폐뇭쿖돶쿔훸뗄맽뛈랴펦믲랴펦,볆쯣릫쪽캪늻ퟣꆣ횻폐1ꆫ3ퟩ뫏뗄펮헟ퟩ뫏뫍쫤헟ퟩ뫏뗄쫕CARj,t=ꇆtARj,s(5)s=1틦싊헟쿔훸뗍폚쫐뎡욽뻹쫕틦싊,폫돖폐웚뷏뎤쪱CARj,t벴캪돖폐웚j룷ퟩ뫏훐쯹폐막욱뗄샛볆뗄쟩뿶샠쯆ꆣ뗚뛾,떱돖폐웚뷏뎤쪱,컞싛탎돉웚뷏뎬뛮쫕틦싊ꆣ튻떩볆쯣돶늻춬돖폐웚뗄샛볆뎬뛮쫕뛌뮹쫇뷏뎤,솽룶ퟩ뫏뚼뇭쿖돶폫쫐뎡쫕틦싊폐쿔틦싊,뻍뿉틔뗃떽욽뻹샛볆뎬뛮쫕틦싊ACAR쇋ꆣ훸닮틬,웤뎬뛮쫕틦싊캪뢺쟒뚼쿔훸,쮵쏷퓚돖폐웚' 1995-2005 Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.
54닆뺭샭싛폫쪵볹(쮫퓂뾯)2004쓪뗚2웚퇓뎤뗄쟩뿶쿂,맽좥12룶퓂쓚뇭쿖ퟮ뫃뗄펮헟ퟩ뫏뚼뾪쪼쿔훸킡폚쫐뎡욽뻹쫕틦싊,헢쮵쏷펮헟ퟩ뫏듦퓚랴펦맽뛈,쯼쏇믡퓚뷓쿂살뗄6ꆫ12룶퓂쓚폐쟣쿲폚랴펦맽뛈뛸쫤헟ퟩ뫏쟣쿲폚랴펦늻ퟣꆣ뛸쟒,쿲뻹횵믘뢴(meanreversion)뗄쟷쫆ꆣ뛸맽좥12룶퓂쫤헟ퟩ뫏늻뷶쿔훸뗄룶쫽뛠폚펮헟ퟩ뫏(잰헟폐15쓚뇭쿖ퟮ닮뗄쫤헟ퟩ뫏듦퓚랴펦늻ퟣ,쯼쏇퓚뷓쿂룶,뫳헟폐10룶),뛸쟒쯼쏇뗄쿔훸탔쮮욽튲뚼웕뇩살뗄뷏뎤쪱볤쓚죔좻뇭쿖늻병,쫕틦싊튻횱늻벰쫐튪룟폚펮헟ퟩ뫏,헢뻍쮵쏷쇋쫤헟ퟩ뫏랴펦늻ퟣ뗄뎡욽뻹쮮욽ꆣퟜ뗄쮵살,컞싛탎돉웚폐뛠뎤,쯦ퟅ돖쿖쿳쿠뛔뛸퇔룼춻돶ꆣ폐웚뗄퇓뎤,듳늿럖펮헟ퟩ뫏뫍쫤헟ퟩ뫏뗄쫕틦싊뇭1ꆡ펮헟ퟩ뫏뫍쫤헟ퟩ뫏뗄퓂욽뻹뎬뛮쫕틦싊벰솽헟뗄닮틬()()()t()()()()()()t()()()()()()t()()()-05t()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()ꆡꆡ힢:(1)1-1뇭쪾탎돉웚뫍돖폐웚뚼캪1룶퓂뗄닟싔,3-1퓲뇭쪾탎돉웚캪3룶퓂ꆢ돖폐웚캪1룶퓂뗄닟싔,웤쯼샠췆ꆣP1뇭쪾쫤헟ퟩ뫏뗄뎬뛮쫕틦싊,P5뇭쪾펮헟ퟩ뫏뗄뎬뛮쫕틦싊,P1-P5뇭쪾쫤헟ퟩ뫏폫펮헟ퟩ뫏쫕틦싊횮닮ꆣ(2)3뇭쪾10%쮮욽쿂쿔훸,33뇭쪾5%쮮욽쿂쿔훸,333뇭쪾1%쮮욽쿂쿔훸ꆣꆡꆡ웤듎,듓뇭1뗄뗚4쇐뿉틔뾴돶,쫤헟ퟩ뫏뫍펮뗄닮뻠퓚춳볆짏늢늻쿔훸,샻폃뚯솿닟싔뫍랴닟헟ퟩ뫏쫕틦싊횮닮퓚춳볆짏늻쿔훸ꆣ뺡맜25훖닟싔싔믱샻뗄뿉쓜탔쪮럖킡ꆣ훐,폐18훖뗄펮헟ퟩ뫏쫕틦싊듳폚쫤헟ퟩ뫏쫕틦싊21뾼싇떽쪵볊닙ퟷ훐,춶헟뗄춶ퟩ뫏늻뿉(P1-P5<0),떫쫇헢18ퟩ뚯솿닟싔훐횻폐9-9쓜냼몬맽뛠뗄막욱,뛸잰쏦뗄펮헟ퟩ뫏뫍쫤헟ퟩ뫏헢튻ퟩ춳볆쿔훸,웤쯼뗄뚼늻쿔훸,쮵쏷쫤헟ퟩ뫏뗄훐뗄막욱쫽뷏뛠,뚼퓚25횻틔짏,헢뻍쓑틔횤쏷쪵쫕틦싊늢늻뇈펮헟ퟩ뫏닮뫜뛠,틲듋뚯솿닟싔컞램볊닙ퟷ훐닟싔뗄펯샻탔ꆣ틲듋,캪뷸튻늽볬퇩쪵볊닙믱뗃쿔훸쫕틦ꆣퟷ훐막욱쫇럱듦퓚맽뛈랴펦뫍랴펦늻ퟣ,틔벰뚯솿볲퇔횮,뇭1뗄뷡맻쿔쪾,펮헟ퟩ뫏뫍쫤헟ퟩ뫏닟싔뫍랴닟싔뗄뿉펯샻탔,컒쏇럖뇰돩좡쇋탎돉뗄쫕틦싊뚼폐쿂붵뗄쟷쫆,웕뇩뗍폚쫐뎡욽뻹쫕틦웚쓚샛볆쫕틦싊ퟮ룟뗄잰10횻뫍잰5횻막욱ퟷ캪싊ꆣ쯦ퟅ돖폐웚뗄퇓뎤,솽룶ퟩ뫏뗄뎬뛮쫕틦싊훰붥펮헟ퟩ뫏,샛볆쫕틦싊ퟮ뗍뗄10횻뫍5횻막욱ퟷ캪뇤뗃쿔훸,헢쮵쏷막쫐훐펮헟ퟩ뫏듦퓚튻뚨뗄맽뛈쫤헟ퟩ뫏,훘탂뷸탐쇋볆쯣,쯤좻헢솽샠뮮럖뗃떽뗄랴펦뛸쫤헟ퟩ뫏듦퓚튻뚨뗄랴펦늻ퟣ,뛸쟒뫳헟랴ퟩ뫏훐막욱늻췪좫쿠춬,떫춳볆뷡맻좴쪮럖뗄쿠쯆,펦늻ퟣ뗄쿖쿳쿠뛔룼춻돶ꆣ쯤좻퓚돖폐웚쓚,펮헟ퟩ헢샯뻍붫뷡맻헻샭퓚튻헅뇭룱훐늢튻웰뷸탐럖컶뫏죔좻뇭쿖뗃뇈쫤헟ퟩ뫏튪뫃,떫쯼쏇횮볤쫕틦싊(볻뇭2)ꆣ' 1995-2005 Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.
2004쓪뗚2웚(ퟜ뗚128웚)쇵짙늨,틼훾볎:뮦쫐A막맽뛈랴펦뫍랴펦늻ퟣ뗄쪵횤퇐뺿55뇭2ꆡ뇭쿖ퟮ춻돶뗄막욱ퟩ돉뗄펮헟ퟩ뫏뫍쫤헟ퟩ뫏뗄뎬뛮쫕틦싊벰솽헟뗄닮틬()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()()()()t()()()ꆡꆡ힢:(1)L10뇭쪾뇭쿖ퟮ닮뗄10횻막욱탎돉뗄쫤헟ퟩ뫏뗄뎬뛮쫕틦싊,W10뇭쪾뇭쿖ퟮ뫃뗄10횻막욱탎돉뗄펮헟ퟩ뫏뗄뎬뛮쫕틦싊,L10-W10뇭쪾솽ퟩ뫏쫕틦싊횮닮;L5뇭쪾뇭쿖ퟮ닮뗄5횻막욱탎돉뗄쫤헟ퟩ뫏뗄뎬뛮쫕틦싊,W5뇭쪾뇭쿖ퟮ뫃뗄5횻막욱탎돉뗄펮헟ퟩ뫏뗄뎬뛮쫕틦싊,L5-W5뇭쪾솽ퟩ뫏쫕틦싊횮닮,삨뫅쓚캪t춳볆솿ꆣ(23)뇭쪾10%쮮욽쿂쿔훸33,뇭쪾5%쮮욽쿂쿔훸333,뇭쪾1%쮮욽쿂쿔훸ꆣ(3)캪뇜쏢늿럖ퟩ뫏퇹놾쫽뷏짙뛔t볬퇩뗄펰쿬,뇊헟뮹ퟷ쇋럇닎쫽볬퇩,볬퇩뷡맻폫닎쫽볬퇩믹놾튻훂,헢샯뻍늻튻튻쇐돶ꆣꆡꆡ폫뇭1튻훂뗄쫇,펮헟ퟩ뫏뫍쫤헟ퟩ뫏뗄뇭쿖뚼뎤뫍돖폐웚뛌솽훖쟩뿶럖뇰뛔쯼쏇뷸탐럖컶쪱,뿉틔캴쓜뫃맽쫐뎡욽뻹쮮욽,쯼쏇뗄뎬뛮쫕틦싊듳뛠캪랢쿖펮헟ퟩ뫏뫍쫤헟ퟩ뫏퓚늻춬탎돉웚뫍돖폐웚뗄뢺,뺡맜폐튻늿럖ퟩ뫏뎬뛮쫕틦싊캪헽,떫퓚춳볆짏뇤뮯맦싉폫뇭1훐뗄듳훂쿠춬,벴퓚돖폐웚뛌뗄쟩뿶좫뚼늻쿔훸ꆣ떱룹뻝짏쏦뛔뇭1럖컶쪱뮮럖뗄돖폐웚쿂,솽룶ퟩ뫏뎬뛮쫕틦싊쯤좻캪뢺,떫춳볆짏듳뛠늻' 1995-2005 Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.
56닆뺭샭싛폫쪵볹(쮫퓂뾯)2004쓪뗚2웚쿔훸;뛸퓚돖폐웚뎤뗄쟩뿶쿂,솽ퟩ뫏뗄뢺뎬뛮쫕틦쫽캪1뗄볙뚨쿂춨맽볲떥욽뻹볆쯣뗃돶뗄(볻릫쪽싊폐뫜뛠쫇춳볆쿔훸뗄ꆣ헢춬퇹쮵쏷,컞싛탎돉웚캪(2)),뛸쫂쪵짏닺뗄쫐뎡럧쿕쾵쫽췹췹늻믡만뚨뛠뎤,떱돖폐웚뷏뎤쪱(6ꆢ9ꆢ12룶퓂),펮헟ퟩ뫏뫍쫤늻뇤ꆣ캪쇋뷸튻늽퇩횤짏쏦뗄쪵횤뷡맻,좷뚨막욱맽헟ퟩ뫏뢺뗄뎬뛮쫕틦싊붥붥뇤뗃쿔훸,잰헟폐맽뛈랴뛈랴펦뫍랴펦늻ퟣ쿖쿳뗄듦퓚,컒쏇쿂쏦붫닉폃룼펦쿖쿳뛸뫳헟퓲랴펦늻ퟣꆣ웤훐,L10뫍L5럖뇰폐13뻟폐웕뇩틢틥뗄쫐뎡쒣탍살볆쯣막욱뗄뎬뛮쫕틦룶뫍12룶쿔훸,W10뫍W5럖뇰폐7룶뫍9룶쿔훸,싊,뷸뛸뗃돶늻춬ퟩ뫏뗄뎬뛮쫕틦싊ꆣ폫뇭1훐뗄펮헟ퟩ뫏뫍쫤헟ퟩ뫏럖뇰폐15룶뫍10룶컒쏇붫쎿룶닟싔훐룷룶ퟩ뫏틔벰펮헟뫍쫤헟ퟩ쿔훸쿠뇈,솽룶ퟩ뫏퓚춳볆짏쿔훸뗄룶쫽복짙쇋,떫뫏횮닮뗄퓂욽뻹쫕틦싊폫쫐뎡퓂욽뻹쫕틦싊ퟶ쿟탔죔좻쫇쫤헟ퟩ뫏쿔훸뗄룶쫽뇈펮헟ퟩ뫏뗄룶쫽뛠,쫤믘맩,쿟탔랽돌뗈쪽폒뇟뗄뷘뻠ꛁ벴듺뇭뎬뛮쫕틦헟ퟩ뫏랴펦늻ퟣ뗄쿖쿳룼웕뇩ꆣ쇭췢,춨맽뇈뷏P5ꆢ싊,t춳볆솿듺뇭쯼뗄쿔훸탔,킱싊ꛂ폫쫐뎡쫕틦싊W10ꆢW5뗄뎬뛮쫕틦싊뿉틔랢쿖,풽쫇퓚탎돉웚뇭뗄돋믽퓲듺뇭쫐뎡쫕틦싊,볆쯣릫쪽죧쿂:쿖뫃뗄막욱,퓚뷓쿂살뗄돖폐웚쓚풽쫇뇭쿖뗃닮,돊Ri,j=ꛁi,j+ꛂi,jR(j+ei,j7)쿖돶W5<W10<P5뗄쿖쿳ꆣR1-5,j=ꛁ1-5,j+ꛂ1-5(,jRj+e1-5,j8)폫뇭1쿠뇈,펮헟ퟩ뫏늢늻튻뚨쿱퓚뇭1훐쓇(7)쪽훐Ri,j뇭쪾뗚i룶ퟩ뫏퓚뗚j룶닟싔훐뗄퇹퓚듳뛠쫽쟩뿶쿂뇈쫤헟ퟩ뫏뇭쿖뗃뫃,뇭2훐쫤퓂욽뻹쫐뎡쫕틦싊,Rj뇭쪾뗚j룶닟싔뗄퓂욽뻹쫐헟ퟩ뫏쫕틦싊룟폚펮헟ퟩ뫏뗄쟩뿶튲춬퇹쪮럖뛠,뎡쫕틦싊,ꛁi,j뻍뇭쪾ퟩ뫏뗄뎬뛮쫕틦싊,ꛂi,j캪쫐헢퇹,솽룶ퟩ뫏횮볤뗄닮틬뻍룼늻쏷쿔쇋ꆣ폫뇭1뷡뎡럧쿕쾵쫽ꆣ(8)쪽퓲쫇볆쯣펮헟뫍쫤헟ퟩ뫏횮닮맻쿠춬뗄쫇,펮헟ퟩ뫏뫍쫤헟ퟩ뫏횮볤쫕틦싊뗄닮뗄뎬뛮쫕틦싊,R1-5,j뇭쪾뗚j룶닟싔뗄쫤헟ퟩ뫏폫뻠좫뚼늻쿔훸,샻폃솽ퟩ뫏횮볤쫕틦싊뗄닮틬쫇뫜펮헟ퟩ뫏쫕틦싊횮닮,ꛁ1-5,j뫍ꛂ1-5,j캪쿠펦뗄뎬뛮쓑믱뗃쿔훸쫕틦뗄,헢뻍퓙튻듎횤쏷쇋쪹폃뚯솿닟쫕틦싊뫍쫐뎡럧쿕쾵쫽,R2캪에뚨쾵쫽ꆣ뗃떽믘맩뷡싔뫍랴닟싔믱샻뗄뿉쓜탔뫜킡ꆣ맻뫳컒쏇랢쿖,P2ꆢP3ꆢP4헢죽룶ퟩ뫏뫍P1ꆫP5폫31잰쏦벸훖늻춬뗄럖ퟩ뷡맻뚼뇭쏷,펮헟ퟩ뫏쫐뎡쫕틦싊뗄믘맩훐,ꛁ좫뚼늻쿔훸,헢샯뻍늻튻튻듦퓚튻뚨돌뛈뗄맽뛈랴펦,뛸쫤헟ퟩ뫏듦퓚랴펦늻쇐돶쇋,쫤헟ퟩ뫏P1뫍펮헟ퟩ뫏P5믘맩뗃떽뗄뎬ퟣꆣ평폚잰쏦뗄뎬뛮쫕틦싊쫇퓚닺뗄쫐뎡럧쿕쾵뛮쫕틦싊볻뇭3ꆣ뇭3ꆡ쫐뎡쒣탍쿂룷ퟩ뫏뗄뎬뛮쫕틦싊P1P5ꛁtR2ꛁꆡꆡ힢:(1)P1뇭쪾쫤헟ퟩ뫏,P5뇭쪾펮헟ퟩ뫏ꆣ(23)뇭쪾10%쮮욽쿂쿔훸33,뇭쪾5%쮮욽쿂쿔훸333,뇭쪾1%쮮욽쿂쿔훸ꆣ' 1995-2005 Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.
2004쓪뗚2웚(ퟜ뗚128웚)쇵짙늨,틼훾볎:뮦쫐A막맽뛈랴펦뫍랴펦늻ퟣ뗄쪵횤퇐뺿57ꆡꆡ뇭3훐쫇25룶닟싔뗄펮헟뫍쫤헟ퟩ뫏뗄뷘뻠헢킩컄쿗뗄퇹놾쟸볤폫놾컄뗄퇐뺿쟸볤늻춬,듳뛠쿮뫍쿠펦t춳볆솿,틔벰랽돌뗄에뚨쾵쫽ꆣ컒쏇틀쫇컒맺막쫐뒦폚얣쫐뗄쪱웚,뛸늻춬뗄퇹놾뗃돶뗄좻뿉틔랢쿖,뻸듳늿럖헢솽룶ퟩ뫏뗄뎬뛮쫕틦싊뚼폐맘펮헟ퟩ뫏뫍쫤헟ퟩ뫏뇭쿖뗄뷡맻쿠떱튻훂,헢킡폚0쟒폐쿠떱튻늿럖쫇쿔훸(쫤헟ퟩ뫏12룶쿔뻍뿉듓튻뚨돌뛈짏쮵쏷놾컄뗄뷡싛늢늻췪좫쫇평퇹훸,펮헟ퟩ뫏15룶쿔훸)ꆣ죧맻죔좻듓돖폐웚뗄뎤놾뗄쳘쫢탔퓬돉뗄ꆣ뛌살럖컶,떱돖폐웚뷏뛌쪱,솽룶ퟩ뫏뗄뢺뎬뛮쫕틦21듓훐맺막쫐ퟔ짭뗄믺훆뫍쳘뗣살뾴,쪵횤볬싊듳뛠늻쿔훸,짙쫽쿔훸뗄ퟩ뫏훐돽1ꆫ3ퟩ뫏췢,퇩뇭쿖캪틔짏뷡맻튲쫇폐웤쳘쫢풭틲뗄ꆣ훐맺막쫐쿔훸탔쮮욽튲늻룟;떱돖폐웚뷏뎤쪱,솽룶ퟩ뫏뗄뢺랢햹뮹뫜늻돉쫬,막쫐뗄볛횵랢쿖릦쓜캴쓜헽뎣랢뎬뛮쫕틦싊폐탭뛠뚼뇤뗃쿔훸쇋,펮헟ퟩ뫏쫕틦싊믓ꆣ튻랽쏦,ퟶ뿕믺훆뗄좱랦쪹뗃춶헟뗄쳗샻탐쿔훸뗍폚쫐뎡쫕틦싊,쮵쏷쯼쏇듦퓚맽뛈랴펦,쫤헟캪쫜떽쇋퇏룱뗄쿞훆,헢퓚럀횹맽뛈춶믺탐캪뗄춬ퟩ뫏쫕틦싊죔좻뇈쫐뎡쫕틦싊뗍퓲쮵쏷쯼쏇듦퓚랴쪱튲퇏훘뗘쿷죵쇋쫐뎡놾짭뗄ퟔ컒뗷뷚쓜솦ꆣ샽펦늻ퟣ,헢폫닉폃뗚튻훖쒣탍볆쯣돶살뗄뷡맻쫇튻죧,퓚탭뛠춶헟뚼뾴뫃쒳킩막욱뗄쪱뫲췹췹죝틗훂뗄ꆣ헢퇹,춨맽쫐뎡쒣탍볆쯣뗃돶뗄쪵횤뷡맻폫췆뚯헢킩막욱볛룱짏퇯,평폚좱랦ퟶ뿕믺훆,웤쯻뾴잰쏦뷡싛믹놾튻훂,퓙튻듎횤쏷쇋뮦쫐훐듦퓚펮헟뿕헢킩막욱뗄춶헟뷶폐틢풸좴늻쓜탎돉튻막ퟶ뿕ퟩ뫏맽뛈랴펦뫍쫤헟ퟩ뫏랴펦늻ퟣ뗄쿖쿳ꆣ뗄솦솿,헢퇹,싲싴쮫랽뛔뇈솦솿뗄쪧뫢떼훂막욱볛쯄ꆢ뷡싛룱늻뛏짏헇,듓뛸퓬돉막볛돖탸얤쟺,헢뻍쫇탎돉웚쓚뇭쿖벫뫃뗄펮헟ퟩ뫏ꆣ뛸떽쇋돖폐웚뫳,튻떩춶춨맽틔짏뛔뮦쫐A막볬퇩컒쏇랢쿖,펮헟ퟩ뫏헟랢쿖막욱쪵볊볛횵늢쎻폐쯼뗄볛룱쯹뇭쿖뗃쓇뫍쫤헟ퟩ뫏뚼컞램믱뗃룟폚쫐뎡쫕틦싊뗄뎬뛮쫕틦쎴뫃,뻍럗럗엗돶,쪹뗃헢킩막욱볛룱톸쯙쿂뗸,퓚싊,쯦ퟅ돖폐웚뗄퇓뎤,솽룶ퟩ뫏뢺뗄뎬뛮쫕틦싊훰헢뛎웚볤쓚쯼쏇뗄뎬뛮쫕틦싊췹췹뻍쿔훸캪뢺쇋ꆣ붥뇤뗃쿔훸,펮헟ퟩ뫏듦퓚맽뛈랴펦뛸쫤헟ퟩ뫏듦쇭튻랽쏦,맺볊훷쇷막욱쫐뎡뛠캪믺릹춶헟훷떼퓚랴펦늻ퟣ,떫헢솽룶ퟩ뫏횮볤쫕틦싊좴늢쎻폐쏷뗄쫐뎡,믺릹춶헟랢햹뇈뷏돉쫬ꆣ춨뎣탭뛠믹뷰쿔뗄닮틬,틲듋튪샻폃헢솽룶ퟩ뫏쫕틦싊횮닮살믱돖폐뗄춶ퟩ뫏뷏캪컈뚨,퓚튻뛎쪱웚쓚췹췹뇤뚯샻뗄뚯솿뫍랴닟싔늢늻뿉탐ꆣퟷ헟뛔헢훖쿖쿳뗄늻듳,헢뻍쪹쫐뎡헻쳥뇭쿖돶막욱뮻쫖싊뗍ꆢ볛룱늨뷢쫍훷튪폐틔쿂솽뗣:뚯늻듳뗄쿖쿳,훐뛌웚쓚막볛뇭쿖캪뚯솿뛸뎤웚쓚11컒맺막욱쫐뎡랢햹샺쪷뷏뛌,붻틗훆뛈짐늻랢짺랴뗄쟩뿶뻍늻쓑샭뷢ꆣ훐맺막쫐퓲잡잡쿠췪짆,헢뻍쪹뗃쪵횤볬퇩쯹탨뗄쫽뻝쫜떽퇹놾늻ퟣ랴,훐킡춶헟쯹햼뇈훘룟,믺릹춶헟뗄랢햹짐늻뫍쫽뻝늻컈뚨뗄쿞훆ꆣ평폚놾컄뗄퇹놾쪱웚캪40돉쫬ꆣ뛸훐킡춶헟퓚탅쾢뗄믱좡뫍럖컶랽쏦뒦폚룶퓂,퓚헢룶쪱웚쓚,컒맺막쫐듓얣쫐뇤캪태쫐,쇓쫆,헢뻍떼훂헻룶쫐뎡춶믺쟣쿲뷏잿,막욱뮻쫖싊막욱볛룱늨뚯뷏듳,막쫐헻쳥뇭쿖늻샭쿫,쓑쏢믡뛔맽룟쟒막욱볛룱늨뚯듳,뷏뛌쪱웚쓚췹췹뿉쓜돶쿖볬퇩뷡맻닺짺튻뚨뗄펰쿬ꆣ떫튪쮵쏷뗄쫇,헢튻펰뛠듎뷏듳럹뛈뗄헇뗸,헢킩쳘쫢뗄풭틲튲쪹뗃펮헟쿬뗄돌뛈쫇폐쿞뗄,헢뿉틔듓횮잰틑폐퇐뺿컄쿗뗄ퟩ뫏뫍쫤헟ퟩ뫏뗄뎬뛮쫕틦싊쎻폐쿔훸뗄닮틬ꆣ뷡맻뾴돶ꆣ퓚맺쓚뷏퓧뛔헢랽쏦뗄퇐뺿훐,헅죋뗈(1998)뫍짲틕럥뗈(1999)샻폃1993ꆫ1996쓪뗄쫽뻝뻍뗃돶쇋ꆰ잿헟늻잿,죵헟뫣죵ꆱ뗄뷡싛힢쫍:,쯻쏇랢쿖ꆰꆮ펮볒ퟩ뫏ꆯ뫍ꆮ쫤볒ퟩ뫏ꆯ뗄욽뻹샛믽뎬뎣쫕틦ꋙ늻맽볈좻퓚죎뫎튻룶퓂쫐뎡쫕틦싊뛔쎿튻횻막욱뛸퇔쫇튻퇹훰늽쿂뗸,뻸듳늿럖쪱볤뚼풶뗍폚쇣ꆱ뗄,쪹폃막욱뗄퓂쫕틦싊폫퓂뎬뛮쫕틦싊뗄킧맻쫇튻퇹뗄ꆣ(짲틕럥뗈,1999)ꆣ뛸훜쇕뷜(2002)뛔짮뮦솽쫐1995ꆫ2000쓪닎뾼컄쿗:뗄막욱붻틗쫽뻝뗄볬퇩튲랢쿖ꆰ,펮헟ퟩ뫏횻폐퓚탎\[1\]Jegadeesh,N.,Titman,S..Returnstobuyingwinnersandsell2돉웚뫍돖폐웚뚼뇈뷏뛌뗄쟩뿶쿂닅폐헽뗄뎬뛮쫕inglosers:implicationsforstockmarketefficiency\[J\].Journalof틦Finance,1993(48):65-91.,펮뗃럇뎣쏣잿;뛸쫤헟ퟩ뫏쫤뗃뇈뷏쏷쿔ꆱ(볻컄뗚3튳)ꆣ헢욪컄헂훐뗄쫽뻝쿔쪾,펮헟ퟩ뫏퓚듳늿\[2\]Jgeadeesh,N.,Titman,S..Overreaction,delayedreaction,(8):973-993.럖쪱볤쓚뎬뛮쫕틦싊뚼캪뢺,뎬뛮쫕틦싊캪헽뗄ퟩ\[3\]Barberis,Nicholas,AndreiShleifer,뫏퓚춳볆짏튲좫뚼늻쿔훸,헢쫇폫놾컄뷡싛튻훂뗄ꆣ(49):' 1995-2005 Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.
58닆뺭샭싛폫쪵볹(쮫퓂뾯)2004쓪뗚2웚307-343.\[13\]Hogn,,mo2\[4\]Bernard,VictorL.,-earnigns-an2mentumtradingandoverreactioninassetmarkets\[J\].Journalofnouncementdrift:Delayedpriceresponseorriskpremium?JournalFinance1999(54):(27):1-36.\[14\]LakonishokJ.,ShleiferA.,andVishynR..Contrarianinvest2\[5\]Chan,L.,Jgeadeesh,N.,Lakonishok,J..Momentumstrategiesment,extrapolation,andrisk\[J\].JournalofFinance,1994(49):\[J\].JournalofFinance1996(51):-1578.\[6\]Chan,L.,Jgeadeesh,N.,Lakonishok,J..Theprofitabilityof\[15\]Tversyk,Amos,:Heuristicandbiases\[J\].Science,1974(185):.\[16\]:sizeandseasonaliyt\[7\]JospehKang,Ming-HuaLiu,\[J\].JournalofPortfolioMangaement,1989(15).momentumstrategiesinChinastockmarket:1993ꆫ2000\[J\].P2a\[17\]헅죋,훬욽랼,췵뮳랼.짏몣횤좯쫐뎡맽뛈랴펦뗄쪵횤볬퇩cific-BasinFinanceJournal2002(10):243-265.\[J\]뺭.볃퇐뺿,1998,(5).\[8\]RecpeBuldikandGuzhanGulay,Profitabilityofcontrarianvsmo2\[18\]짲틕럥,컢쫀얩.컒맺횤좯쫐뎡맽뛈랴펦쇋싰\[J\]뺭.볃퇐뺿,mentumstrategies:,(2).\[9\]AntoniosAntoniou,,,Are\[19\]헔톧뻼,췵폀뫪.훐맺막쫐ꆰ맟탔닟싔ꆱ뫍ꆰ랴닟싔ꆱ뗄쪵횤럖contrarianinvestmentstrategiesprofitableintheLondonStockEx2컶\[J\]뺭.볃퇐뺿,2001,(6).change?Wheredotheseprofitscomefrom.\[20\]훜쇕뷜.훐맺막욱쫐뎡뚯솿닟싔펮샻탔퇐뺿\[J\].쫀뷧뺭볃,\[10\]DeBondt,.,,(1).marketoverreact\[J\].JournalofFinance1985(40):793-805.\[21\]컢쫀얩,컢뎬열.컒맺막욱쫐뎡ꆰ볛룱맟탔닟싔ꆱ뫍ꆰ펯폠맟탔닟\[11\]Daniel,Kent,DavidHirshleifer,andAvanidharSubrahmaynam.싔ꆱ뗄쪵횤퇐뺿\[J\]뺭.볃뿆톧,2003,(4).Investorpsychologyandsecuritymarketunderandoverreactions\[22\]ퟞ킡랲.컒맺횤좯쫐뎡믘놨싊맽뛈랴펦뗄쪵횤럖컶\[J\]뺭.볃뿆\[J\].JournalofFinance1998(53):1839-1886.톧,2003,(4).\[12\]AntoniosAntoniou,,:thecaseofthe(퓰죎뇠킣ꆡ컢퇔)ꆯsASharesLIUShao2bo,YONGZhu2jia(DepartmentofFinance,JinanUniversity,Guangzhou,Guangdong,510632,China)Abstract:,ꆯsꆰAꆱshares,wefindboththewinnersandthelosersperformworsenthanaveragereturnofthemarketovera1-to12-monthholdingperiod,,,statistically,:Winners;Losers;AbnormalReturn;Overreact;Underreact' 1995-2005 Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.
