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12—Lakonishok1992Shiller1984fashionandfadsWermers1999HerdBehaviorChoe(1999)KaminskySchmukler(1999)ScharftsteinStein1990ReputationalherdBikhchandani1992InformationalCascadesBanerjee1992SequentialLakonishok1992Wermers1999Lakonishok901031231.1998442000925106199810200098183111234567845610141922250.83330.51850.66670.66670.75000.74680.63330.6181ChinaStockMarket&AccountingResearch,CSMARCSMARCRSPCOMURSTAT2.Wermers1999Lakonishok1992tt=1~80.05%,70%30%70%30%itqti,,itqtiitiHerdingMeasureHMititititHMqEqHM0)(--=1)(itqE)(itqE0.510itHM)(ititqEq-)(ititqEq)(ititqEq0)(ititqEq-000itHMntq)(itqE0itqntq0itq10100itHMitHMHMHM0HM0DHMKHM)(ititititqEqHMDHM=2)(ititititqEqHMKHM=323DHMKHMKHMDHM2HMDHMKHM0≤HM0≤DHM0≤KHMt2HMDHMKHM1t.1583**(4.327).1000***(6.998).2166()2t.1044(0.885).3973***(7.946).0208(0.682)3t.1812***(6.776).2152***(4.445).1473***(7.974)4t.1988***(7.803).2462***(7.608).1609***(4.385)5t.1552***(7.330).2278***(25.431).1156***(4.132)6t.1557***(8.444).1404***(6.814).1824***(5.241)7t.1690***(7.996).1728***(6.280).1659***(5.074)8t.1813***(6.300).1891***(4.677).1719***(4.181)t.1698***(16.325)183.1910***(13.547)93.1480***(9.818)90tiHMit|qit-E(qit)|-HM0itqittiCSMARE(qit)HM0it|qit-E(qit)|DHMitqitE(qit)HMitKHMitqitE(qit)HMit2HMitDHMitKHMit2Tt*10%**5%***1%2t24t210≤HM0≤DHM0≤KHM0HM0DHM0DHM233(10)()0.1698q=0.510067=17+50Lakonishok19920.027Wermers19990.034q=0.510053=17+357tWERMERS1999WERMERS199933HMDHMKHM0m.0340.0298.03730m-x.1358***.1612***.1107***n1839390t12.209.897.44tiHMit|qit-E(qit)|-HM0itqittiCSMARE(qit)HM0it|qit-E(qit)|DHMitqitE(qit)HMitKHMitqitE(qit)HMit3HMitDHMitKHMitHMitDHMitKHMitHMitDHMitKHMit30mxTt)//()(0nSxtm-=*10%**5%***1%3HMDHMKHM2DHM0.1910KHM0.1480DHMKHM1.2986DHMKHMt44DHMKHMDHMKHMN939057710.19100.14800.17050.13420.0430*1.290.0363**1.580.0430*1.290.0363**1.63tiHMit|qit-E(qit)|-HM0itqittiCSMARE(qit)HM0it|qit-E(qit)|DHMitqitE(qit)HMitKHMitqitE(qit)HMit4DHMitKHMitDHMitKHMit4DHMitKHMitTt*10%**5%***1%410%1231.161.2.3.4.5.6.7.8.9.10.11.12.13.14.15.16100.05%5HMDHMKHM5HMDHMKHMt.2123***3.76.2545**3.81.0856*3.44t.0930**2.17.07701.57.11971.28t.1069**3.82.0923**2.59.1506**6.74t.0785**2.45.1162*1.99.0409*1.99t.1201**2.21.1790**2.34.02211.14t.2518***4.58.2827***3.96.2005*2.10t.1698***3.28.2696**2.93.1099**2.17t.1345***3.40.0935**3.00.1756**2.43t.2127***4.31.3504**6.81.1300**3.40t.1303***3.51.0881*2.22.1556**2.86t.1375**2.09.05500.58.1650**1.99t.1465***4.29.1465***4.29t.1143***3.56.10731.19.1185***5.56t.2419***6.05.3003**4.16.2068***4.53t.1217***6.22.12872.71.1194***5.07t.1337***4.57.1307*2.58.1354*3.39t.1503***13.48128.1705***8.9857.1342***10.3971tiHMit|qit-E(qit)|-HM0itqitti16E(qit)HM0it|qit-E(qit)|DHMitqitE(qit)HMitKHMitqitE(qit)HMitt*10%**5%***1%5HM0.25180.24190.07850.0930Falkenstein19965DHM0.1705KHM0.13422t45%525HM0.1503DHM0.1705KHM0.134220.16980.19100.14801066HMDHMKHM183128935790710.16980.15030.19100.17050.14800.13420.0195*1.430.02050.700.01380.890.0195*1.420.02050.680.01380.89tiHMit|qit-E(qit)|-HM0itqittiCSMARE(qit)HM0it|qit-E(qit)|DHMitqitE(qit)HMitKHMitqitE(qit)HMit6HMitDHMitKHMit6Tt*10%**5%6HM(10)10%DHMKHM(5)DHM0.35040.3003HM0.05500.0770KHM0.20680.20050.02210.04091011111999200022.5777PHMDHMKHMP10.0014.70%.1525***5.95.1973***5.41.0942***3.5110.00≤P20.0044.82%.1759***11.68.2045***9.68.1428***7.07720.00≤P30.0034.44%.1784***8.60.1606***5.87.1982***6.2530.00≤P40.005.51%.08931.48.04310.34.1271*1.93P≥40.000.53%.0362.0362100%tiHMit|qit-E(qit)|-HM0itqittiE(qit)HM0it|qit-E(qit)|DHMitqitE(qit)HMitKHMitqitE(qit)HMit7HMitDHMitKHMitTt*10%**5%***1%3010%30.00HM15%30.00HM10%40HM5%HMDHMHMDHMKHMDHM20.00DHM20%30.00DHM5%40HMDHMKHMKHMP10.00KHM0.09423.58EPS=0.0018P/EHMDHMKHM≤20%26.38%.1778(3.37).27748.11.07601.1720%-40%21.17%.1833(4.32).18744.36.16012.9340%-60%22.48%.1175(2.06).10433.87.15213.4860%-80%28.01%.1584(3.33).12902.44.16193.8680%1.96%.2521(6.85).2996(7.95).1241(2.22)100%tiHMit|qit-E(qit)|-HM0itqittiCSMARE(qit)HM0it|qit-E(qit)|DHMitqitE(qit)HMitKHMitqitE(qit)HMit8HMitDHMitKHMitTt*10%**5%***1%000.001550-20%20%-40%40%-60%60%-80%80%-100%58HMHM17%HM13%HMDHMKHMHMDHMKHMdnknDHMKHMHMnnKHMnDHMnkdkd)(+=+4HMDHMKHMkddnnn+kdknnn+DHMKHMHMDHMDHM25%DHM11%CrowdEffectFroot1992KHMDHMKHMKHM4.9HMDHMKHMV1≤20%2.42%.1965***6.85.2433***8.23.05621.2520%-40%4.76%.1290**4.26.1454***6.17.0800*2.8540%-60%4.16%.1726***5.84.2130***7.15.0918**2.2660%-80%14.43%.2284***10.20.2422***8.21.2084***7.1680%74.23%.1573***5.12.1672***4.40.1489***3.16100%V2≤20%3.01%.2179***6.82.2584***9.14.05620.5120%-40%1.75%.2287**5.41.2287**5.41.40%-60%10.24%.1826***7.12.1645**3.69.2086***4.7260%-80%14.36%.1996***3.54.2161**6.21.1832***5.0180%70.64%.1540***5.53.1708***3.71.1389**6.14100%tiHMit|qit-E(qit)|-HM0itqittiCSMARE(qit)HM0it|qit-E(qit)|DHMitqitE(qit)HMitKHMitqitE(qit)HMit9HMitDHMitKHMitTt*10%**5%***1%2V1V2Lakonishok1992V1V2999(V1V2)70%315%DHMV1V2DHMDHMWermers(1999)KHM5.Chan1997DHMKHMDHMKHMConstrarianstrategiesLakonishok199410HMDHMKHM≤20%8.31%.2011***5.10.2564***8.82.1631**2.1020%-40%14.36%.1764***4.15.1919**6.02.1525***5.3340%-60%25.27%.1433***4.71.1375**2.29.133