ݓܢௐ൧ӆ႔Ⴥ܄ۡྐ༏Ԯ־ིႋ࣮ݢ֣ሷ ӧ ਊ ۚ芃勤ᅋ ေ:本文以上市公司业绩预告或正式盈余公告披露日的数据为样本,通过计算隐含相关收益率并构造投资组合,系统地研究了公司的盈余公告信息对行业内其他公司以及其他行业相关公司的影响,发现盈余信息在行业内及行业间存在传递性b同时,在控制盈余动量效应和盈余公告后价格漂移效应的基础上,发现市场在信息传递过程中存在反应不足b可以认为,这种反应不足是中国股市长期存在但并未被证实的市场/异象0b交易成本能在一定程度上对此做出解释bܱՍ:盈余信息传递 反应不足 交易成本 隐含相关收益率၂ ႄ Ⴕི൧ӆࡌඪ(EMH)ಪ,ູܢௐࡎ۬߶ؓ൧ӆྐ༏ቓԛॹّႋ,ၹՎྐ༏܄ۡު,҂߶ԛགྷૼཁ֥൬ၭყҩ৯ބӑح൬ၭࠏ߶b൞൧ӆഈթᄝሢᇙ؟ິّᆃ၂ࡌඪ֥/ၳའ0,ఃᇏቋᇷ֥၂২ьູ႔Ⴥ܄ۡުࡎ۬၍(PEAD)bBallބBrown(1968)൮Ցؿགྷھགྷའ,ಪູ܄ඳ႔০܄ۡުܢௐࡎ۬၇ಖթᄝοໃყ௹႔Ⴥٚཟӻ࿃၍֥൝bՖЧᇉഈࢃ,ᆃ၂൝൞ܢௐࡎ۬ીႵؓ႔Ⴥ܄ۡቓԛّႋ,ࠧ൧ӆᄝྐ༏Ԯ־ᇏթᄝّႋ҂ቀbᆭު,նਈ֥ൌᆣ࣮ؓᆃ၂ၳའࣉྛਔဒ,ᆣൌPEADིႋᇔթᄝ,ѩ၇ಖႵ৯ֹ็ᅞሢ/Ⴕི൧ӆ0ٓൔ(Fama,1998)bॖ,PEADིႋቔູ၂ᇕ/ၳའ0,ఃࢣൕ֥ࡎܸ۬,ྟᄝЧᇉഈᆺ൞܄ۡ܄ඳؓሱദ႔Ⴥྐ༏֥/٤ྟ0ّႋb൙ൌഈ,ႮႿྛြ۲܄ඳၛࠣ҂ྛြြༀႵܱ৳֥܄ඳ൳ཌྷරࣜ࠶৯ਈ֥౺,۲܄ඳ֥ࠎЧ૫ऎႵޓն֥ཌྷܱྟbၹՎՖྐ༏ݣਈ࢘؇ٳ༅,Ч໓ಪູ,၂۱܄ඳ႔Ⴥྐ༏֥ؿ҃҂ࣇ႕ཙਔ܄ඳЧദ֥ܢௐࡎ۬,ุགྷູPEADིႋ֥ቔႨ,طؓྛြః܄ඳ֥ܢࡎॖିӁള႕ཙbമᇀ,ႮႿྛြ္ऎႵཌྷܱ,ྟྛြଽଖ۱܄ඳؿ҃႔Ⴥ܄,ۡఃྐ༏ॖି္߶႕ཙაھྛြႵૡ్ܱ༢֥ఃྛြ,Ֆطіགྷູ႔Ⴥ܄ۡྐ༏ᄝྛြଽ҂܄ඳࠣ҂ྛြࡗ֥Ԯ־bପહ,ᆌؓഈඍᆃ၂ॖିթᄝ֥ྐ༏Ԯ־ݖӱ,֒၂ࡅ܄ඳؿ҃႔Ⴥ܄ۡު,ఃྐ༏֝ᇁਔЧ܄ඳ֥PEADིႋ,൞ڎ္߶ྛြః܄ඳၛࠣఃཌྷܱྛြӁളཌྷරّႋ?ࠧᆃ၂ّႋ൞ڎೂPEADིႋ၂ဢ,္൞/٤ྟ0,֥൞ڎဢіགྷູ൧ӆّ֥ႋ҂ቀ?ೂݔЧ໓॥ᇅ႔ჅਈིႋބPEADིႋ֥႕ཙ,၇ಖթᄝᆃ၂ّႋ҂ቀ,ପહھّႋ൞ڎࣼ൞၂ᇕӉࣲթᄝѩໃФᆣൌ֥൧ӆ/ၳའ0?ູՎ,Ч໓ᆌؓૄ۱࠱؇۲܄ඳ၇Ցؿ҃႔Ⴥ܄ۡᆃ၂ݖӱ,ֹ࣮ਔၘ܄֥ۡ႔Ⴥྐ༏ؓྛြᇏߎໃ܄ۡ܄ඳܢௐࡎ֥۬႕ཙ,ၛࠣᆃ၂ྐ༏ؓఃཌྷܱྛြ֥႕ཙbՖطဒ܄ۡྐ༏ᄝྛြଽ۲܄ඳࠣ҂ྛြࡗԮ־֥ॖି,ྟဒᆣ႔Ⴥ܄ۡЇݣ֥ྐ༏ݣਈbࣉط,ဒ൧ӆԮ־႔Ⴥྐ༏֥Ⴕིྟࠣ൧ӆؓྐ༏ّ֥ႋіགྷ,ᆣൌഈඍթᄝ/ၳའ0֥ഡམbؽ ໓ངሸඍ40؟୍ট,ᄝࣁವ࿐ބ߶࠹࿐ਵთ,ؓPEADགྷའࣲ֥࣮ࣜ҂කbሺܴݓଽຓ֥࣮,նਈ֥໓ངՖ၂ष֥PEADགྷའဒᆣധೆؿᅚ֞ᇀࣂ֥Ӯၹࢳ(BernardބThomas,1989;Mendenhal,l1991;Cohenetal1,2008;ൗ୪,2005;।ת,2007;ӧݓࣉ,2008)b൞ᆃུ࣮၂ᆰअཋ44 ࣜ࠶భခ 2009୍11ᄅ ֻ11௹
Ⴟ႔Ⴥ܄ۡྐ༏ؓሱദܢௐࡎ֥ܸ۬ྟ࣮,ޓഒႵ໓ང༢ྟ֥ٳ༅܄ۡྐ༏ؓྛြః܄ඳ֥႕ཙbࠧႵഒਈ໓ང࣮܄ۡྐ༏აྛြଽః܄ඳܢࡎ֥ܱ༢(Firth,1976;FreemananބTse,1992),൞ࣇअཋႿྛြଽ,ીႵ༢ྟ֥ٳ༅ྛြଽ֥႔Ⴥྐ༏ؓఃཌྷܱྛြ֥႕ཙbطഈඍ֥ᆃ၂ܱ༢္ᆺ൞ّ႘႔Ⴥ܄ۡԮ־ݖӱᇏЇݣ֥ྐ༏ݣਈ,ીႵധೆ࣮ᄝᆃ၂ྐ༏ঔݖӱᇏ,൧ӆ൞ྟ֥ߎ൞٤ྟ,֥൧ӆ൞ڎթᄝّႋ҂ቀbᄝགྷႵ֥໓ངᇏ,ᆺႵRamnath(2002)༢ྟֹ࣮႔Ⴥ܄ۡྐ༏ؓః܄ඳ֥႕ཙ,ၛࠣ൧ӆᄝྐ༏Ԯ־ݖӱᇏթᄝّ֥ႋbRamnath(2002)ᆌؓ428ࡅഈ൧܄ඳ,ᄎႨ൙ࡱ࣮م࣮ਔ۲࠱؇ቋ༵܄֥ۡ႔Ⴥྐ༏ؓྛြଽ෮Ⴕ܄ඳ֥႕ཙbؿགྷᆃ၂ྐ༏ିყҩཌྷܱ܄ඳ֥൬ၭ,Ֆطᆣૼ൧ӆթᄝّႋ҂ቀb൞,Ramnath֥࣮ѩીႵัԢቋ༵܄֥ۡ႔Ⴥྐ༏ؓؿ҃܄ඳሱദ֥႕ཙ,ၹՎః࣮ᇏթᄝPEADᄮၻbൈᄝRamnath࣮֥൙ࡱԳ१ଽ,ႮႿႵః܄ඳ҂؎ؿ҃ྍ֥႔Ⴥྐ༏,طᆃུྐ༏ဢ߶ቔႨႿ۲ሱ֥܄ඳ,ପહ൙ࡱ௹ଽܢௐࡎ۬߶ൈФሱദ܄ۡྐ༏ބཌྷܱྐ༏෮౺bၹՎ๙ݖቋ༵܄֥ۡ႔Ⴥྐ༏ٳ༅൧ӆّ֥ႋ҂ቀ,Чᇉഈޓٳᆃᇕ҂ቀ൞൳ཌྷܱ܄ඳ႔Ⴥྐ༏֥႕ཙߎ൞ႮPEADིႋቔႨ֥ࢲݔbቔູؓRamnath(2002)࣮֥ڿࣉބؿᅚ,Ч໓֥ଢ֥ᄝႿֹٳ༅۲࠱؇ଽၘ܄֥ۡ႔Ⴥྐ༏ؓྛြఃߎໃ܄ۡ܄ඳ֥႕ཙbႮႿၘ܄֥ۡ܄ඳऎႵ఼ਛ֥PEADིႋ,ၹՎ,֒ଖ၂ࡅ܄ඳؿ҃႔Ⴥྐ༏ൈ,࣮ఃޘࢩ૫ཌྷܱྟ,сಖัԢھྐ༏ؓྛြ෮Ⴕၘ܄ۡݖ֥܄ඳၛࠣ܄ۡ܄ඳሱദ֥႕ཙbෛު,֒༯၂ࡅ܄ඳؿ҃႔Ⴥ܄ۡൈ,ᇗگഈඍݖӱbᆰᇀھ࠱؇෮Ⴕ܄ඳ܄ۡປиbၹՎ,Ч໓࣮֥ᆃ၂ྐ༏Ԯ־ݖӱ൞۱҂؎ཨԢPEADིႋ,ൈ҂؎֥Ⴎྍྐ༏ูսࣸྐ༏,طྍྐ༏৵࿃ঔ֥ݖӱbᄝഈඍࠎႿ܄ඳ൪࣮֥࢘ࠎԤഈ,Ч໓࿃ՖྛြҪ૫ԛؿ,๙ݖഡ࠹҂֥࣮ٚم,бࢠٳ༅ਔྛြଽ႔Ⴥ܄ۡྐ༏ؓఃཌྷܱྛြ֥႕ཙbѩᄎႨሧӁקࡎଆؓᆃུॖିթᄝ֥ྐ༏ঔིႋࣉྛڄགၮࡎטᆜ,Ֆطᄝ֥۬֝ࠎԤഈဒᆣЧ໓ิԛ֥ഡམb ࣮ഡ࠹ೂޅޙਈ႔Ⴥ܄ۡྐ༏ؓః܄ඳ֥႕ཙ?Ч໓๙ݖഡ࠹ႅݣཌྷܱ൬ၭ,ੱѩၛՎູѓሙܒᄯส০ቆކ,ൈࣜݖሧӁקࡎଆ֥ҩ൫ܴҳ۲ሧቆކ֥іགྷb(၂)ႅݣཌྷܱ൬ၭੱ֥࠹ෘ࠹ෘ҄ᇧೂ༯:11ၛ႔Ⴥ܄ູۡ൙ࡱ,࿊౼܄ۡభު၂۱ࢌၞರູൈࡗԳ१,࠹ෘૄ۱ܢௐiᄝૄ၂ൈࡗԳ१֥नӑح൬ၭੱAARibT1)AARi=(AARiq-Rj)(1)3Eq=T-9(1)ൔᇏ,Ridູ܄ඳiᄝֻd۱ࢌၞರ֥ರ൬ၭੱ,BRdіൕֻd۱ࢌၞರധܢ൧ಆ҆Aܢ֥ੀ๙൧ᆴ൬ၭੱb21ᄝ(T+1)௹,ࠎႿݖಀ10۱࠱؇֥AARi,࠹ෘྛြଽ܄ඳiބj֥Pearsonླྀٚҵ¹bT))H1ij,T+1=(AARiq-Ri)(AARjq-Rj)(2)10Eq=T-9(2)ൔᇏ,Hij,T+1ູ(T+1)࠱؇ࠎႿݖಀT௹AARi֥ဢЧླྀٚҵ,AARiqֻູq࠱؇܄ඳiᄝ܄ۡ௹֥नӑح൬ၭb)Riູݖಀ10۱࠱؇नӑح൬ၭੱAARi֥नᆴ,Ⴈ܄ൔіൕູ:T)Rj=1AARiq(3)10Eq=T-9FORWARDPOSITIONINECONOMICS Nov1 200945
31ࡌഡᄝֻ(T+1)࠱؇,ؓႿః܄ඳ,ၘ܄֥ۡ႔Ⴥྐ༏ЇݣႵࡎᆴ֥ଽಸbູՎ,ॖၛ๙ݖྛြଽ൬ၭੱ֥ޘࢩ૫֥ཌྷܱྟট૭ඍᆃᇕܱ༢bൈ,ՖӉ௹ট,ुᆃ၂ቔႨܱ༢္ุགྷᄝοൎඔऌ࠹ෘԛট֥AARiླྀٚҵᇏbၹՎ,ਈ߄ഈඍၹݔܱ༢,ьॖ࣍රֹ֤֞(4)ൔb))Hij,T+1=(ERi,T+1-Ri)(IRj,T+1-Rj)(4)(4)ൔᇏ,ERi,T+1ູ(T+1)࠱؇܄ඳiᄝ႔Ⴥ܄ۡರ֥ӑح൬ၭ,ੱIRj,T+1ູ(T+1)࠱؇܄ඳjᆌؓྛြଽః܄ඳ֥႔Ⴥ܄ۡطቓԛّႋ,ՖطӁള֥ႅݣཌྷܱ൬ၭੱ,ࠧ܄ඳi֥႔Ⴥ܄ۡྐ༏ؓ܄ඳj൬ၭੱ֥႕ཙ),RiބRiႮ܄ൔ(3)࠹ෘॖ֤b(4)ൔ๙ݖսඔэߐ,֤֞ႅݣཌྷܱ൬ၭੱೂ(5)ൔbHT))R))ij1AAiq-RiIRj,T+1=+Rj=)ER10E(AAR)jq-Rj)+Rj(5)q=T-9i,T+1-RiERi,T+1-Ri)܄ൔiq-Ri(5)ᇏAAR,ູၘ܄ۡ܄ඳൎ۲௹֥नӑح൬ၭੱაఃनᆴ֥ொ(ၮࡎ)Ԣ)ERi,T+1-Riၛ֒௹ၮࡎ,ؓႿՎᆴ,Ч໓ࡼఃഡູб২ၹሰ,Ⴈটטᆜໃ܄ۡ܄ඳᄝൎ۲௹֥ၮࡎӱ؇,ఃࢲݔაӉ௹नӑح൬ၭੱ܋थקໃ܄ۡ܄ඳᄝ֒௹֥௹ຬ൬ၭੱ(IRj,T+1),Ֆط؇ਈਔၘ܄֥ۡ႔Ⴥྐ༏ؓྛြଽః܄ඳ൬ၭੱ֥႕ཙbཌྷႋ,ֹܒᄯ֥ᆣಊቆކ္ၛՎູѓሙࣉྛ߃ٳb41ഈඍ֥ഡ࠹ࡌഡૄ၂ࢌၞರᆺႵ၂۱܄ඳؿ҃܄ۡb൙ൌഈ,թᄝ؟ࡅ܄ඳᄝ၂฿܄҃႔Ⴥྐ༏֥གྷའ,ູՎྩᆞ܄ൔ(5),ڮჍ؟ࡅ܄ۡ܄ඳ҂֥ླྀٚҵಃᇗºbູіඍౢ༉,ई২ೂ༯bࡌഡ܄ඳiބmᄝ၂฿ؿ҃܄,ۡط܄ඳjބnߎໃ܄ۡ,ູՎ,ཌྷؓ܄ඳiބm֥႔Ⴥྐ༏,jބn܄ඳ֥ႅݣཌྷܱ൬ၭੱ࠹ෘೂ(6)ൔbH))ijHmjNRj,T+1=wij()+Rj)+wmj()+Rj)ERi,T+1-RiERm,T+1-RmH)inHmn)NRn,T+1=wij()+Rn)+wmn()+Rn)(6)ERi,T+1-RiERm,T+1-Rm(6)ൔᇏ,ಃᇗwij,wmjބwmnູAARiླྀٚҵ֥ࡆಃनඔ,іൕູ:|Hwij||Hmj||Hin||Hmn|ij=j=,win=|Hij|+|H,wmmj||Hmj|+|Hij||Hin|+|H,wmn=mn||Hin|+|Hmn|(7)(ؽ)ႅݣཌྷܱ൬ၭੱ֥ླྀٚҵཛބӉ௹ཛႮ܄ൔ(5)֤ᆩ,ႅݣཌྷܱ൬ၭੱႮਆ҆ٳܒӮHij,)ބ)Rjbఃᇏ,ֻ၂҆ٳӫູླྀٚҵERi,T+1-Riཛ,ֻؽ҆ٳູӉ௹नӑح൬ၭੱ(AARi)ཛb࠻ಖЧ໓࣮֥ଢѓ൞ཌྷܱ܄ඳؓၘ܄ۡྐ༏ّ֥ႋ,ࠧླྀٚҵ҆ٳ,ପહᄝ࣮ഡ࠹ᇏ,ླ߄Ӊ௹AARiཛؓႅݣཌྷܱ൬ၭੱ֥႕ཙbնਈ֥໓ངᆣૼ,ؓႿໃট֥൬ၭ,ൎ֥႔Ⴥྐ༏,หљ൞ݖಀ4۱࠱؇֥नӑح൬ၭੱ(AARi)ऎႵཌྷ఼֥֒ყҩ৯(Chan,Jegadeesh,Lakonishok,1996)bၹՎ,Ֆંഈࢃ,࠹ෘႅݣཌྷܱ൬ၭੱླัԢቋ࣍4۱࠱؇֥AARiඔऌ,Ֆطղ֞ཨԢ႔ჅਈҦ֥ଢ֥b൞࣮ؿགྷ,ၛݓഈ൧܄ඳඔऌູဢЧ,০Ⴈݖಀ10۱࠱؇(Їওቋ࣍4۱࠱؇)֥႔Ⴥඔऌ,๙ݖ࠹ෘAARनᆴ,ѩၛՎູѓሙܒᄯส০ቆކ,ဒᆣ֥႔Ⴥਈིႋᄝࣜ࠶ބ࠹ၩၬഈन҂ཁᇷbఃᇏ,नӑح൬ၭੱູ28۱ࠎЧ,ׄtᆴູ0135,ࠧࣜݖFamaބFrench(1993)ၹଆ֥ڄགטᆜ,t֥ቋۚᆴᆺႵ0185,ჹ֮ႿཁᇷྟඣbၹՎ,ॖၛಪູࠎႿݖಀ10۱࠱؇ඔऌ࣮ส০ቆކᇏ႔Ⴥྐ༏֥ߏતঔིႋ,ᄝЧᇉഈၘ46 ࣜ࠶భခ 2009୍11ᄅ ֻ11௹
ࣜཨԢਔਈིႋb෮ၛ,Ч໓ಪ,ູӉ௹AARiཛؓႅݣཌྷܱ൬ၭੱ႕ཙႵཋ,ࠧႵ႕ཙ,ఃིႋ္൞۴ჷႿֻ၂҆ٳ)))ླྀٚҵཛb()ࠎႿႅݣཌྷܱ൬ၭੱܒᄯቆކЧ໓۴ऌರஆم,࣮༵܄֥ۡ႔Ⴥྐ༏ؓ൧ӆ֥႕ཙbࡌഡᄝ(T+1)࠱؇,ଖ܄ඳᄝࢌၞರSؿ҃႔Ⴥ܄,ູۡՎ,۴ऌ܄ൔ(5)ࠇ(6),࠹ෘԛྛြ෮Ⴕໃ܄ۡ܄ඳ֥ႅݣཌྷܱ൬ၭੱ(IRiS),ѩၛՎູѓሙ߃ٳ5۱ቆކbఃᇏ,ቆކ1Ⴎቋ֥֮ႅݣཌྷܱ൬ၭੱܒӮ,ቆކ5Їওቋ֥ۚႅݣཌྷܱ൬ၭੱbؓႿૄ၂ቆ,ο൧ӆੀ๙ࡎᆴಃᇗ,ٳљ࠹ෘՖ(S+1)ರष֞༯၂۱܄ۡರFԛགྷ(ݣF)ູᆸ֥ܓઙѩӻႵቆކ൬ၭੱ(buy-and-holdreturn),ࠧ:npSRp,S+1=EXiSRi,S+1(8)i=1(8)ൔᇏ,XiSູໃؿ҃႔Ⴥ܄ۡ܄ඳiᄝࢌၞರS֥൧ӆࡎᆴა၂ࢌၞರቆކpᇏ෮Ⴕໃ܄ۡ܄ඳ֥൧ӆࡎᆴᆭб,ࠧࡎᆴಃᇗbRi,S+1൞܄ඳiᄝࢌၞರ(S+1)֥൬ၭੱbnpSіൕᄝࢌၞರSࣉೆቆކp֥܄ඳඔbႮႿ֞༯၂܄ۡರFູᆸ,ቆކp֥ܒӮन҂э,ၹՎᆃ၂௹ࡗቆކp֥ರ൬ၭੱٳљ۴ऌܒӮቆކ۲ܢௐ֥ರ൬ၭੱࡆಃ࠹ෘط֤bؓႿ༯၂܄ۡರF,ႮႿ႔Ⴥྐ༏ؿളڿэ,ᆭభ၂ᆰӻႵ֥ቆކ္ؿളэ߄bູՎ۴ऌཌྷٚم,ᇗྍ߃ٳႅݣཌྷܱ൬ၭੱ,ѩၛՎܒᄯF௹ࡗ֥ቆކ൬ၭੱb൞,ູཨԢ܄ಪ֥႔Ⴥ܄ۡުࡎ۬၍(PEAD)གྷའ,ቆކᇗྍܒᄯൈ,ᆭభၘࣜ႔Ⴥ܄ۡݖ֥܄ඳ,ᄝ࠹ෘႅݣཌྷܱ൬ၭੱൈनჍၛัԢb෮ၛ,ᄝЧ໓࣮ᇏ,ೂݔᆣൌྐ༏Ԯ־թᄝّႋ҂ቀ,ପહᆃ၂གྷའ҂նॖିႮPEADིႋӁളbᄝൌ࠽ܒᄯቆކൈ,ႮႿଖུࢌၞರቀܔܢௐॖ܂ٳ,ၹՎمྙӮႵིቆކ,ܣᄝՎ௹ࡗ5۱ቆކनሧႿڄགሧӁbႮႿഈඍ࣮ഡ࠹ଽಸࢠگᄖ,ൈႻടࠣ֞ቆކܒᄯ֥ނྏ,ູіղౢ༉,Ч໓๙ݖྴσ২ඪૼܱ֥ഡ࠹,ೂ1෮ൕb1 ܄ۡರ௹ა܄ۡ܄ඳࡌഡ2008୍ֻ၂࠱؇֥܄ۡᇏ,൧ӆᆺႵ11ࡅഈ൧܄ඳ,ٳљটሱਆ۱ྛြbྛြ1Їও܄ඳ:AaBaCaDaEaF;ྛြ2Їও܄ඳ:uawaxayazbᄝֻ၂۱܄ۡರ(4ᄅ3ರ),܄ඳA൞ྛြ1ᇏቋᄪؿ҃܄֥ۡ܄ඳb࠹ෘ܄ඳAაྛြః܄ඳਆਆཌྷܱླྀٚҵބႅݣཌྷܱ൬ၭ,ੱѩܒᄯቆކbᄝֻؽ۱܄ۡರ(4ᄅ6ರ),ྛြ1აྛြ2ൈႵ܄ඳؿ҃܄ۡ,ัԢ܄ඳA,ުٳљ࠹ෘ܄ඳBaCauაྛြໃ܄ۡ܄ඳ֥ႅݣཌྷܱ൬ၭੱb֞ਔֻ۱܄ۡರ(4ᄅ10ರ),ᆺႵྛြ1Ⴕ܄ඳؿ҃܄,ۡՎൈ࠹ෘDაྛြఃໃ܄ۡ܄ඳ֥ႅݣཌྷܱ൬ၭੱ,ѩϜഈ၂۱܄ۡರ(4ᄅ6ರ)ྛြ2ྙӮ֥ཌྷܱ൬ၭੱᄜՑӻႵ,ᆰ֞༯၂۱ࢌၞರԛགྷྛြ2֥܄ඳؿ҃܄ູۡᆸbᄝቋު၂۱ࢌၞರ(4ᄅ25ರ)ྛြ1ಆ҆܄ۡປи,ྛြ2ߎഺ༯2۱܄ඳໃؿ҃܄,ۡՎൈ,ႮႿીႵቀܔ֥܄ඳॖ܂ٳჍ5۱ቆކ,෮ၛ۲ቆކनሧႿڄག൬ၭੱሧӁbऎุܒᄯࢲݔೂі1෮ൕbFORWARDPOSITIONINECONOMICS Nov1 200947
і1 ႅݣཌྷܱ൬ၭੱቆކܒᄯҦ܄ۡರ༵܄ۡ܄ඳ(෮උྛြ)ު܄ۡ܄ඳࣉೆቆކ֥܄ඳ(෮උྛြ)A,B),(A,C),(A,D),4ᄅ3ರA(ྛြ(1)B,C,D,E,F(ྛြ1)(A,E),(A,F)(B,D),(B,E),(B,F),B,C(ྛြ1)D,E,F(ྛြ1)4ᄅ6ರ(C,D),(C,E),(C,F)u(ྛြ2)(u,w),(u,x),(u,y),(u,z)w,x,y,z(ྛြ2)D(ྛြ1)(D,E),(D,F)E,F(ྛြ1)4ᄅ10ರ()(ྛြ2)()w,x,y,z(ྛြ2)E,F(ྛြ1)()ቀܔॖ܂ٳ֥܄ඳ4ᄅ25ರw,x(ྛြ2)(w,y),(w,z),(x,y),(x,z)ቀܔॖ܂ٳ֥܄ඳ(ඹ)ቆކӑح൬ၭ֥ሧӁקࡎҩ൫۴ऌഈඍҦ,Ч໓࠹ෘԛ5۱ቆކၛࠣઙೆቋۚaછԛቋ֮(ႅݣཌྷܱ൬ၭੱ)ส০ቆކ֥ᄅ൬ၭੱਙ,ѩؓఃࣉྛሧӁקࡎҩ൫,ऎุٚمೂ༯:11ሧЧሧӁקࡎଆ(CAPM)֥ҩ൫Rpt-RFt=Ap+Bp(Rmt-RFt)+Ept(9)(9)ൔᇏ,Rpt൞ቆކp֥ᄅ൬ၭੱ,RFtູڄག൬ၭ,Ap൞ࣜCAPMטᆜު֥൬ၭੱ,(Rmt-RFt)൞൧ӆၮࡎ,Eptູ݂֥߭༂ҵཛb21FamaandFrench֥ၹଆҩ൫»ູࡎቆކ֥іགྷ,Ч໓ᄎႨFamaބFrench(1993)ၹଆؓᄅ൬ၭੱਙࣉྛڄགטᆜ:Rpt-RRFt=Ap+Bp(Rmt-RRFt)+spSMBt+vpHMLt+Ept(10)(10)ൔᇏ,SMBt൞ัԢಃၭᅬ૫൧ᆴб(B/M)ၹުཬܿଆ܄ඳაնܿଆ܄ඳቆކ֥൬ၭҵ;HMLt൞ัԢܿଆၹުۚB/Mቆކა֮B/Mቆކ֥൬ၭҵحb31Carhart֥ඹၹଆҩ൫Carhart(1997)๙ݖྩڿၹଆ,ᄹࡆਔࡎ֥۬ਈ(momentum)ၹሰbൌᆣіૼ,ႮႿݓթᄝࡎ۬ਈིႋ,ܣႋႨඹၹଆؓቆކࣉྛڄགטᆜbRpt-RRFt=Ap+Bp(Rmt-RRFt)+spSMBt+vpHMLt+mpMOMt+Ept(11)(11)ൔᇏ,MOMtູਈၹሰ,൞ݖಀ11۱ᄅቋۚ൬ၭაቋ֮൬ၭቆކᆭҵbഈඍ࣮֥ଢ֥൞ູਔᆣૼ,ೂݔၘ܄ۡ܄ඳ֥႔Ⴥྐ༏ିֹФໃ܄ۡ܄ඳ෮ѽࠆ,ପહᆃུໃ܄ۡ܄ඳ֥ܢௐࡎ۬ࣼ҂ॖିթᄝყҩ,ྟߐओ߅ඪ,෮ܒᄯ֥ส০ቆކ҂ႋھႵࠆ౼ӑح൬ၭ֥ॖିbڎᄵ,Ч໓֥࣮ࡼᆣൌଖᇕໃᇭႿགྷႵ໓ང֥൧ӆ/ၳའ0bඹ ඔऌটჷaဢЧ࿊ᄴა࠹૭ඍ(၂)ඔऌটჷაဢЧ࿊ᄴЧ໓࣮֥෮ႵඔऌটሱCSMARඔऌ९ބWindඔऌ९bఃᇏ,ഈ൧܄ඳࢌၞඔऌটሱCSMAR_Tሰඔऌ९bႮႿ2003୍ᆭభ,WINDҍༀඔऌ९֥႔Ⴥྐ༏ᆺႵᇏБބ୍Б,طᄝ࠹ෘਆਆཌྷܱླྀٚҵൈ,Ֆ2003୍၂࠱؇ष,ҌିЌᆣᆭభ10௹֥ҍༀඔऌ,ၹՎࠎႿࢌၞඔऌླაҍༀᆷѓཌྷჰᄵ,Ч໓࿊౼ࢌၞඔऌ֥௹ཋູ2003୍4ᄅ1ರᇀ2008୍6ᄅ30ರb48 ࣜ࠶భခ 2009୍11ᄅ ֻ11௹
႔Ⴥ܄ۡඔऌটሱWindҍༀඔऌ९,Їও1998୍ᇏБ֞2008୍ֻ၂࠱؇БۡbႮႿՖ1998୍ఏ,ݓᆣಊ൧ӆఓႨြࠛყۡᇅ؇,ཌྷбᆞൔ႔Ⴥ܄ۡ,ြࠛყۡԮ־֥܄ඳ႔০ྐ༏۷ࠣൈ,൧ӆؓఃّႋ֥ൈࡗ္۷ᄪb෮ၛ,ᄝЧ໓֥࣮ᇏ,֒թᄝყۡྐ༏ൈ,௹֥႔Ⴥ܄ۡඔऌФყۡྐ༏෮սูbቋᇔࠆ֤33996۱႔Ⴥ܄ۡဢЧ,ఃᇏყۡඔऌູ9078۱,ᅝሹ܄ۡဢЧ֥2617%bൈ,ႮႿЧ໓࣮܄ඳ֥܄ۡྐ༏Ԯ־ሑঃ,ၹՎ,ླؓژކ႔Ⴥ܄ۡေ֥ഈ൧܄ඳࣉྛೱ࿊bԚ҄็࿊෮Ⴕ֥AܢඔऌູဢЧ,ѩัԢSTࠇPTܢௐ,ჰၹᄝႿఃࢌၞ౦ঃაࡎ۬ྛູࢠห൹bఃՑ,ᄝ࠹ෘႅݣཌྷܱ൬ၭੱൈ,ᄝ൙ࡱԳ१௹ࢌၞඔऌಌാ֥܄ඳ,ᄝဢЧᇏ္ჍၛัԢbቋ,ުؓႿ܄ඳૄ၂Ց܄ۡ,ႮႿླ࠹ෘӉ௹AARླྀٚҵ,ၹՎᄝఃݖಀ10۱࠱؇ଽ,႔Ⴥ܄ۡՑඔഒႿ2Ց֥ܢௐဢЧनჍၛԢbቋᇔ֤֞1381ࡅഈ൧܄ඳဢЧb(ؽ)ྛြٳোࠣཌྷܱ࠹Ч໓֥ંࠎԤ൞ႮႿ൳ཌྷර֥ࣜ࠶৯ਈ֥౺,ྛြଽ۲܄ඳऎႵޓն֥ཌྷܱྟbၹՎᄝ࠹ෘႅݣཌྷܱ൬ၭބܒᄯቆކభ,۴ऌᇏݓᆣࡓ߶ϯ֥҃5ഈ൧܄ඳྛြٳোᆷႄ6ؓ܄ඳࣉྛྛြٳቆbႮႿЧ໓ӱ֥ނྏ)))ႅݣཌྷܱ൬ၭੱ֥࠹ෘᇶေႮླྀٚҵཛ(Hij)ބӉ௹नӑح൬ၭੱཛ(LT-AAR)ܒӮ,ၹՎ,οᅶྛြ߃ٳ,ٳљؓᆃਆ҆ٳࣉྛ࠹ٳ༅b࠹ෘఃनᆴaѓሙҵaဢЧඔ,ࠣᆞaڵཌྷܱб২,ఃᇏ,नᆴބѓሙҵၛ-310ູֆ໊bࢲݔೂі2෮ൕbі2 ྛြ࠹ٳ༅ྛြྛြӫ܄ඳHHHHHijijijijijLT-AARLT-AARLT-AARඔଢनᆴѓሙҵဢЧඔ>0<0नᆴѓሙҵဢЧඔ1୪ਟତ290101901140121960155301447-31639814905002િฒaെႲ370101401179152480152801472-01406811305643ൊ360102401522166650155301447-112201014915914ࣵ240101901128119570154001460-01488710055015١ᆮڛል600101301157511040153501465-212317126910306ᄯᆼႆ27010270116793120155901441-11724619654387߄۽11601010014171907780152301477-110788140719968ཝࢋෑਘ19010210135861520152101479-21208713113589ሰྐ༏640101201168338830153801462-219017145383110ۑํ300102601114158890160301397-014036175457711Ⴕࣁඋ3701056114951345301548014522177216164652712ࠏྀ9101009011471116750153501465-1161971140152713ࢌ๙ഡСᇅᄯ640101611482651550151701483-01709181497116714၎၎іaఖ780101401314805450153801462-1157691669129715ളᇅူ8501011017001195460153101469-11114111360157816܂ඣ܂గ600100701135659450151101489-1153751805117317ࡹҋ720101801381678250153501465-2184071795118718ࡹᇽ300102001151118580155301447-2164461773492FORWARDPOSITIONINECONOMICS Nov1 200949
(续上表)ྛြྛြӫ܄ඳHHHHHLT-AARLT-AARLT-AARijijijijijඔଢनᆴѓሙҵဢЧඔ>0<0नᆴѓሙҵဢЧඔ19ᄎൻੀ6001012011015177801544014560101051258104020๙ྐ360102201158165830156201438-214606178158721࠹ෘࠏ420101501189240280153301467-316767130070422ؿ12010540115423710160901391015335135422323ਬ൲540100801099582500152801472-0181551923110624સၞࣜࡀս17010240110955000158501415-113175163534025ࣁವ270106921788501001570014302102412138232226ֹٜӁ610101501147660660154301457-2137161258117827ഠ߶ڛༀ22010090111055370148901511-111006129434128ᇾීaҔႂ21010280116369330156701433-210266147538129࢝ტԮૂ9010810158513440160401396-212987191016830ሸކো610100801118760620152101479-11747515811264ሸކ1381010230139612186480153301467-113608110423988Ⴎі2ॖᆩ,नཌྷܱ༢ඔູᆞ,5313%ဢЧ֥༢ඔնႿਬ,ᆺႵ4617%б২ཬႿਬbܴҳ30۱ྛြ,෮Ⴕ֥ཌྷܱ༢ඔनᆴູᆞ,Ֆطᆣൌݓྛြଽ֥ഈ൧܄ඳऎႵࢠ఼֥ཌྷܱྟbࣉ၂҄ٳ༅ु,֞ဢЧ֥नѓሙҵູ01328,۱љྛြӑݖ1,ඪૼ۲ྛြ֥ཌྷܱྟѯࢠնbൈؿགྷ,Ӊ௹नӑح൬ၭੱ֥नᆴູڵѯखਛ,ඪૼᄝޓն౦ঃ༯,܄ۡԳ१௹۱ܢ֥іགྷਜႿ൧ӆb ൌᆣ࣮۴ऌഈඍٳ༅,ൌᆣ࣮Їও۱҆ٳ:(1)૭ඍቆކหᆘ;(2)Ֆ܄ඳҪ૫ҩਈቆކіགྷ,Ֆطඪૼ႔Ⴥ܄ۡྐ༏Ԯ־֥ྐ༏ݣਈ,ࣉطဒᆣЧ໓ิԛ֥൧ӆթᄝ/ၳའ0֥ഡམ;(3)ՖྛြҪ૫ٳ༅ਔ႔Ⴥ܄ۡྐ༏ؓఃཌྷܱྛြ֥႕ཙ;(4)ՖࢌၞӮЧ࢘؇ࢳቆކ֥іགྷb(၂)ቆކหᆘ૭ඍ۴ऌႅݣཌྷܱ൬ၭੱܒᄯሧቆކ,ٳљ૭ඍః࠹หᆘ,ೂі3෮ൕbі3ᇏ,A҆ٳၛႅݣཌྷܱ൬ၭੱູնཬ,၇Ցٳູ5ቆ,ֻ1ቆսіቋ֮ႅݣཌྷܱ൬ၭੱ֥ܒӮ,ֻ5ቆູቋۚቆކܒӮ,(5-1)ቆіൕઙೆቋۚaછԛቋ֥֮ส০ቆކbൈ,ٳљ࠹ෘૄ۱ቆކ֥ੀ๙൧ᆴஆ,ᅬ૫ࡎᆴაੀ๙൧ᆴбஆބAmihud٤ੀྟӮЧbఃᇏ,൧ᆴஆοᅶࣉೆቆކರ௹֥భ၂۱ᄅָ֥ੀ๙൧ᆴ࠹ෘ,౼ᆴٓຶູ[0,10]bط۲ቆކ֥ᅬ૫ࡎᆴა൧ᆴбஆοᅶFama-French(1993)ٚم,ၛ[0,10]ູٓຶ࠹ෘط֤bطAmihud֥٤ੀྟӮЧ۴ऌAmihud(2002)ჰ,ൈ࿊౼܄ۡರᆭభ၂୍ଽ֥ࢌၞඔऌູ࠹ෘဢЧb50 ࣜ࠶భခ 2009୍11ᄅ ֻ11௹
і3 ਆᇕٳቆѓሙ֥ቆކหᆘ૫൧ᆴAmihudA҆ٳੀ๙൧ᆴᅬudஆбஆ٤ੀӮЧB҆ٳੀ๙൧ᆴᅬ૫൧ᆴAmihஆбஆ٤ੀӮЧ1(ቋ֮)5111515341711(ቋᄪ)5114417641072511351695123251244180411735144517051123512351004128451895164415245150515041375(ቋۚ)5177517641605(ቋພ)516251574195** 0166*** 0123*** -0111** 0148*** 0181*** 0188**5-15-1(15137)(7175)(-5131)(5197)(9107)(3152) 注:***表示在1%水平上显著bՖі3ॖ,၇ऌቆކՖཬ֞ն,ੀ๙൧ᆴބᅬ૫൧ᆴб࣍රֆט־ᄹ,طܴҳઙೆቋۚaછԛቋ֥֮ส০ቆކ,࣐ܵਆᆀᄝ࠹ഈཁᇷ,൞ᄝࣜ࠶ၩၬഈቆކ5ა1֥ٳ҂ૼཁbFama-French(1993)֩ཌྷܱ໓ངಪ,ູཬܿଆaࡎᆴቆކ,ொཟႿࢠ֥ۚ൬ၭ,ၹՎ,۴ऌՎѓሙѩࢲކഈඍٳ༅ॖၛु֞,ႅݣཌྷܱ൬ၭੱቋ֥֮ቆކ,ࠧቆކ1,ႋ௹ຬሉ౼ቋ֥ۚ൬ၭ,طቆކ5௹ຬሉ౼֥൬ၭੱႋቋ֮b࣐ܵᆃਆ۱ቆކᄝࣜ࠶ഈҵљ҂ཁᇷ,൞ູཨԢᆃ၂གྷའ)))ᄝ၂קӱ؇ഈ႕ཙਔቆކ൬ၭ)))Ч໓ҐႨFama-FrenchၹބCarhart֥ඹၹଆؓఃࣉྛڄགטᆜ,Ֆط॥ᇅі3ᇏܴҩ֥֞གྷའؓሧቆކ֥႕ཙb(ؽ)܄ඳҪ૫ቆކіགྷ؇ਈ۴ऌഈඍ࣮ٚمࠣဢЧඔऌ,๙ݖ࠹ෘႅݣཌྷܱ൬ၭੱ,Ч໓ٳљ֤֞5۱ቆކࠣઙೆቋۚaછԛቋ֮ᆃ၂ส০ቆކbࢲݔೂі4෮ൕbі4 ࠎႿ܄ඳҪ૫֥ቆކ൬ၭੱA:ࢩएཛB:݂߭༢ඔބR2ܒᄯቆކӑح൬ၭCAPMၹඹၹଆଆଆ൧ӆၮࡎܿଆၹሰᅬ૫൧ᆴбၹሰਈၹሰR2**** 010189 010088 010056 010052 013878 019191 0115850113730116571(1116)(0153)(0134)(0131)(2116)(2125)(0125)(0124)***** 010276 010158 010133 010126 014500 017768 0105050123670117782(1182)(1104)(0187)(0182)(2171)(2106)(0109)(0145)***** 010278 010160 010129 010124 014563 015653 0120600118990116603(2100)(1116)(0191)(0187)(2196)(1162)(0139)(0139)***** 010349 010233 01021 010210 014393 014031 0100550125860112754(2142)(1163)(1195)(1139)(2170)(1109)(0101)(0151) 010367** 010242**** 010212***010200014824*** 014690 0111610141390115115(2152)(2118)(2172)(2133)(2197)(1127)(0121)(0181)***************** 010178010154 010156010148010946 -014501 -010424 0127660149445-1(3120)(2167)(3145)(3134)(1197)(-4113)(-0125)(1184) 注:***和**分别表示在1%和5%水平上显著bFORWARDPOSITIONINECONOMICS Nov1 200951
ॖၛु֞,ቋ֮ႅݣཌྷܱ൬ၭੱ֥ቆކ,ࠧቆކ1ૄᄅିሉ౼189۱ࠎЧ֥ׄӑح൬ၭ,൞࠹ഈ֥ཁᇷྟޓ֮(t=1116)bбࢠط,ऎႵቋۚႅݣཌྷܱ൬ၭੱ֥ቆކ(ቆކ5)ૄᄅӑح൬ၭູ367۱ࠎЧׄ,ࢠཁᇷ(t=2152)bطઙೆቋۚaછԛቋ֥֮ส০ቆކૄᄅࠆ֤֥ӑح൬ၭູ178۱ׄ,࠹ഈቋཁᇷ(t=3120)bၹՎ,۴ऌഈඍࢲં,Ч໓ಪ,ູ႔Ⴥ܄ۡྐ༏ᄝྛြଽ֥ಒթᄝԮ־,ྟࠧՖྐ༏ݣਈ࢘؇ط,܄ඳ֥܄ۡྐ༏ᆇൌ֥Їݣਔྛြଽఃཌྷܱ܄ඳ֥ྐ༏bطᆃ၂ࢲંႭఃᄝྛြଽཌྷܱྟ఼ਛ(ႅݣཌྷܱ൬ၭੱۚ)֥܄ඳࡗ۷ູཁᇷbࣉ၂҄ٳ༅і4ᇏ֥ൌᆣࢲݔ,ॖၛु,֞ส০ቆކࣜሧӁקࡎଆטᆜުᄝࣜ࠶ބ࠹ၩၬഈ၇ಖࢠູཁᇷ,Ֆطᆣൌၘ܄֥ۡ႔Ⴥྐ༏ؓߎໃ܄ۡ܄ඳ֥ܢௐࡎ֥۬ಒթᄝყҩ৯,ၹطᄝᆃ၂ྐ༏֥Ԯ־ݖӱᇏ,൧ӆթᄝّႋ҂ቀbൈ,ႮႿЧ໓ؓ႔ჅਈིႋބPEADིႋࣉྛਔ॥ᇅ,ၹՎᆃ၂ّႋ҂ቀ൞PEADིႋ,ުႻ၂/Ⴕི൧ӆၳའ0bطᆃ၂/ၳའ0ཁಖ҂ିФၹaඹၹଆ෮ࢳ¼bၹՎ۴ऌഈඍٳ༅,ॖၛಪູ,ႮႿׅ֥ࣜPEADིႋ࣮ਔ႔Ⴥ܄ۡؿ҃ު,܄ۡ܄ඳሱദܢௐࡎ֥۬၍໙ีbཌྷбࢠ,طЧ໓ᆣൌ֥/ၳའ0൞࣮ၘ܄ۡ܄ඳ֥႔Ⴥྐ༏ؓߎໃ܄ۡ܄ඳ֥႕ཙ,Ֆ࣮ؓའ,ࠧໃ܄ۡ܄ඳটु,ᆃ၂႕ཙؿളᄝሱദ႔Ⴥྐ༏܄҃ᆭభ,ၹՎ,Чᇉഈࢃ,Ч໓ࡼᆃ၂/ၳའ0ӫູ/႔Ⴥ܄ۡభࡎ۬၍0bᄜՑܴҳቆކ1֞ቆކ5,Ⴕ౿֥൞,ᄅӑح൬ၭӯགྷ၇Ց־ᄹགྷའ,Ֆቋ֥֮189۱ࠎЧׄ֞ቋ֥ۚ367۱ࠎЧׄbၹՎ,Ч໓ಪູ,ႅݣཌྷܱ൬ၭᄀ֥ۚቆކ,ᄀႵॖିࠆ֤ࢠն֥൬ၭb()ྛြҪ૫ቆކіགྷ؇ਈ۴ऌഈඍ֥ٳ༅,ॖၛᆣൌ႔Ⴥ܄ۡྐ༏ᄝྛြଽ֥ಒթᄝԮ־ྟ,ൈᄝᆃ၂Ԯ־ݖӱᇏ,൧ӆթᄝّႋ҂ቀ,ՖطӁള႔Ⴥ܄ۡభࡎ۬၍གྷའbପહᆌؓྛြࡗ,႔Ⴥ܄ۡྐ༏൞ڎ၇ಖթᄝԮ־֥ॖି?ೂݔճσ൞ड़ק,֥ࣉ၂֥҄,ᆃ၂Ԯ־ݖӱᇏ൧ӆ൞ڎဢթᄝّႋ҂ቀ?ູՎ,Ч໓๙ݖ࠹ෘႅݣཌྷܱྛြ൬ၭ,ੱѩၛՎູѓሙܒᄯሧቆކ,ဒᆣഈඍ֥ഡམb11࣮ٚمbູᆣൌഈඍഡམ,Ч໓ิԛਆᇕٚمٳљ࣮ྛြଽଖ܄ඳ֥႔Ⴥ܄ۡྐ༏ؓఃཌྷܱྛြ֥႕ཙbᄝֻ၂ᇕٚمᇏ,ᄎႨ࣮ഡ࠹ᇏ֥ႅݣཌྷܱ൬ၭੱܒᄯҦ,ࠆ֤෮Ⴕໃ܄ۡ܄ඳ֥ႅݣཌྷܱ൬ၭੱbಖުο30۱ྛြ֥ٳো,ٳљ࠹ෘ۲ྛြ֥ႅݣཌྷܱྛြ൬ၭੱ,ѩၛՎູѓሙؓྛြࣉྛٳቆbቆކ1Їݣቋ֥֮ႅݣཌྷܱྛြ൬ၭੱ,طቆކ5,ᄵູႅݣཌྷܱྛြ൬ၭੱቋ֥ۚቆކbؓႿૄ၂ቆ,ο۲ྛြ֥ੀ๙൧ᆴಃᇗ,ٳљ࠹ෘՖଖ၂႔Ⴥ܄ۡರष֞༯၂۱܄ۡರԛགྷູᆸ֥ܓઙѩӻႵ(BAH)ቆކ൬ၭੱbط֒༯၂܄ۡರԛགྷ,ުႮႿ႔Ⴥྐ༏ؿളڿэ,ᄜ۴ऌཌྷٚم,ᇗྍ߃ٳႅݣཌྷܱྛြ൬ၭੱѩ࠹ෘ۲ቆކྍ֥BAHቆކ൬ၭ,ੱᆰᇀ෮Ⴕ܄ۡྐ༏ປиbᄝֻؽᇕٚمᇏ,ࠎЧӱაٚم၂ཌྷ,ື၂љᄝႿ,ᆌؓૄՑ႔Ⴥ܄ۡྐ༏࠹ෘႅݣཌྷܱ൬ၭੱൈ,҂ࣇЇওਔֻ၂ᇕٚمᇏପུໃ܄֥ۡ܄ඳ,ط္Їওਔྛြၘ܄֥ۡ܄ඳၛࠣᄝ၂ࢌၞರᆞᄝ܄֥ۡྛြଽః܄ඳbၹՎ,ࠎႿᆃᇕٚم࠹ෘԛট֥ႅݣཌྷܱྛြ൬ၭੱࡼЇݣ۷؟֥ဢЧ,ൈ္сࡼϴෛ۷؟֥࣮ᄮၻ)))࣐ܵᆃ၂ᄮၻ൞ࠎႿ܄ඳҪ૫,ׅ֥ь൞႔Ⴥ܄ۡުࡎ۬၍ིႋb෮ၛ,ೂݔࠎႿٚمؽ࠹ෘቆކ5ა1֥ส০ܱ༢টܴҩ႔Ⴥྐ༏ؓཌྷܱྛြ֥႕ཙ,ࡼ૫ਢ۷؟֥҂ಒקྟbၹູႵུൈީॖିቆކ1֥PEADིႋ఼Ⴟቆކ5֥PEADིႋ,Ֆط႕ཙส০ቆކ֥іགྷb൞,Ч໓ҐႨٚمؽটܴҩྛြଽ႔Ⴥྐ༏ؓఃཌྷܱྛြ֥႕ཙ,Чᇉഈ൞ູඪૼ,ೂݔٚمؽᇏႮႿ࣮ᄮၻ֥ۄಠ,ส০ቆކ၇ಖіགྷཁᇷ,ପહࡼՖҧ૫ᆣૼ႔Ⴥྐ༏ؓཌྷܱྛြ֥႕ཙ൞٤ӈ఼ਛ֥b21ൌᆣ࣮bູ࣮႔Ⴥྐ༏ؓཌྷܱྛြ֥႕ཙ,۴ऌഈඍਆᇕٚم,ٳљܒᄯࠎႿྛြҪ૫֥ส০ቆކbі5ᇏA҆ٳ൞ᄎႨٚم၂֥ࢲݔ,ၹՎ࠹ෘႅݣཌྷܱ൬ၭੱᆺॉ੮ྛြଽໃ܄֥ۡ܄ඳbطB҆ٳ൞۴ऌٚمؽ࠹ෘط,֤࠹ෘ֥ႅݣཌྷܱ൬ၭੱॉ੮ྛြଽ෮Ⴕ܄ඳb52 ࣜ࠶భခ 2009୍11ᄅ ֻ11௹
і5 ࠎႿྛြҪ૫֥ቆކ൬ၭA:ႋႨໃ܄ۡ܄ඳB:ႋႨ෮Ⴕ܄ඳܒᄯቆކӑح൬ၭCAPMଆၹଆඹၹଆӑح൬ၭCAPMଆၹଆඹၹଆAAAAAA010205 0100930100730100700102080101040100950100851(1129)(0158)(0145)(0143)(1148)(0173)(0167)(0159)010319**0101980101840101750102730101590101360101312(2126)(1142)(1130)(1123)(1193)(1113)(0196)(0191)010312 010174010164010153** 0103170102040101860101743(1196)(1114)(1105)(0197)(2128)(1147)(1132)(1122)**010297010208010183010171** 0102880101820101420101324(2104)(1140)(1120)(1111)(2112)(1134)(1104)(0195)*** 010389010253010225010220** 0103640102260102090102025(2159)(1172)(1147)(1142)(2151)(1161)(1142)(1136)***************** 010183 010160 010152 010150 010156 010122 010114 0101175-1(2158)(2115)(2123)(2116)(2143)(1198)(2116)(2101) 注:***和**分别表示在1%和5%水平上显著b۴ऌі5ᇏA҆ٳ,ॖၛु֞ႅݣཌྷܱྛြ൬ၭੱቋ֥ۚቆކ,ࠧቆކ5֥नᄅӑح൬ၭੱູ3189%,࠹ཁᇷ(t=2159)bطቋ֮ႅݣཌྷܱྛြ൬ၭੱ֥ቆކ,ࠧቆކ1֥ᄅӑح൬ၭੱࣇູ2105%,ჹ֮Ⴟ௹൧ӆ֥नᄅӑح൬ၭੱbطఃᆴᄝ࠹ഈ္҂ཁᇷ(t=1129)bط๙ݖܒᄯઙೆቆކ5aછԛቆކ1ᆃ၂ส০ቆކ,ఃᄅӑح൬ၭੱູ1183%,Ֆ࠹ၩၬഈটु္ࢠູཁᇷ(t=2158),ൈ,ᄎႨ۱קࡎଆؓส০ቆކࣉྛڄགטᆜ,ؿགྷቆކંՖࣜ࠶ߎ൞࠹ၩၬഈनࢠູཁᇷbі5֥B҆ٳ൞۴ऌ෮Ⴕ֥ܢௐ࠹ෘႅݣཌྷܱྛြ൬ၭ,ੱѩၛՎູѓሙܒᄯሧቆކটܴҳ႔Ⴥ܄ۡྐ༏ؓྛြ֥႕ཙbॖၛु֞๙ݖܒᄯቆކ1აቆކ5ࡗ֥ส০ܱ༢,ؿགྷఃࣜ࠶a࠹ၩၬनࢠູཁᇷ,ࠧࣜݖڄགטᆜު,ࢲݔ၇ಖೂՎb൞აA҆ٳᇏ֥ࢲંཌྷб,ཁᇷྟႵ෮ࢆ,֮ՖطဒᆣਔЧ໓ᄝഈඍ࣮ഡ࠹ᇏ֥ഡམbၹՎ,۴ऌഈඍٳ༅,Ч໓ಪູ႔Ⴥ܄ۡྐ༏ᄝྛြࡗ֥ಒթᄝԮ־ྟ,ࠧՖྐ༏ݣਈ࢘؇ط,ྛြଽ֥႔Ⴥ܄ۡᆇൌ֥Їݣਔఃྛြ֥ࠎЧ૫ྐ༏bൈ,ᄝᆃ၂ྐ༏Ԯ־ݖӱᇏ,൧ӆဢթᄝّႋ҂ቀ,طᆃ၂҂ቀཁಖ҂ିФགྷႵ֥קࡎଆ෮ࢳbၹՎ,ᆃ၂ྐ༏֥ߏતঔݖӱॖၛಪູ൞Ⴛ၂ՖໃФᆣൌ֥Ⴕི൧ӆ/ၳའ0b(ඹ)ّႋ҂ቀაࢌၞӮЧࢳൌᆣ࣮ॖၛु֞,ᄝྛြଽ,၂۱܄ඳ֥႔Ⴥ܄,ۡؓః܄ඳط,Ԯ־ਔႵࡎᆴ֥ྐ༏,طᆃ၂ࡎᆴྐ༏Ԯ־ݖӱᇏ,൧ӆթᄝّႋ҂ቀ,ၘ܄֥ۡ႔Ⴥྐ༏ߏતaᇯࡶঔ֞ߎໃ܄ۡ܄ඳ֥ܢௐࡎ۬ᇏbູહ߶Ӂളᆃ၂གྷའ?ཌྷؓႿݓຓ࿐ᆀܱᇿႿࢌၞᆀ֥/Ⴕཋᇿၩ0ྏหᆘ(Cohen,Frazzin,i2008)ၛࠣݓଽ࿐ᆀᄝ࣮PEADིႋൈ,ࠎႿሧᆀྏொҵ(ൗ୪aӑவ,2005)aྐ༏(Ⴟ഻,ဇဇ,2006)ࠣႵཋส০(।ת,2008)࢘؇,Ч໓ՖࢌၞӮЧᆃ၂ྍ֥൪࢘ؓఃิ܂ᆰࢤࢳ½bFORWARDPOSITIONINECONOMICS Nov1 200953
ູՎ,ᄝૄ۱࠱؇,ؓ܄ۡ܄ඳο܄ۡൈࡗ֥༵,ުٳӮ5ቆ,ఃᇏቆކ1൞ቋᄪؿ҃܄֥ۡభ20%܄ඳ,ቆކ5൞ቋພؿ҃܄֥ۡު20%܄ඳbؓૄ۱ቆކ,ૌٳљ࠹ෘ൧ӆࡎᆴஆaᅬ૫൧ᆴбஆၛࠣAmihud٤ੀྟӮЧbࢲݔೂі3֥B҆ٳ෮ൕbႮі3ॖ,ෛሢ܄ۡൈࡗ֥၍,൧ӆࡎᆴஆaᅬ૫൧ᆴбஆ࣍රֆט־ᄹ,іૼੀ๙൧ᆴն֥ࡎᆴ܄ඳொཟႿພུൈީؿ҃܄ۡbՖᆰतটࢃ,ᆃུ܄ඳ֥ࢌၞӮЧေնႿཬܿଆaᄹӉྟ܄ඳbൈ,ᄎႨAmihud٤ੀྟҩ؇ؓ൧ӆࢌၞӮЧิ܂ᆰࢤ֥؇ਈ,ؿགྷՖቆކ1֞ቆކ5,ࢌၞӮЧ၇Ց־ᄹ,طҩෘઙೆቋພaછԛቋᄪ֥ส০ቆކ,ఃࢌၞӮЧᄝࣜ࠶a࠹ഈनࢠູཁᇷbႵၩන֥൞,Ч໓๙ݖઙೆቋພؿ҃܄֥ۡު40%܄ඳ,છԛቋᄪؿ҃܄֥ۡభ40%܄ඳ,ܒᄯֻؽ۱ส০ቆކ,ؿགྷࢌၞӮЧູ0154,ᄝ࠹ഈ္ࢠཁᇷ(t=3133)bაᆭཌྷб,ֻ၂۱ส০ቆކ֥ࢌၞӮЧູ0188bՖطіૼ,ෛሢྐ༏֥Ԯ־,ࢌၞӮЧ҂ࣇֆטᄹࡆ,طӯགྷࡆ־ᄹ൝b۴ऌഈඍٳ༅,Ч໓ಪູᄝ൧ӆྐ༏֥Ԯ־ݖӱᇏ,ႮႿࢌၞӮЧ־ᄹ൝֥թᄝ,ཋᇅਔ൧ӆ֥ࢌၞࠃ,ቅθਔܢௐ൧ӆࡎ۬ؿགྷࠏᇅ֥ቔႨ,֤ၘ܄ۡ܄ඳ֥႔Ⴥྐ༏ᄀটᄀ҂ିࠣൈֹФໃ܄ۡ܄ඳ෮ّ႘,ࢲݔ,൧ӆԛགྷ఼ਛ֥൬ၭყҩ৯,Ֆط֝ᇁਔ႔Ⴥྐ༏֥ߏતঔིႋbطᆃ၂ིႋࠇ൧ӆّႋ҂ቀ֥ԛགྷᆞ൞۴ჷႿࢌၞӮЧbੂ ࢲ ં۴ऌഈඍ֥࣮ࢲݔ,Ч໓֤֞ၛ༯ࢲ:ં(၂)࣮ٓԐ֥ധ߄གྷႵ֥໓ངࠎЧࠢᇏႿ႔Ⴥ܄ۡྐ༏ؓሱദܢௐࡎ֥ܸ۬ྟ࣮,ޓഒႵ໓ངٳ༅႔Ⴥ܄ۡྐ༏ؓః܄ඳܢࡎ֥႕ཙbطЧ໓҂ࣇ༢֥࣮ਔၘ܄֥ۡ႔Ⴥྐ༏ؓྛြଽఃໃ܄ۡ܄ඳ֥႕ཙ,طࠎႿྛြҪ૫,ٳ༅ਔྛြଽ֥܄ۡྐ༏ؓఃཌྷܱྛြ֥ቔႨܱ༢bՖطധ߄ਔ႔Ⴥ܄ིۡႋ֥࣮ٓԐb(ؽ)ᆣൌਔྍ֥൧ӆ/ၳའ0Ч໓۴ऌ/ರஆم0,๙ݖഡ࠹ႅݣཌྷܱ൬ၭੱҦѩܒᄯቆކ,༢֥࣮ਔ܄ඳ֥႔Ⴥ܄ۡྐ༏ؓྛြଽః܄ඳၛࠣఃྛြႵཌྷܱܱ༢܄ඳ֥႕ཙbؿགྷ႔Ⴥྐ༏֥ಒᄝྛြଽࠣྛြࡗթᄝԮ־ྟbطᆃ၂ࢲંႭఃᄝܱ༢ૡ్֥܄ඳࠣྛြࡗ۷ູཁᇷbൈ,ᆌؓᆃ၂႔Ⴥྐ༏ᄝ܄ඳࠣྛြҪ૫֥Ԯ־,Ч໓ؿགྷ൧ӆᄝྐ༏ঔݖӱᇏթᄝّႋ҂ቀ,ႮႿЧ໓ؓ႔ჅਈིႋބPEADིႋࣉྛਔ॥ᇅ,ၹՎ,ᆃ၂ّႋ҂ቀ൞PEADིႋު,ӉࣲթᄝՖໃФᆣൌ֥൧ӆ/ၳའ0bطᆃ၂/ၳའ0ཁಖ҂ିФFama-French(1993)ၹބCarhart(1997)֥ඹၹଆ෮ࢳb()ՖࢌၞӮЧ൪࢘ࢳਔ/ၳའ0Ч໓۴ऌ႔Ⴥ܄ۡؿ҃ൈࡗ֥༵ު,ο࠱ؓഈ൧܄ඳࣉྛٳቆ,ѩҐႨAmihud٤ੀྟҩ؇ᆰࢤܙෘ႔Ⴥྐ༏ᄝԮ־ݖӱᇏ҂ࢨ؍֥ࢌၞӮЧbؿགྷᄝྐ༏Ԯ־ݖӱᇏ,൧ӆࢌၞӮЧӯགྷ־ᄹ൝bᆃ၂൝֤ၘ܄ۡ܄ඳ֥႔Ⴥྐ༏҂ିࠣൈ֥Фໃ܄ۡ܄ඳ෮ّ႘,Ֆط֝ᇁ൧ӆթᄝّႋ҂ቀѩӁള/ၳའ0b(ඹ)ิԛྍ֥࣮ٚم๙ӈ࣮႔Ⴥྐ༏֥໓ངఃൌᆣٚمࣼ൞࠹ෘဢЧ֥٤ყ௹႔Ⴥ,طᆃ၂ᆷѓླᄎႨٳ༅ഽ֥႔Ⴥყҩඔऌࠇൎ႔Ⴥᆷѓඔऌ,൞ᆃུҍༀඔऌᄝޓ؟ൈީѩ҂ປᆜࠇᆀޓࠆ౼bطЧ໓ഡ࠹֥࣮ٚم,क़ڛਔᆃ၂ಌཊ,Ֆطঔᅚਔ࣮֥ဢЧބ௹ཋbਸ਼ຓ,ཌྷб๙ӈ႔Ⴥ܄ۡ໓ངҐႨ֥54 ࣜ࠶భခ 2009୍11ᄅ ֻ11௹
/൙ࡱ࣮م0,Ч໓ᄎႨ/ರஆم0क़ڛਔ࣮ᇏ֥/భ൪ྟொҵ0,طܒᄯ֥ቆކਙࣜሧӁקࡎଆҩ൫,ުᆣൌ֥/ၳའ0ࢲંିཨԢڄགၮࡎ֥ொ,Ֆط֤࣮ࢲݔ۷ࣚಒbᇿ :¹ႮႿЧ໓֥႔Ⴥ܄ۡರ֥ඔऌটሱWINDඔऌ९,Ֆ1998୍ఏҌႵᆞൔ֥܄ۡაყۡඔऌ,ط֞2008୍ֻ၂࠱؇ູᆸ,܋ؿ҃31௹႔Ⴥ܄ۡbၹՎ,ࠎႿဢЧ௹ཋॉ੮,Ч໓࿊౼ݖಀ10௹ඔऌট࠹ෘླྀٚҵbطՖ࠹ഈটࢃ,ᄎႨٮ࿒Zэߐ,ࠧ௹ཋཬᇀ10௹,ؓႿླྀٚҵ֥ࣚಒྟܙ࠹႕ཙ҂ն(Fisher,1970)bº൙ൌഈ,္ॖҐႨt࠹ᆴ(၇ऌླྀٚҵູ0֥ॢᆴࡌഡ֝)ބ(1)Pᆴ)ቔູಃᇗ,۴ऌЧ໓֥ൌᆣࢲݔ,ᄝ࠹ෘส০ቆކ֥ᄅӑح൬ၭੱൈ,ުਆᇕٚم֥൬ၭбభ၂ᇕ؟ԛ10֞20۱ࠎЧׄ,ၹՎ,ູ࣮֥Ќ൯ఏ,Ч໓ႅݣཌྷܱ൬ၭੱ֥ಃᇗनҐႨनӑح൬ၭੱ֥ླྀٚҵb»Ч໓ᄝܒᄯၹଆൈ,ູൡކݓᆣಊ൧ӆ֥ൌ࠽ሑঃ,ؓFamaandFrench(1993)֥ٚمቓਔൡႋྟטᆜbఃᇏڄག০ੱҐႨ۱ᄅ֥ᆜթᆜ౼০ੱbൈ,ႮႿݓഈ൧܄ඳ୍֥Бa၂࠱Б၂Ϯᄝ4ᄅ30ರభປи,ܣЧ໓ܒᄯၹਙൈ,ᅬ૫ࡎᆴა൬ၭੱ֥௹ཋູ4۱ᄅb୍֥ࠧ֒5ᄅᇀ12ᄅ,༯၂୍֥1ᄅᇀ4ᄅ֥൬ၭੱඔऌაഈ၂୍୍ଌ֥ᅬ૫ࡎᆴ൧ᆴбཌྷb¼ؓႿᆃ၂ࢲંЧ໓ࣜݖ֥۬ҩb၂ٚ૫,Ч໓ഡམ൞ڎႮႿ/ஷె0֥ϜܢௐٳӮ30۱ྛြ,Ֆط/ಖ0֥Ӂളਔᆃ၂/ၳའ0bູՎ,Ч໓Ϝഈ൧܄ඳο5ྛြٳোᆷႄ6ᇗྍٳູ20۱ྛြbؿགྷส০ቆކ֥ᄅӑح൬ၭູ:010209(tᆴ=2108)bՖطဒᆣਔЧ໓ิԛ֥႔Ⴥ܄ۡభࡎ۬၍ၳའᆇൌթᄝ֥ࢲંbਸ਼၂ٚ૫,Ч໓࿃ഡམ൞ڎႮႿၘ܄ۡ܄ඳაໃ܄ۡ܄ඳࡗ֥नӑح൬ၭੱᆺေऎႵཌྷܱྟ,ࣼି֝ᇁၳӈགྷའbູՎ,Ч໓๙ݖؓਆᆀࡗ֥ླྀٚҵHοఃٳ҃ࣉྛෛࠏଆ1000Ց,ൈ۴ऌෛࠏඔܒᄯส০ቆކ,ؿགྷః࠹ၩၬ҂ijູཁᇷ,ՖطᆣൌЧ໓֥ࢲંb½Ֆᆃ۱ၩၬഈ,Ч໓֥ٳ༅ა।ת(2008)Ⴕུཌྷරb൞।ת(2008)ՖႵཋส০࢘؇ิԛࢳ,طࢌၞӮЧᆺ൞႕ཙႵཋส০֥၂۱ၹbطھ໓ངҐႨ൙ࡱభ20฿֥ࢌၞਈनᆴቔູࢌၞӮЧ֥սэਈটٳ༅PEADིႋ,طЧ໓๙ݖᆰࢤٳ༅ࢌၞӮЧ,ّؓႋ҂ቀགྷའิ܂ቋᆰࢤ֥ࢳbൈཌྷб।ת(2008),Ч໓֥ҩਈٚم္൞ಆྍ֥,აᆭປಆ҂bҕॉ໓ང:[1]Amihud,Yahov1IlliquidityandStockReturns:Cross-SectionandTime-SeriesEffects1JournalofFinancialMarkets,2002,5:31-561[2]Bal,lRay,andPhilipBrown1AnEmpiricalEvaluationofAccountingIncomeNumbers1JournalofAccountingResearch,1968,6:159-1781[3]Bernard,V1,andJ1Thomas1PostEarningsAnnouncementDrift:DelayedPriceResponseorRiskPremium1JournalofAc-countingResearch,1989,27(supplement):1-361[4]Carhart,MarkM1,OnPersistenceinMutualFundPerformance1JournalofFinance,1997,52:57-821[5]Chan,LouisK1C1,NarasimhanJegadeesh,andJosefLakonishok1MomentumStrategies1JournalofFinance,1996,51:1681-17131[6]Cohen,DanielA1,AiyeshaDey,ThomasZ1Lys,andShyamV1Sunder1EarningsAnnouncementPremiaandtheLimitstoArbitrage1JournalofAccountingandEconomics,2007,43:153-1801[7]Cohen,Lauren,andAndreaFrazzini1EconomicLinksandPredictableReturns1JournalofFinance,2008,63:1977-20111[8]Fama,EugeneF1,Marketeficiency,Long-termReturns,andBehavioralFinance1JournalofFinancialEconomics,1998,49:283-3061[9]Fama,EugeneF1,KennethR1French1CommonRiskFactorsintheReturnsonStocksandBonds1JournalofFinancialEco-nomics,1993,33:3-561[10]Fereman,R1N1,andTse,S1AnEarningsPredictionApproachtoExaminingIntercompanyInformationTransfers1JounralofAccountingandEconomic,1992,15(4):509-5231FORWARDPOSITIONINECONOMICS Nov1 200955
[11]Firth,M1Theimportanceofearningsannouncementsonthesharepricebehaviourofsimilartypefirm1EconomicJournal,1976,86(342):296-3061[12]Mendenhal,lRichardR1,EvidenceonthePossibleUnderweightingofEarnings-RelatedInformation1JournalofAccountingResearch,1991,29:170-1791[13]Ramnath,Sundaresh1InvestorandAnalystReactionstoEarningsAnnouncementsofRelatedFirms:AnEmpiricalAnaly-sis1JournalofAccountingResearch,2002,40:1351-13761[14]ӧݓࣉaᅦफaࣟ:5ၳᇉྐა႔Ⴥܸྟ)))ࠎႿᇏݓܢௐ൧ӆ֥ൌᆣٳ༅6,5֒սҍࣜ6,2008୍ֻ7௹b[15]।תaॏೋݷ:5ජ౺ਔᇏݓܢ൧֥PEAD6,5ࣁವ࣮6,2007୍ֻ10௹b[16]।ת:5Ⴕཋส০ა႔Ⴥ܄ۡުࡎ۬၍6,5ᇏݓܵ॓࿐6,2008୍ֻ6௹b[17]ൗ୪aӑவ:5႔Ⴥྐ༏؇ਈa൧ӆّႋაሧᆀॿࡏ၇ঠொҵٳ༅6,5ࣜ࠶࣮6,2005୍ֻ2௹b[18]Ⴟ഻aဇဇ:5ྐ༏҂ಒקྟა႔Ⴥ܄ۡު၍གྷའ6,5ܵൗࢸ6,2006୍ֻ3௹b(作者简介:韩德宗,浙江工商大学金融学院教授;陈亮,浙江工商大学金融学院研究生;高芃勤,美国芝加哥大学布斯商学院经济与统计学博士生bE-mai:lriosen@sina1com)ᄳщࠠ:ܤମ56 ࣜ࠶భခ 2009୍11ᄅ ֻ11௹
