第1章　有效資本市場理論、行為金融學與證券投資研究綜述

　1.1前言

　1.2有效資本市場假說

　1.3投資異象的出現及其對有效資本市場理論的挑戰(zhàn)

　1.4套利成本與市場有效性

　1.5套利風險與市場有效性

　1.6行為金融學：錯誤定價為什么會發(fā)生？

　1.7結論

第2章　有效資本市場假說

　2.1本章　概述

　2.2知識在社會中的利用

　Hayek,F.A..1945.The use of knowledge in society.AmericanEconomic Review 35：519530

　2.3有效資本市場：Ⅱ

　Fama, Eugene. 1991.Efficient capital markets:Ⅱ.Journal ofFinance 46:15751617

　2.4期望股票回報的橫截面分析

　Fama, E., French, K.. 1992. The cross?section of expected stockreturns.Journal of Finance 47: 427466

　2.5股票和債券回報中的共同風險因素

　Fama, E., French, K.. 1993. Common risk factors in the returnson stocks and bonds.Journal of Financial Economics 33:356

　附錄

　中國證券市場Fama?French三因素

　計算過程說明

第3章　投資異象的出現及其對有效資本市場假說的挑戰(zhàn)

　3.1本章　概述

　3.2普通股的股票回報和市場價值之間的關系

　Banz, Rolf.1981. The relationship between return and marketvalue of common stocks.Journal of Financial Economics 9:318

　3.3盈余收益、市場價值與回報之間的關系：基于紐

　約股票市場的進一步論證

　Basu,S..1983.The relationship between earnings yield,marketvalue and return for NYSE common stocks: further evidence.Journalof Financial Economics 12: 129156

　3.4市場真的過度反應了嗎？

　DeBondt, W., and R. Thaler. 1985.Does the stock marketoverreact? Journal of Finance 40:793805

　3.5“買進贏者，賣出輸者”的回報：對市場有效性的挑戰(zhàn)

　Jegadeesh, N. and S. Titman.1993.Returns to buying winners andselling losers: implications for stock market efficiency.Journal ofFinance 48:6591

　3.6盈余公告后的價格漂移：反應滯后還是風險溢價？

　Bernard, Victor L., and Jacob K.Thomas, 1990.Post?earnings?announcement drift: delayed price response or riskpremium? Journal of Accounting and Economics 13:305341

　3.7股票價格是否完全反映了應計項目和現金流中關

　于未來盈余的信息？

　Sloan, Richard. G.. 1996. Do stock prices fully reflectinformation in accruals and cash flows about future earnings? TheAccounting Review 71:289315

　3.8會計穩(wěn)健性、盈余質量和股票回報

　Penman, S. and X. Zhang.2002.Accounting conservatism, thequality of earnings, and stock returns. The Accounting Review 77:237264

　3.9資產規(guī)模增長與股票橫截面回報

　Cooper M.J., H.Gulen, and M. Schill.2008.Asset growthand thecross?section of stock returns.The Journal of Finance 63:16091651

　3.10中國上市公司股票橫截面回報預測性研究

　Cakici, N., K. Chan, and K. Topyan. 2011. Cross?sectional stockreturn predictability in China.香港科技大學工作論文

第4章　套利成本與市場有效性

　4.1本章　概述

　4.2估計交易成本的一種新方法

　Lesmond, D., Ogden, J., Trzcinka, C.. 1999. A new estimate oftransaction costs.Review of Financial Studies 12: 11131141

　4.3套利成本：來自封閉式基金的證據

　Pontiff, J.. 1996. Costly arbitrage: evidence from closed endfunds. Quarterly Journal of Economics111:11351152

　4.4股票借貸市場

　D?Avolio, G.. 2002. The market for borrowing stocks.Journal ofFinancial Economics 66: 271306

　4.5賣空限制與股票回報

　Jones, Charles, and Owen Lamont.2002. Short sale constraintsand stock returns.Journal of Financial Economics 66: 207239

　4.6觀念差異和橫截面股票回報

　Diether, K., C.Malloy and A.Scherbina. 2002. Differences ofopinion and the crosssection of stock returns.Journal of Finance57: 21132141

第5章　套利風險與市場有效性

　5.1本章　概述

　5.2投資者情緒與封閉式基金折價之謎

　Lee, C.M.C., A.Shleifer, and R.Thaler. 1991. Investor sentimentand the closed?end fund puzzle.Journal of Finance 56: 75109

　5.3套利是否使得股票的需求曲線趨于水平呢？

　Wurgler, Jeffrey, and Katia Zhuravskaya. 2002. Does arbitrageflatten demand curves for stocks? The Journal of Business 75:583608

　5.4套利風險與B/M異象

　Ali, Ashiq, Lee?Seok Hwang, and Mark Trombley. 2003. Arbitragerisk and the book?to?market anomaly.Journal of Financial Economics69: 355373

　5.5套利風險與盈余報告后的漂移

　Mendenhall, R..2004. Arbitrage risk and post?earningsannouncement drift.Journal of Business 77:875894

　5.6為什么套利不能阻止應計異象的存在？特質風險

　和套利成本的作用

　Mashruwala, Christina, Shivaram Rajgopal, and Terry Shevlin.2006. Why is the accrual anomaly not arbitraged away? The role ofidiosyncratic risk and transaction costs. Journal of Accounting andEconomics 42: 333

第6章　行為金融學：錯誤定價為什么會發(fā)生？

　6.1本章　概述

　6.2市場有效與會計研究：對于S.P.Kothari“會計領

　域資本市場研究”的討論

　Lee, Charles M.C.. 2001.Market efficiency and accountingresearch: a discussion of “capital market research in accounting”by S.P.Kothari.Journal of Accounting and Economics 31:233253

　6.3反轉投資策略、推斷和風險

　Lakonishok, J., A.Shleifer, and R.W.Vishny. 1994. Contrarianinvestment, extrapolation, and risk.Journal of Finance49:15411578

　6.4信息不確定性與股票的預期回報

　Jiang, Guohua, Charles M.C.Lee, and Grace Zhang.2005.Information uncertainty and expected returns. Review ofAccounting Studies, V10, No.2/3, 185221

　6.5投資者情緒與股票的橫截面回報

　Baker, Malcolm, and Jeffrey Wurgler. 2005. Investor sentimentand the cross?section of stock returns.Journal of Finance LXI:16451678

　6.6過早賣出盈利股而過久持有虧損股的傾向：理論

　和證據

　Shefrin, Hersh, and Meir Statman.1985. The disposition to sellwinners too early and ride losers too long: theory andevidence.Journal of Finance 40: 777790

第7章　投資策略設計中的統(tǒng)計問題：如何正確衡量股票的回報

　7.1本章　概述

　7.2發(fā)現股票長期超額回報：檢驗統(tǒng)計量功效與設

　定的經驗證據

　Barber, Brad, and John Lyon. 1997. Detecting long?run abnormalstock returns: the empirical power and specification of teststatistics.Journal of Financial Economics 43: 341372

　7.3檢驗股票長期超額回報的優(yōu)化方法

　Barber, Brad, John Lyon, and C. Tsai. 1999. Improved methodsfor tests of long?run abnormal stock returns.Journal of Finance 54:165201

第8章　證券投資研究未來展望

　8.1投資策略研究的成果

　8.2投資策略研究對金融投資界的指導作用

　8.3投資策略研究面臨的問題

　8.4投資策略研究的新動力

　8.5中國資本市場投資研究