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资/行为证易计课题资/行为理课题组课题员陈课题协调证易卢刚123451资/行为资/行为66,981BarberOdean(2000,2001)Odean(1999)Odean(1999)ShefrinStatman(1985)2资/行为3资/行为Hishleifer2001Trivers1991(Benos(1998),DeLong,Shleifer,SummersWaldmann(1990),KyleWang(1997),Odean(1998b)Wang(1998,2001))BarberOdean(2000,2001)Odean(1999)1991-199778,000Odean(1999)(Thaler(1980))Hirshleifer(2001)ShefrinandStatman(1985)Odean(1998a)4资/行为(GriffinTversky(1992))CamererJohnson(1997)-(Wolosin,ShermanTill(1973))GervaisOdean(2001)BarberOdean(2001)1996637,000BarberOdean(2002)CovalMoskowitz(1999)CovalShumway(2002)5资/行为(Banerjee(1992),DeLong(1990),Hirshleifer(1994)ShleiferSummers(1990))Lee,ShleiferThaler(1991),Shiller(1984)DeLong,Shleifer,SummersWaldmann(1990)GrinblattKeloharju(2000,2001b)ShapiraVenezia(2001)8BlumeEasley(1982)BlumeEasley(1992)List(2003)6资/行为/20907资/行为19901119914SHSE(SZSE)9301130130015001,25041007,000166,73624566,98119985202002930ABABA1,139502A637ACSMAR8资/行为GrinblattKeloharju(2000,2001a)DharZhu(2002)ChristoffersenSarkissian(2002)9资/行为123A.Odean(1999)OdeanOdeanOdean8425250410资/行为A4.15%6.25%-2.10%1%-2.55%-2.03%Odean-1.36%-3.31%-3.32%BFB--2.02%-14.75%4.39%19.14%-C3333--1.07%-2.47%DE-3.20%-4.57%-4.53%-11资/行为--1.02%-1.62%-0.28%Odean1999--1.96%--0.91%F---E--ABC-=α+β1(InstitorAge)+β2(OpenTime)+β3(HighTradeFreq)+β4(Shenzhen)+β5(Shanghai),(1)Instit10AgeOpenTimeHighTradeFreq10%ShenzhenShanghaiAge12资/行为InstitAgeAgeAAgeInstitAgeBCAB-FB.Odean(1998a)GrinblattKeloharju(2001a)OdeanOdeanOdeanPGR+=)(PGR2PLR+=)(PLR313资/行为PGRPLR(ShefrinStatman(1985))PGRPLRAPGRPLRPGRPLRA0.519PGR0.310PLR0.2091%Odean(1998a)PGR0.148PLR0.098BFBPGRPLR0.2090.112PLRC33PLRDPGRPLREPGRPLR14资/行为PLROdean(1998a)OdeanPLR0.079PLR0.296FPLRPGRPLR=α+β1(InstitorAge)+β2(OpenTime)+β3(HighTradeFreq)+β4(Shenzhen)+β5(Shanghai),4PGRAPLRBAPGRBPLRABF()C15资/行为Odean(1998b)BarberOdean(2001)CSMARBarberOdean(2000)jtR∑==jtHiitjitjtRpR1(5)tjIjjitpitRitjtjtHAA2.09Zhu(2002)426.7%16资/行为320%226%Zhu(2002)7.59%91%Allen(2002)1999500%87.7%51.0155.5290.53%B99%A2.782.09C2.382.031.05%33-0.02%17资/行为D0.54%18-280.40%50-750.49%E1.83.31.42%0.34%F/18资/行为.19资/行为12345Hirshleifer(2001)Hirshleifer(Trivers(1991))Allen,Franklin,JunQian,andMeijunQian,2002,Law,finance,andeconomicgrowthinChina,WhartonSchoolworkingpaper,December23.Banerjee,A.,1992,Asimplemodelofherdbehavior,QuarterlyJournalofEconomics107,797-817.Barber,BradM.andTerranceOdean,2000,Tradingishazardoustoyourwealth:Thecommonstockinvestmentperformanceofindividualinvestors,JournalofFinance55,773-806.20资/行为Barber,BradM.andTerranceOdean,2001,Boyswillbeboys:Gender,overconfidence,andcommonstockinvestment,QuarterlyJournalofEconomics116,261-292.Barber,BradM.andTerranceOdean,2002,Onlineinvestors:Dotheslowdiefirst?,ReviewofFinancialStudies15(2),455-487.Benos,A.,1998,Aggressivenessandsurvivalofoverconfidenttraders,JournalofFinancialMarkets1,353-383.Blume,Lawrence,andDavidEasley,1982,Learningtoberational,JournalofEconomicTheory,26,340-351.Blume,Lawrence,andDavidEasley,1992,Evolutionandmarketbehavior,JournalofEconomicTheory,58,9-40.Camerer,C.F.,E.J.Johnson,1997,Theprocess-performanceparadoxinexpertjudgment:Howcanexpertsknowsomuchandpredictsobadly?.InW.M.GoldsteinandR.M.Hogarth(Eds.),Researchonjudgmentanddecisionmaking.Cambridge:CambridgeUniversityPress,342-364.Christoffersen,Susan,andSergeiSarkissian,2002,Locationoverconfidence,McGillUniversityworkingpaper,September.Coval,JoshuaD.,andTobiasJ.Moskowitz,1999,Homebiasathome:Localequitypreferenceindomesticportfolios,JournalofFinance54,2045-2073.Coval,JoshuaD.,andTylerShumway,2002,Dobehavioralbiasesaffectprices?,HarvardUniversityworkingpaper,September.DeLong,AndreiShleifer,LawrenceH.Summers,andRobertJ.Waldmann,1990,Noisetraderriskinfinancialmarkets,JournalofPoliticalEconomy98,703-738.Dhar,Ravi,andNingZhu,2002,Upcloseandpersonal:Anindividuallevelanalysisofthedispositioneffect,YaleICFWorkingPaperNo.02-20,August.Gervais,SimonandTerranceOdean,2001,Learningtobeoverconfident,ReviewofFinancialStudies14,1-27.Griffin,Dale,andAmosTversky,1992,Theweighingofevidenceandthedeterminantsofconfidence,CognitivePsychology,24,411-435.Grinblatt,M.,andM.Keloharju,2000,“Theinvestmentbehaviorandperformanceofvariousinvestortypes:AstudyofFinland’suniquedataset,”JournalofFinancialEconomics55,43-67.Grinblatt,M.,andM.Keloharju,2001a,“Whatmakesinvestorstrade?,”JournalofFinance56,589-616.Grinblatt,M.,andM.Keloharju,2001b,“Howdistance,language,andcultureinfluencestockholdingsandtrades”JournalofFinance56,1053-1074.Hirshleifer,David,2001,Investorpsychologyandassetpricing.JournalofFinance,56(4),1533-1597.Hirshleifer,D.,A.Subrahmanyam,andS.Titman,1994,Securityanalysisandtradingpatternswhensomeinvestorsreceiveinformationbeforeothers,JournalofFinance49,1665-1698.21资/行为Kyle,A.,andF.A.Wang,1997,Speculationduopolywithagreementtodisagree:Canoverconfidencesurvivethemarkettest?,JournalofFinance52,2073-2090.Lee,CharlesM.C.,AndreiShleifer,andRichardH.Thaler,1991,Investorsentimentandtheclosed-endfundpuzzle,JournalofFinance46,75-109.List,JohnA.,2003,Doesmarketexperienceeliminatemarketanomalies?,QuarterlyJ