2005쓪2퓂5뗚19뻭뗚2웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뮪ꆡ뚫ꆡ뺭ꆡ볃ꆡ맜ꆡ샭EastCꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡFeb.,,막쫐훐뗄맽뛈랴펦폫랴펦늻ퟣ퇮짆쇖,췵쯘럯(뫏럊릤튵듳톧ꆡ맜샭톧풺,낲믕ꆡ뫏럊ꆡ230009)[햪튪]맽뛈랴펦폫랴펦늻ퟣ쫇막쫐춶훐뗄솽룶틬뎣탐캪,놾컄죏캪돽쇋ꆰ쫤볒ꆪꆪꆪ펮볒킧펦ꆱꆢꆰ쫐펯싊틬뎣ꆱ틔췢,ꆰ뺮엧쿖쿳ꆱ튲쫇맽뛈랴펦뗄뗤탍뇭쿖;랴펦늻ퟣ퓲훷튪뇭쿖캪ꆰ솦막ꆱ믲ꆰ볛횵막ꆱ뗈ꆣ맽뛈랴펦폫랴펦늻ퟣ닺짺뗄훷튪풭틲쫇춶헟듦퓚맽뛈ퟔ탅ꆢퟔ컒맩틲벰놣쫘탔욫닮뗈,뎣볻뗄뛔닟쫇랴닟싔뫍뚯솿닟싔,놾컄럖컶쇋퓋폃랴닟싔뫍뚯솿닟싔뗄쪱믺톡퓱,틔쪹웤룼뻟뿉닙ퟷ탔ꆣ[맘볼듊]맽뛈랴펦;랴펦늻ퟣ;랴닟싔;뚯솿닟싔[훐춼럖샠뫅]F830ꆡꆡꆡ[컄쿗뇪쪶싫]Aꆡꆡꆡ[컄헂뇠뫅]1007ꆪ5097(2005)02ꆪ0119ꆪ03AnalysisofOverreactionandUnderreactioninStockMarketsYANGShan2lin,WANGSu2feng(SchoolofManagement,HefeiUniversityofTechnology,Hefei230009,China)Abstract:ꆰloser2winnereffectꆱandꆰPEratioabnormaltyꆱ,ꆰblowoutphenomenonꆱꆰglam2ourstocksandvaluestocksꆱ.Thereasonsfortheirexistencesareoverconfidence,,:overreaction;underreaction;contrarianttradingstrategy;momentumtradingstrategyꆡꆡ탐캪뷰죚톧죏캪,죋늢럇쫇췪좫샭탔뗄,평폚탅쾢늻ퟣ탞헽,잰웚뗄쫤볒붫펮뗃헽뗄뺭맽럧쿕뗷헻뗄뎬뛮믘놨돉캪뫍죏횪쓜솦폐쿞,춶헟퓚뻶닟맽돌훐뿉쓜믡닺짺탭뛠탄샭쿖퓚뗄펮볒,춬쪱잰웚뗄펮볒붫펮뗃뢺뗄뺭맽럧쿕뗷헻뗄뎬욫닮,죧맽뛈ퟔ탅ꆢퟔ컒맩틲뫍놣쫘뗈,늢평듋닺짺쇋솽룶뛮믘놨돉캪쿖퓚뗄쫤볒ꆣ퓚컒맺막쫐훐,틽웰막볛뗄맽뛈랴틬뎣춶탐캪ꆪꆪꆪ맽뛈랴펦(overreaction)뫍랴펦늻ퟣ(un2펦믲헟퇓동랴펦뗄탅쾢,춨뎣쫇뛾벶쫐뎡뗄탅쾢,믲헟쫇폫derreaction)ꆣ틬뎣춶탐캪쪹막욱볛룱췑샫웤볛횵,막볛맽릫쮾헦쪵뺭펪ힴ뿶맘쾵뷏킡뗄탅쾢(죧탩볙탅쾢ꆢ뒫퇔뗈)ꆣ럖늨뚯,늻뷶쪹춶헟돐떣쇋뷏듳뗄춶럧쿕,뛸쟒튲늻샻ꆰ틚낲뿆벼ꆱ(쿖캪ST틚낲)막볛듓1998쓪뗄5풪뛠ퟮ룟짏폚놾쫐뎡릦쓜뗄랢믓ꆣ놾컄횼퓚춨맽뛔맽뛈랴펦폫랴펦늻헇떽2000쓪2퓂뗄126131풪,탭뛠즢뮧퓚냙풪횮짏릺싲쇋ퟣ뗄뇭쿖뷸탐럖컶,헒돶웤닺짺뗄풨풴,쳡돶쿠펦뗄맦뇜닟헢횧막욱ꆣ좻뛸,뫃뺰늻뎤,2001쓪1퓂10죕,훐맺횤볠싔ꆣ믡탻늼뛔웤짦쿓닙ퟝ막볛뷸탐닩뒦,틚낲뿆벼막욱떱쳬벴틔튻ꆢ맽뛈랴펦폫랴펦늻ퟣ뗄뇭쿖뗸춣뾪엌,좫쳬럢쯀퓚42166풪짏,돉붻쾡짙ꆣ룃막폚2002(튻)맽뛈랴펦벰웤뇭쿖쓪뛈놻쪵쪩쳘뇰뒦샭,2003쓪9퓂25죕튻짳에뻶떱죕,뾪맽뛈랴펦쫇횸죋쏇뛔쒳튻탅쾢믲쫂볾뗄랢짺ퟶ돶쇋뇈헽엌볛뷶캪7176풪ꆣꆰ틚낲뿆벼ꆱ듓튻룶훚죋ힷ훰뗄듳펮볒뇤뎣랴펦룼볓잿쇒뗄랴펦ꆣ붫웤틽짪떽막쫐훐쫇횸헢퇹튻훖쿖돉쇋폀컞랭짭믺믡뗄듳쫤볒ꆣ쿳,평폚춶헟뛔뿉쓜펰쿬막볛뗄쒳훖탅쾢믲쫂볾뗄펰쿬솦21ꆰ뺮엧쿖쿳ꆱꆣ막쫐뺮엧쿖쿳쫇횸쫜춻랢탔쿻쾢듌벤,듦퓚죏쪶짏뗄욫닮,막볛믡돶쿖맽뛈헇뗸ꆣ벴막볛믡틲샻뫃막볛벱듙짏헇ꆣ맺쓚막욱쫐뎡쇴룸춶헟펡쿳ퟮ짮뿌뗄떱쫴쿻쾢뛸맽뛈짏헇,믲틲샻닮쿻쾢뛸맽뛈쿂뗸,듓뛸욫샫웤믹ꆰ6124탐쟩ꆱꆣ2002쓪6퓂22죕,닆헾늿뫍훐맺횤볠믡탻늼뒡볛횵,뛸퓚쯦뫳뗄튻뛎쪱볤쓚,헢훖욫샫붫놻랴쿲탞뢴ꆣ훘듳쿻쾢,맺컱풺ퟶ돶뻶뚨,돽웳튵몣췢랢탐짏쫐췢,뛔맺뛸쟒막볛짏짽믲쿂붵맽뛈뗄돌뛈풽듳,웤랴랽쿲퓋뚯뗄돌뛈쓚짏쫐릫쮾춣횹횴탐ꆶ복돖맺폐막돯벯짧믡놣헏뷰맜샭퓝튲풽듳(DeBondtandR1Thaler,1985)ꆣ막욱볛룱돊맽뛈랴탐냬램ꆷ훐맘폚샻폃횤좯쫐뎡복돖맺폐막뗄맦뚨,늢늻퓙돶펦뗄쪱볤뎤뛌늻튻,폐쪱뎤듯벸쓪,폐쪱횻폐튻쳬믲튻룶킡첨뻟쳥쪵쪩냬램ꆣ훁듋,퓚2001쓪6퓂12죕뾪쪼쪵쪩뗄맺쪱,뛸뛌쪱볤쓚뗄맽뛈랴펦췹췹믡퓬돉막욱볛룱뗄듳럹늨뚯폐막복돖랽낸,퓚튻쓪뫳뻸듳늿럖틑놻럱뚨ꆣ쿻쾢튻돶,짮뫍럇뎣듳뗄돉붻솿ꆣ맽뛈랴펦퓚막쫐훐뗄훷튪뇭쿖폐:뮦듳엌벴뮹틔뺮엧탐쟩,튻쳬횮쓚뒴탂룟뗄900틚돉붻솿,11ꆰ쫤볒ꆪꆪꆪ펮볒ꆱ킧펦ꆣ쫇횸평폚춶헟뛔맽좥뗄쫤90%틔짏뗄막욱헇춣냥,좻뛸늻뻃,막볛뻍뾪쪼듳럹믘실ꆣ볒(뿷쯰막욱)맽럖놯맛,뛔맽좥뗄펮볒(펮샻막욱)맽럖31ꆰ쫐펯싊(P/E)틬뎣ꆱꆣ튻냣살쮵,뗍쫐펯싊뗄막욱샖맛,떼훂막볛욫샫웤믹뒡볛횵,듽튻뛎쪱볤횮뫳쫐뎡ퟔ뚯쿠뛔폚룟쫐펯싊막욱펦뻟폐룼룟뗄럧쿕뗷헻뫳쫕틦ꆣ쫐펯싊[쫕룥죕웚]ꆡ2004ꆪ12ꆪ06[믹뷰쿮쒿]ꆡ낲믕쪡죭뿆톧퇐뺿볆뮮쿮쒿(03035005)[ퟷ헟볲뷩]ꆡ퇮짆쇖(1948ꆪ),쓐,뫏럊릤튵듳톧뢱킣뎤,뷌쫚,늩떼,퇐뺿랽쿲:쿖듺맜샭샭싛랽램뫍벼쫵;췵쯘럯(1979ꆪ),얮,쮶쪿,퇐뺿랽쿲:웳튵맜샭ꆣꆪ119ꆪ' 1994-2006 China Academic Journal Electronic Publishing House. All rights reserved.
욫뗍쫇틲캪춶헟뗃떽튻쾵쇐뮵쿻쾢틔뫳뇤뗃맽럖놯맛,듓뢴ꆣ뛸떼훂볛횵퓝쪱놻뗍맀,튻떩풤웚캴살펯샻뫃폚쿈잰늻뫏샭(뛾)놣쫘탔욫닮폫랴펦늻ퟣ뗄놯맛맀볆,볛룱붫믡뗃떽톸쯙뻀헽ꆣ쿠랴,쓇킩룟쫐펯싊떼훂랴펦늻ퟣ뗄탄샭풭틲쫇놣쫘탔욫닮(conservation뗄막욱퓲쫇볛횵놻룟맀(Basu,1977)ꆣ좻뛸,퓚훐맺막쫐,bias)ꆣ놣쫘놻횤쪵욫샫놴튶쮹맀볆믲에뛏,벴뛔믹뒡움에룸평폚믺릹춶헟솦솿잿듳쟒쫐뎡듦퓚춶믺럧웸,튻킩뿷쯰퇏폨맽뛠뗄좨훘,뛸뛔탂뗄쫽뻝훘쫓늻ퟣ,놣쫘틗틽훂랴펦늻훘뗄ꆰST막ꆱ놻듳쯁뎴ퟷ,쫐펯싊늢늻쓜랴펳릫쮾막욱뗄헦ퟣ(JamesMontier,2002)ꆣ만횴(beliefperseverance)쫇놣헽돉뎤쟩뿶,즢뮧춶폚뗍쫐펯싊뗄막욱늢늻쓜믱샻,뗍쫐쫘뗄튻룶벫뛋쟩탎ꆣ죋쏇튻떩탎돉쒳훖뾴램,췹췹뻍쯀쯀볡펯싊막욱쿠뛔폚룟쫐펯싊막욱뛸퇔,췹췹늢늻쓜듺뇭뷏룟뗄돖쯼ꆣ탄샭톧볒쪵퇩횤쏷,튻떩죋쏇ퟶ돶쇋ퟔ벺뗄에뛏,튪춶볛횵ꆣ룄뇤웤풭쿈뗄에뛏쫇뷏캪삧쓑뗄ꆣ듓헢튻탄샭틲쯘돶랢,죧늢늻횻쫇웕춨춶헟닅믡맽뛈랴펦,튵뗄횤좯럖컶죋맻릫훚쯹믱횪뗄릫릲탅쾢폫웤풭살뗄에뛏쿠,퓲퓚틔뫳샠풱춬퇹듦퓚늻춬돌뛈뗄맽뛈랴펦쿖쿳ꆣ2001쓪떱짏횤횸쫽듯쯆릫릲탅쾢돶쿖쪱,죋쏇췹췹믡뛔웤닉좡늻훘쫓믲늻쿠탅뗄떽2000뗣쪱,퓸폐튵뗄횤좯럖컶죋풱풤닢횸쫽붫짏짽떽첬뛈,듓뛸뛔ퟔ벺뗄에뛏놣돖늻뇤믲횻쫇싔캢뗘뗷헻2800뗣;떱짏횤횸쫽뗸떽1300뗣쪱,폖폐튵뗄풤닢믺릹(DanielK1,HirshleiferD1andTeohS1H1,2002)ꆣ평폚샺쮵횸쫽튪뗴떽1000뗣ꆣ맽뛈랴펦뗄쿖쿳퓚막욱쫐뎡쫇쓜릻쪷풭틲,컒맺막쫐횰쓜뚨캻듭컳,폃솽뻤뮰살룅삨뻍쫇ꆰ헾뺭뎣뾴떽뗄ꆣ닟췐쫐ꆢ막쫐좦잮ꆱꆣ뗘랽헾뢮캪쇋냯훺쇓훊웳튵짏쫐,닎(뛾)랴펦늻ퟣ벰웤뇭쿖폫짵훁냯훺웤뷸탐냼ힰ,훆퓬탩볙탅쾢;훐뷩믺릹폫짏쫐릫랴펦늻ퟣ쫇횸춶헟뗍맀쇋ퟮ뷼믱뗃뗄탅쾢,뒦폚놣쫘쮾뒮쒱퓬볙;짏쫐릫쮾틔돯뫍쫕틦ퟮ듳뮯캪쒿뗄,퓚닆컱ힴ첬,뛔쒳킩탅쾢랴펦샤떭,짵훁쎻쪲쎴랴펦ꆣ놾살쫴폚ힴ뿶튵벨릫늼훐훆퓬탩볙탅쾢쯰몦막뚫샻틦,믲틾싷헦쪵닆ꆰ듳ꆱ뗄샻뫃믲샻뿕쿻쾢,퓚쿻쾢릫늼쪱,좴뗃늻떽쫐뎡뗄컱ힴ뿶,믲캥놳돐억;쫐뎡볠맜믺훆듦퓚슩뚴,튵믺릹퓬믘펦,믲쫇쫐뎡랴펦캢죵ꆣ랴펦늻ퟣ틢캶ퟅ볛룱퓚튻뚨쪱볤볙뫍뢯냜뗄돉놾첫뗍ꆣ횤좯쫐뎡듳솿뗄늻맦랶탐캪쪹춶헟쓚붫퇘풭랽쿲볌탸퓋뚯,탎돉쟷쫆ꆣ탅탄퇏훘쫜듬,뛔막쫐닺짺쇋늻탅죎룐,떱샻뫃쿻쾢돶첨랴펦늻ퟣ퓚뇈뷏돉쫬뗄막쫐훐훷튪뇭쿖캪ꆰ솦막ꆱ믲쪱,춶헟랴펦샤떭,떼훂뷼쓪살컒맺막쫐막욱붻틗돖탸뗍ꆰ볛횵막ꆱ쿖쿳ꆣ쯹캽솦막,쫇횸맽좥뇭쿖뫃캴살뇭쿖튲쏔ꆣ뫃뗄막욱,뛸볛횵막퓲쫇횸맽좥튵벨늻뫃붫살튵벨튲늻뫃뗄(죽)탄샭뻠샫폫맽뛈랴펦뫍랴펦늻ퟣ막욱ꆣ뛔폚솦막,춶헟맽좥춶폚헢샠막욱믱샻,죏캪맽뛈랴펦뫍랴펦늻ퟣ뮹폫탄샭뻠샫폐맘ꆣJoachimG1ꆢ쯼쏇퓚캴살튲펦룃튵벨솼뫃,뛸뫶쫓춶웚볤돶쿖뗄튻킩뢺RudigerV1N1(2001)죏캪,탄샭뻠샫뿉럖캪쪱볤짏뫍뿕볤쏦쿻쾢,믲벴쪹틢쪶떽쇋헢킩쿻쾢쫇늻샻뗄떫죔좻볡돖뾴뫃짏솽훖ꆣ쪱볤짏뗄탄샭뻠샫쫇횸탂쿻쾢닺늻닺짺펰쿬믲펰쿬쯼쏇,좻뛸헢샠막욱퓚쯦뫳뗄튻뛎쪱볤쓚늢캴쓜놣돖뷏뫃뗄듳킡,폫쿻쾢뫃뮵컞맘믲맘쾵늻듳,횻폫쿻쾢샯쏦뗄뚫컷닺튵벨퓶뎤ꆣ볛횵막뗄쟩뿶퓲룕뫃쿠랴,쯤좻폐쿠맘뗄샻뫃쿻짺킧맻쯹탨쪱볤뎤뛌폐맘ꆣ샽죧,냤늼튻킩듫쪩룄짆막쫐뮷쾢돶첨,떫춶헟랴펦샤떭,뛸춨뎣쯼쏇뗄튵벨퓚뺭맽튻뚨뺳,쯹탨쪱볤췹췹뷏뎤뛸쟒볻킧싽,퓬돉탄샭뻠샫볓듳,듓쪱볤뫳믡뗃떽퓶뎤,퓶뎤쯙뛈짵훁믡뎬맽솦막ꆣ뷼쓪살퓚뛸뛔쫂볾랴펦늻ퟣ;쇭튻랽쏦,튻킩듫쪩죧닩캥맦뗈,탐뚯컒맺막쫐,춶헟뛔샻뫃쿻쾢랴펦늻ퟣ쫇쿠뛔폚짏쫐릫쮾헻탨쪱볤뛌,퓬돉탄샭뻠샫쯵킡,듓뛸뛔쫂볾랴펦맽뛈ꆣ뛸뿕쳥뛸늻쫇쓄튻횻막욱뛸퇔뗄ꆣ뇈죧튻킩짏쫐릫쮾랢늼훘듳쿮볤짏뗄탄샭뻠샫횸탂쿻쾢닺늻닺짺펰쿬믲펰쿬듳킡폫뻠샫ퟔ쒿춶릫룦,떫평폚틔잰튲퓸폐짏쫐릫쮾샻폃쯹캽뗄ꆰ뫃쿮벺뗄풶뷼쿠맘,뻠샫풽뷼룸폨뗄좨훘풽듳ꆣꆰ럇뗤ꆱ틟쟩ퟮ쒿ꆱ붫ퟔ벺냼ힰ돉튵벨폅솼뗄릫쮾,ퟮ뫳좴놻랢쿖쿮쒿뫜짙돵랢짺퓚맣뚫쪱늢캴뛔막쫐닺짺듳뗄펰쿬,떫쫇쯦ퟅ틟쟩삩폨틔헦헽쪵쪩,헢퇹뗄샽ퟓ뻙늻쪤뻙,틔훂뫳살퓙폐릫쮾랢즢뫍늡샽쫽ퟖ뗄퓶볓,막쫐돶쿖놩헇(죧튽튩냥뿩)ꆢ놩뗸늼샠쯆쿻쾢쪱,춶헟뛔릫쮾쫇럱쓜릻헦헽쪵쪩룃쿮쒿듦퓚(죧몽뿕냥뿩)뗄헰떴,ힷ엵믲뿖믅탔엗엌늻뛏펿쿖,탭뛠뮳틉,뛔릫룦탅쾢랴펦샤떭ꆣ뛔튻킩돏쪵뺭펪뗄짏쫐릫쮾살막쏱냑컕늻뫃쳘쫢쪱웚뗄ퟟ쫆,뛸톡퓱쇋돶뻖맛췻ꆣ쮵,퓚쯦뫳뗄튻뛎쪱볤,쿮쒿춶닺믱샻,춶헟닅훰붥죏쪶(쯄)탄샭헋뮧폫맽뛈랴펦뫍랴펦늻ퟣ떽릫쮾튵벨뗄좷믱뗃쇋퓶뎤ꆣ펦룃쮵,듓훐뎤웚살뾴,쯦ퟅ맽뛈랴펦뫍랴펦늻ퟣ뮹뿉틔폃춶헟뗄탄샭헋뮧살뷢막쫐뗄늻뛏맦랶,헢킩샻뫃쿻쾢쫇쓜릻훰붥컼틽룼뛠뷰쫍ꆣ퓚뷸탐뻶닟쪱,죋쏇췹췹쟣쿲폚늻쫇좨뫢좫뻖쟩뿶뷸탐뗄ꆣ뾼싇,뛸쫇퓚탄샯컞틢쪶뗘냑쯼럖돉벸룶늿럖(벴탄샭헋뛾ꆢ맽뛈랴펦폫랴펦늻ퟣ뗄돉틲뮧)살뾴,뛔쎿룶헋뮧닉좡(뿉쓜늻킭뗷뗄)늻춬뻶닟(튻)맽뛈ퟔ탅ꆢퟔ컒맩틲욫닮폫맽뛈랴펦(Grinblatt,M1andHan,B1,2001)ꆣ퓚막욱쫐뎡짏,춶듓춶헟탄샭살뾴,떼훂맽뛈랴펦뗄풭틲훷튪폐솽랽헟믡붫ퟔ벺뗄춶ퟩ뫏(Portfolio)럖돉솽늿럖:튻늿럖쫇쏦,튻쫇맽뛈ퟔ탅(overconfidence),뛾쫇ퟔ컒맩틲욫닮럧쿕뗍뗄낲좫춶,튻늿럖쫇럧쿕뷏룟떫뿉쓜쪹ퟔ벺룼뢻폐(self2contributionbias)ꆣ맽뛈ퟔ탅쫇횸죋쏇쟣쿲폚맽뛈쿠탅뗄춶ꆣ헢쫇평폚죋쏇뚼폐볈쿫뇜쏢쯰쪧폖쿫뇤뗃뢻폐뗄탄ퟔ벺뗄에뛏,뛸뗍맀헢훖에뛏뿉쓜듦퓚뗄욫닮(DeBondt첬,틲듋,쯻쏇믡냑솽룶ꆰ탄샭헋뮧ꆱ럖뇰뾪살,튻룶폃살andThaler,1985)ꆣ퓚뺭퇩탔뮷뺳쿂죋쏇뛔ퟔ벺뗄에뛏튻냣맦뇜욶쟮,튻룶폃살튻뎯훂뢻ꆣ뛸쟒,퓚뾼싇컊쳢뗄쪱뫲,뚼맽폚ퟔ탅춶헟췹췹쎿듎횻뾼싇튻룶탄샭헋뮧,냑쒿잰튪뻶닟뗄컊쳢,맽폚ퟔ탅뻍믡돶쿖듭컳,떱듭컳뗄뷡맻훘뢴돊쿖퓚쏦잰쪱,죋쏇뻍믡듓훐톧쾰,웤뺭볃탐캪뇭쿖뻍쫇맽뛈뫍웤쯻뗄뻶닟럖샫뾴듽,벴붫춶ퟩ뫏럅퓚죴룉룶ꆰ탄샭헋랴펦(Cutler뮧ꆱ훐,늻첫퓚틢쯼쏇횮볤뗄릲춬뇤틬쫽,평폚춶헟맽폚,PorterbaandSummers,1991)ꆣ평폚좱랦릫릲탅쾢믲탅쾢늻돤럖,춶헟뿉쓜쟣쿲폚틀삵럇릫릲탅쾢(죧맘탄떥룶헋뮧뗄펯뿷뛸늻쫇힢틢헻쳥킧맻,뿉쓜믡떼훂맽뛈킡뗀쿻쾢)살ퟶ돶춶뻶닟,늢죏캪헢훖탅쾢쫇ퟔ벺믲냼삨랴펦뫍랴펦늻ퟣꆣퟔ벺퓚쓚뗄짙쫽죋쯹뛀폐뗄,죝틗뿤듳웤볛횵,폈웤퓚컒죽ꆢ랴닟싔폫뚯솿닟싔맺,막쫐뎴ퟷ뫍닙ퟝ쿖쿳폈캪퇏훘,튻킩쯹캽뗄킡뗀쿻쾢웤맽뛈랴펦뗄맦뇜닟싔훷튪쫇랴닟싔(Contrariant쪵쫇볒맊틢즢늼뗄,늻쏷헦쿠뗄막쏱튻떩뷓쫜쇋헢샠쿻쾢tradingstrategy),뛸뚯솿닟싔(Momentumtradingstrategy)뇣돉캪쇋쫜몦헟ꆣퟔ컒맩틲욫닮퓲쫇횸춶헟맽폚룟맀믲죏퓲훷튪폃폚뻀헽랴펦늻ퟣꆣ뿉폫ퟔ벺틢볻튻훂뗄탅쾢,뛸뫶쫓틢볻쿠ퟴ뗄탅쾢,죴돉릦(튻)랴닟싔퓲맩틲폚ퟔ벺뗄얬솦,쪧냜쇋퓲맩폚퓋웸늻뫃,헢훖틢쪶쯦랴닟싔,뻍쫇싲뷸맽좥뇭쿖닮뗄막욱ꆢ싴돶맽좥뇭쿖ퟅ춶쫕틦뗄퓶볓믡늻뛏볓잿,떼훂막볛믡틲쒳튻샻뫃쿻쾢뫃뗄막욱,틔듋뷸탐쳗샻뗄춶랽램ꆣ랴튻냣럖캪볛룱랴믲샻닮쿻쾢짏헇퓙짏헇믲쿂뗸퓙쿂뗸,죧듋퓚튻뛎뷏뎤쪱볤뫍쫕틦랴ꆣ볛룱랴쫇횸헢퇹튻훖춳볆쿖쿳,죧맻틔횤쓚욫샫웤샭싛볛캻,닺짺맽뛈랴펦,늢퓚쯦뫳폖돶쿖랴쿲탞좯쫐뎡짏맽좥3ꆫ5쓪뗄믘놨캪믹뒡붫막욱럖캪ꆰ쫤볒ꆱ뫍ꆪ120ꆪ' 1994-2006 China Academic Journal Electronic Publishing House. All rights reserved.
ꆰ펮볒ꆱퟩ뫏(벴맽좥뇭쿖닮뗄막욱뫍맽좥뇭쿖뫃뗄막욱),쪵쪩랴닟싔뗄맘볼퓚폚뛔탐쟩뚥늿믲뗗늿뗄에뛏ꆣ튻퓲퓚쯦뫳뗄3ꆫ5쓪뿉틔맛달떽,맽좥뗄쫤볒햽쪤쇋맽좥뗄냣죏캪,탐쟩뒦폚뚥늿뗄뇭쿖훷튪폐:(1)막볛ퟟ쫆듯떽룟펮볒ꆣ뛸쫕틦랴쫇횸틔뷼웚뗄룷샠닆컱뇈싊,죧E/P(쫕럥,퓚룟캻엌탽,컞솦퓙쿲짏엊짽;(2)막볛돊럇샭탔듳럹틦볛룱뇈),B/M(헋쏦볛횵폫쫐뎡볛횵뇈싊)뗈,붫막욱뿱헇,좴쎻폐쿠펦뗄돉붻솿엤뫏;(3)돉붻솿뒴쳬솿,죋뷔럖캪쫕틦탍막욱뫍돉뎤탍막욱,퓲퓚쯦뫳뗄3ꆫ5쓪뿉틔랢퇔막,떫막볛늢쎻폐쯦돉붻솿뗄럅듳뛸돉튻뚨뇈샽뗄짏퇯쿖,쫕틦탍막욱햽쪤쇋돉뎤탍막욱ꆣ죧맻싲뷸맽좥뗄쫕틦탍뗈,듋쪱튪쏜쟐힢틢,쯦쪱ퟶ뫃돶믵ힼ놸ꆣ랴횮,막볛뎤웚막욱ꆢ싴뿕맽좥뗄돉뎤탍막욱,퓲뿉틔믱뗃룟폚쫐뎡뗄뎬뎣쿂뗸훁마뗗,돉붻솿뒴뗘솿,막볛퓚뗍떵엌탽,펦싲죫막믘놨ꆣ틲캪쫕틦탍막욱췹췹쫇맽좥뇭쿖닮뗄막욱,뛸돉뎤탍욱ꆣ막욱튻냣쫇맽좥뇭쿖뫃뗄막욱,쯹틔튲쫇튻훖랴쿖쿳ꆣ뛸쪵쪩뚯솿닟싔훷튪퓚폚뛔쟷쫆뗄퇐에ꆣ떱탐쟩죔폐짏Poterba(1988)ꆢJegadeesh(1990)뗈쳡릩쇋뛌웚쫕틦믘맩쟷헇뿉쓜,듋쪱싲죫캴살죔뿉믱샻;뛸떱탐쟩뮹폐쿂뗸뿕볤쫆뗄횤뻝,Chopra(1992)뛔쏀맺막쫐뗄맽뛈랴펦쿖쿳쳡릩쪱,맻뛏싴돶뿉복짙쯰쪧ꆣ튻냣살쮵,틔쿂쫐뎡쿖쿳뇭쏷막쇋퇐뺿횧돖,AndrewꆢMacKinlay(1990)랢쿖룹뻝막욱틔잰쫐캴살뿉쓜짏헇:(1)탐쟩퓚잰뷸춾훐,춣뛙쿂살엌헻틑폐뗄퓂쫕틦ힴ뿶,닉폃랴닟싔살싲싴막욱,쎿퓂뿉틔믱뗃뎬튻뛎쪱볤,돯싫틑쿻뮯뗃닮늻뛠;(2)늻좷퓤뗄뒫퇔퓬돉럇뛮쫕틦;Lehmann(1990)폃훜ퟩ뫏탎돉웚,랢쿖쎿쇹룶퓂샭탔쿂뗸;(3)얯럧욵뒵,막볛죔컞듳럹짏퇯;(4)ꆰ맽맘뿉틔닺짺헽뗄쫕틦ꆣ췵폀뫪ꆢ헔톧뻼(2001)퇐뺿쇋1993ꆪ싲뷸ꆱ,막볛춻웆짏떵톹솦맘뿚횮뫳,헢쫊뫏뛌쿟춶헟뷩2000쓪뗄짮뮦솽쫐좫늿A막랢쿖,퓋폃랴닟싔돉릦뗄뿉죫,떫펦뷷럀뗴뷸ꆰ쿝?ꆱ;(5)죋웸믣벯,듳솿폎뷸죫쓜탔뇈뷏듳,뛸쟒웚췻뎬뎣쫕틦럇뎣뿉맛ꆣ막쫐뗈,뇭쏷막볛뒦폚짏짽쟷쫆,뿉횴탐싲죫뚯솿닟싔ꆣ랴튻냣뗘,춶헟뿉헫뛔막쫐훐뗄쒳횻막욱믲쒳룶냥뿩막횮,퓲펦싴돶ꆣ욱뷸탐훘뗣퇐뺿,튻떩랢쿖막욱볛룱돶쿖쇋맽뛈랴펦,벴쿠[닎뾼컄쿗]뛔폚웤믹뒡볛횵퇏훘욫뗍(믲욫룟),퓲뿉횴탐랴닟싔,\[1\]DeBondW,Richard1T1Doesthestockmarketover2막볛욫뗍퓲싲뷸,욫룟퓲싴돶,듽캴살볛룱랴쪱퓙퓚룟캻react?\[J\].JournalofFinance,1985,40(3):793-805.싴돶믲뗍캻싲뷸틔믱샻ꆣ\[2\]Basu,1S1InvestmentPerformanceofCommonStocks(뛾)뚯솿닟싔inRelationtoTheirPrice-EarningsRatios:ATestoftheEffi2뚯솿닟싔,벴풤쿈뛔막욱쫕틦뫍춶솿짨뚨맽싋ힼ퓲,cientMarketHypothesis\[J\].JournalofFinance,1977,32횻폐떱막욱쫕틦믲막욱쫕틦뫍춶솿춬쪱싺ퟣ맽싋ힼ퓲쪱,(6):663-682.닅싲죫믲싴돶막욱ꆣ뚯솿튻냣럖캪볛룱뚯솿ꆢ쫕틦뚯솿뫍뎤\[3\]Cutler,D1M1,Poterba,J1M1&L1H1Summers1웚뚯솿ꆣ볛룱뚯솿폫볛룱랴쫇뛔펦뗄,횻늻맽쫇틔횤좯쫐Speculativedynamics\[J\].ReviewofEconomicStudies,1991,뎡짏맽좥3ꆫ12룶퓂뗄믘놨캪믹뒡,뛸쟒맽좥뗄쫤볒죔좻쫇58(3).쫤볒,뛸맽좥뗄펮볒죔좻쫇펮볒ꆣ뚯솿춶닟싔뻍쫇싲뷸맽\[4\]JamesMontier,BehavioralFinance:IngsihtsintoIrra2좥뗄펮볒뛸싴뿕맽좥뗄쫤볒,퓚붫살뗄3ꆫ12룶퓂쓚뻍뿉틔tionalMindsandMarkets\[J\].JohnWilye&Sons,LTD,믱뗃뎬뎣믘놨ꆣ쫕틦뚯솿뗄퇐뺿쫇틔벾뛈쫕틦릫룦캪믹뒡2002,(3).뗄,탭뛠퇐뺿랢쿖,쓇킩릫늼폐틢췢뫃쿻쾢뗄막욱퓚릫룦죕\[5\]Daniel,K1,Hirshleifer,D1,andTeoh,S1H11In2훜캧2ꆫ3쳬폐헽뗄뎬뛮믘놨,늢쟒헢훖뎬뎣뇭쿖췹췹믡돖vestorpsychologyincapitalmarkets:evidenceandpolicyimplica2탸3ꆫ12룶퓂,뛸쓇킩릫늼폐뮵쿻쾢뗄막욱퓲쿠랴ꆣ죧맻컒tions\[J\].JournalofMonetayrEconomics,2002,49:139-쏇퓚쫕틦릫룦죕싲뷸쓇킩릫늼폐틢췢뫃쿻쾢뗄막욱ꆢ싴뿕쓇209.킩릫늼폐뮵쿻쾢뗄막욱,늢돖폐3ꆫ12룶퓂,퓲뿉틔믱뗃뎬\[6\]Joachim,1G,Rudiger,V1N11BehavioralFinance뎣믘놨ꆣ뎤웚뚯솿폫쫕틦뚯솿폐킩샠쯆,쯼퇐뺿막욱쫐뎡뛔\[R\].JohnWilye&Sons,LTD,2001.훮죧닰막ꆢ믘릺ꆢ쫕릺뗈쫂볾뗄뛌웚뫍뎤웚랴펦ꆣJe2\[7\]Grinblatt,M1,Han,B11TheDispositionEffectandgadeeshꆢTiman(1993)퓚뛔닺막욱ퟩ뫏뗄훐볤쫕틦뷸탐Momentum\[R\].Workignpaper,UCLA,2001.퇐뺿쪱랢쿖,틔3훁12룶퓂캪볤룴쯹릹퓬뗄막욱ퟩ뫏뗄훐\[8\]Poterba,1JandL1Summers1MeanReversioninStock볤쫕틦돊쿖돶퇓탸탔,벴훐볤볛룱뻟폐쿲쒳튻랽쿲솬탸뇤뚯Returns:EvidenceandImplications\[J\].JournalofFinancial뗄뚯솿킧펦ꆣ훜쇕뷜(2002)죏캪,퓚싴뿕믺훆듦퓚뗄볙뚨Economics,1988,22:27-60.쿂,뷏뛌(튻룶퓂)뗄뚯솿닟싔뗄쫕틦쿔훸룟ꆣ\[9\]Jgeadeesh,N11Evidenceofpredictablebehaviorofse2퓚쪵볹훐,춶헟훘뗣튪냑컕뛔막볛랴펦늻ퟣ뗄에뛏,curityreturns\[J\].JournalofFinance,1990,45:881ꆪ898.틀짏쯹쫶,죴춶헟랢쿖막쫐떱잰뒦폚랴펦늻ퟣ,막볛퓚캴\[10\]NavinChpora,JosefLakonishokandJayRiffer1Mea2살죔폐뿉쓜퇓탸쪱,튪벰쪱쪵쪩뚯솿닟싔,벴싲뷸뻟폐짏헇suringAbnormalPerformance:DoStockOverreacct?\[J\].1Jof뿕볤뛸싴돶죔폐볌탸쿂뗸쟷쫆뗄막욱,떱막볛뷓뷼쟷쫆뗄캲Fin1Econ11992,31:235-268.늿쪱,퓙퓚룟캻엗돶믲뗍캻컼뷸,듓뛸쪵쿖춶볛횵ꆣ\[11\]Lo,AndrewW1,A1Mackinlay1WhenAreContrari2(죽)퓋폃랴닟싔뫍뚯솿닟싔뗄쪱믺톡퓱anProfitsDuetoStockMarketOveraction?\[J\].ReviewofF2i퓋폃랴닟싔믲뚯솿닟싔뗄맘볼퓚폚톡퓱잡떱뗄쪱믺ꆣnancialStudies,1990,3:175-205.쯹캽쪱믺,늢늻쫇횸튻룶ꆰ쪱뗣ꆱ,뛸쫇튻룶ꆰ쪱뛎ꆱ,틲캪\[12\]LehmanB1Fads1Martingalesandmarketefficiency막볛ퟟ쫆쫇솬탸뗄,탐쟩뗄탎돉쫇튻룶뮺싽ꆢ훰붥뗄뇤뮯맽\[J\].QuarterylJournalofEconomics,1990,105(2):1-28.돌,뛸늻쫇튻죕탎돉뗄ꆣ폐뗄춶헟튻폐뷰뻍십짏뷩죫막\[13\]췵폀뫪,헔톧뻼1훐맺막쫐맟탔닟싔뫍랴닟싔쫐,짺엂첤뿕ꆣ웤쪵늻좻,막쫐폀풶돤싺쇋믺믡,훷튪퓚폚뗄쪵횤럖컶\[J\].횤좯쫐뎡떼놨,2001,(5).쫇럱톡퓱쇋헽좷뗄춶쪱믺ꆣ싲싴쪱믺뗄좷뚨쫇튻룶럇뎣뢴\[14\]Jgeadeesh,N1,Titman,S11Returnstobuying퓓뗄릤ퟷ,떫튲늢늻쫇컞맦뿉톭ꆣ튻냣살쮵,듏쏷뗄춶헟winnersandsellinglosers:implicationsforstockmarketefficiency쪼훕뚼뚢ퟅ쫐뎡늻럅,틲캪쫐뎡쿖쿳폫싲싴쪱믺폐ퟅ뷴쏜뗄\[J\].JournalofFinance,1993,48:65-91.솪쾵ꆣퟶ뎤쿟뗄춶헟튲늻쓜뎤웚늻맘힢쫐뎡,럱퓲,뛔쫐\[15\]훜쇕뷜1훐맺막욱쫐뎡뚯솿닟싔펮샻탔퇐뺿\[J\].뎡믡쪧좥쏴룐뛈폫샭뷢솦,뷩죫쪱닅듒쎦좥뾴쫐뎡,믡퓬돉쫀뷧뺭볃,2002,(8).튻뚨뗄쎤쟸폫컳쟸ꆣ[퓰죎뇠벭:헅ꆡ쟠]ꆪ121ꆪ' 1994-2006 China Academic Journal Electronic Publishing House. All rights reserved.
