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β沈李錄立率異率率立率異率異率累異率例β說1利異異率來聯利異率狀異率零率0)()|(:=−REeventREH0iiii)|(eventRE)(RE量領狀累年來料立見來說類率類不露度異率異率例數2論行類例行異率論論參沈李來說行便異率立率異率率率率異率異率3累異率立行行利行不立率異率率立便說立率來立度1t2tT112+−=ttT立率Wet4t134+−=ttW率率異率來說類T不量4力料不若率立率率度易異若率料率來說率類數烈率率∑==211)ˆ(tttitiiERTRERit率itiE)(REiE5率數率率率mEiERRE=)ˆ(率數數來率理論數理數異率數率參數精異率mEmERR料利立,itmtiiitRRεβα++=itε),0(~2σεNitiαˆiβˆE率mEiiiERREβαˆˆ)ˆ(+=率6異異數沈李若列β數β異數異率行行異數若連來連itmtiiitRRεβα++=),0(~,,|2,21ititititNσεεεK−−21212−−++=itiitiiitbawσεσ參數參E率mEiiiERREβαˆˆ)ˆ(+=7參數αˆ不參沈李βˆ異率說率異異率率)ˆ(iEiEiERERAR−=iEARiE異率率率異異iER)ˆ(iERE精神若論不例了iEiEARAR沈李異率降行異率8∑==NiiEEARNAAR11數異率NiE1ARi累異率累異率累異率∑==2),(21ττττEEAARCAAR異率異率累異率異率異率力論異率累異率異零行數數數理論異率數不異率率論數9來說異率累異率異零異率不理異率立量異率數不力若異率不數不數論數累異率數數異率異率tE異零AAR∑==NiiESNAARt12ˆ1異數若列2ˆiS見精神率異數異數異10率異數便異率異數異率異數∑=−−==NiEiEEEEAARARNNAARAARVarAARt12)()1(1)(∑===NiiEEEEARVarNAARAARVarAARt12)(1)(異數)(ARVariE異率異數異率異率∑∑==−−==NiiiNiiEEETTSARASARVarASARt1142)(T數i12iittT−=SARiEiE異率∑=−−++=2122)()(11ˆttjmimjmimEiiiEiERRRRTSARSAR11異率行E異∑=−−=NiEiEEASARSARNNASARt12)()1(1數異率例異理論若異率例212])21([|21|−−=NptpE異率零數累異率累異率異率類了沈李說論列t∑∑==⎟⎟⎠⎞⎜⎜⎝⎛==NiEiiEmSARNACARVarACARt1,,212121ˆ1)(ττττττ121+−=12ττm∑∑==−−==NiNjiiNCARCARNNACARACARVarACARt121,,,,,,,)()1(1)(2121212121ττττττττττ211142)(21⎥⎦⎤⎢⎣⎡−−=∑∑∑===NiiiEiENiTTmSARtττ∑∑==⎟⎟⎠⎞⎜⎜⎝⎛−−==NiNjiiNSCARSCARNNASCARASCARVarASCARt121,,,,,,,2121212121)1(1)(ττττττττττ異率零數數例21211221,,ττiCAR,,ττiCAR例便見度料1e2e1e2e1+−ee]14,15[=−=ee例13離離],[21ss1s2iEs率料率料異率異率數AR度F2Rαβ令itεˆ22110ˆˆˆqtqtt−−+++=εαεααεL2R量22~qTRχ8=qTTTSZk6)2)(1(−−=數kS14)1(24)3)(2)(1(+−−−=TTTTTKZu數uK]246)[2(22ukKSTZ+−=∑=−+=miiiTTTmQ12ˆ)2()(ρiρˆ數m異率iit數E數量NiEARE異率i異率itimtmEARtiT度i率RtRE率mR率15isˆi∑∑==−−=iiTtTkiikitiiTARARpTs121)(1ˆp參數數iESARE異率)(iEiEiEARVarARSAR=iEAARE異率NARAARNiiEiE∑==1iECARE累異率∑==EjijiEARCAR1iEACARE累異率NCARACARNiiEiE∑==1iESCARE累異率∑==EjijiESARSCAR1iEASCARE累異率NSCARASCARNiiEiE∑==116行料料行17行異率了數18例異率料率率率率19料度度數數數易數數料立料讀立說20例便讀料立料行利欄留數21讀行列列列了參數切不列22異率異率23β說β利mtiiitRRβα+=率數數易數參數itRmtRN參24沈李年年料年異異數參數Bollerslev,T.,1986.Generalizedautoregressiveconditionalheteroskedasticity,JournalofEconometrics,31,pp.307-327.Brown,S.J.andJ.B.Warner,1980.Measuringsecuritypriceperformance,JournalofFinanclialEconomics,8,pp.205-288.Engle,R.F.,1982.AutoregressiveconditionalheteroscedasticitywithestimatesofthevarianceofU.K.inflation,Econometrics,50,pp.987-1008.Ohlson,J.A.andB.Rosenberg,1982.SystematicriskoftheCRSPequal-weightedCommonstockindex:Ahistoryestimatedbystochastic-parameterregression,JournalofBusiness,55,pp.121-145.Pattel,J.M.,1976.Corporateforecastsofearningspershareandstockpricebehavior:Empiricaltests,JournalofAccountingResearch,14,pp.246-276,Roll,R.,1981.Apossibleexplanationofthesmallfirmeffect,JournalofFinance,36,pp.879-888.25