第1章　有效資本市場(chǎng)理論、行為金融學(xué)與證券投資研究綜述

　1.1前言

　1.2有效資本市場(chǎng)假說(shuō)

　1.3投資異象的出現(xiàn)及其對(duì)有效資本市場(chǎng)理論的挑戰(zhàn)

　1.4套利成本與市場(chǎng)有效性

　1.5套利風(fēng)險(xiǎn)與市場(chǎng)有效性

　1.6行為金融學(xué)：錯(cuò)誤定價(jià)為什么會(huì)發(fā)生？

　1.7結(jié)論

第2章　有效資本市場(chǎng)假說(shuō)

　2.1本章　概述

　2.2知識(shí)在社會(huì)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(chǎng)：Ⅱ

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

　2.4期望股票回報(bào)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(bào)中的共同風(fēng)險(xiǎn)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(guó)證券市場(chǎng)Fama?French三因素

　計(jì)算過(guò)程說(shuō)明

第3章　投資異象的出現(xiàn)及其對(duì)有效資本市場(chǎng)假說(shuō)的挑戰(zhàn)

　3.1本章　概述

　3.2普通股的股票回報(bào)和市場(chǎng)價(jià)值之間的關(guān)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(chǎng)價(jià)值與回報(bào)之間的關(guān)系：基于紐

　約股票市場(chǎng)的進(jìn)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(chǎng)真的過(guò)度反應(yīng)了嗎？

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

　3.5“買(mǎi)進(jìn)贏者，賣(mài)出輸者”的回報(bào)：對(duì)市場(chǎng)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(jià)格漂移：反應(yīng)滯后還是風(fēng)險(xiǎn)溢價(jià)？

　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(jià)格是否完全反映了應(yīng)計(jì)項(xiàng)目和現(xiàn)金流中關(guān)

　于未來(lái)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(huì)計(jì)穩(wěn)健性、盈余質(zhì)量和股票回報(bào)

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

　3.9資產(chǎn)規(guī)模增長(zhǎng)與股票橫截面回報(bào)

　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(guó)上市公司股票橫截面回報(bào)預(yù)測(cè)性研究

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

第4章　套利成本與市場(chǎng)有效性

　4.1本章　概述

　4.2估計(jì)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(lái)自封閉式基金的證據(jù)

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

　4.4股票借貸市場(chǎng)

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

　4.5賣(mài)空限制與股票回報(bào)

　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(bào)

　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(fēng)險(xiǎn)與市場(chǎng)有效性

　5.1本章　概述

　5.2投資者情緒與封閉式基金折價(jià)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(fēng)險(xiǎn)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(fēng)險(xiǎn)與盈余報(bào)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(yīng)計(jì)異象的存在？特質(zhì)風(fēng)險(xiǎn)

　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(xué)：錯(cuò)誤定價(jià)為什么會(huì)發(fā)生？

　6.1本章　概述

　6.2市場(chǎng)有效與會(huì)計(jì)研究：對(duì)于S.P.Kothari“會(huì)計(jì)領(lǐng)

　域資本市場(chǎng)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(zhuǎn)投資策略、推斷和風(fēng)險(xiǎn)

　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(yù)期回報(bào)

　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(bào)

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

　6.6過(guò)早賣(mài)出盈利股而過(guò)久持有虧損股的傾向：理論

　和證據(jù)

　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(shè)計(jì)中的統(tǒng)計(jì)問(wèn)題：如何正確衡量股票的回報(bào)

　7.1本章　概述

　7.2發(fā)現(xiàn)股票長(zhǎng)期超額回報(bào)：檢驗(yàn)統(tǒng)計(jì)量功效與設(shè)

　定的經(jīng)驗(yàn)證據(jù)

　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(yàn)股票長(zhǎng)期超額回報(bào)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(lái)展望

　8.1投資策略研究的成果

　8.2投資策略研究對(duì)金融投資界的指導(dǎo)作用

　8.3投資策略研究面臨的問(wèn)題

　8.4投資策略研究的新動(dòng)力

　8.5中國(guó)資本市場(chǎng)投資研究