一导言新古典派资本市场理论与效率性资本市场

():(CAPM),,,,::(CAPM)(MM),,,,,,,,,,,,,,;,,,(),,,(),,;,7420043©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,();,,(),(),;,,,,,,,(fundamentalvalue),,,,,,,2060,7090,,,,Fama(semi2strongform),,,,,,70(behavioreconomics),,,,,,84:Fama(1970),Fama(1991)Fama(1998)©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,,,,,,,,,,,,,,,,,IPO,,,,,,,,,,,,,,,,,,,,,,(beautycontest),9420043Simon(1976)Black(1986),(noisetrader),,,,,,,,©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,(prisonerpsdilemma),(winnerpscurse),,,,,,,,,,,(herding)(arbitrage),;,,,,,,,,,,,,,,,,,,,,(lemonpsmarket):,;,05:,,Odean(1998),,,,,,(2002)KahnemanandTversky(1979)TverskyandKahneman(1981)()(2002)Thaler(1992)Bazerman(1998)GoldbergandNitzsch(1999)©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,,19291989,,,,,,,,;,,,,,,,,:,,,,,,,,,,,,,,(anomalyreturn),,,,,,(Fama,1991;1998),,,,,,,,,,30,1520043Fama(1980),,©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,(factor),?(randomwalk)?,,,;,,,,(),,,,,,,,(eventstudy),,;,,,(CAPM)(benchmark),CAPM(jointtest),,,,,,;,,,,,,,,,,,,,,,,25:,Fama,Fama(1998),,,,Knight(1921)Ellsberg(1961)©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,,,,()(),,,,,,,,,,,,,,,,,,,(),,,;,;,,,,;,,,,,(normative),(positive),3520043,,,,,(adhoc),Campbelletal.(1997),100%,,,,,,,©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,1999:,,,2002:,,Vol153,No12,159183.Bazerman,M.,1998,JudgmentinManagerialDecisionMaking,JohnWileyandSons,Inc.Black,M.,1986,Noise,JournalofFinance41,529543.Campbell,J.Y.,A.W.LoandA.C.Mackinlay,1997,TheEconometricsofFinancialMarkets,PrincetonUniversityPress.Ellsberg,D.,1961,Risk,AmbiguityandtheSavageAxioms,QuarterlyJournalofEconomics75,643669.Fama,E.F.,1970,EfficientCapitalMarkets:AReviewofTheoryandEmpiricalWork,JournalofFinance25,383417.Fama,E.F.,1980,AgencyProblemsandtheTheoryoftheFirm,JournalofPoliticalEconomy88,288307.Fama,E.F.,1991,EfficientCapitalMarkets:,JournalofFinance46,15751617.Fama,E.F.,1998,MarketEfficiency,Long2TermReturns,andBehavioralFinance,JournalofFinancialEconomics49,283306.Goldberg.J.andR.Nitzsch,1999,BehavioralFinance,FinanabuchVerlag.Kahneman,D.andA.Tversky,1979,ProspectTheory:AnAnalysisofDecisionunderRisk,Econometrica47,263291.Knight,F.,1921,Risk,Uncertainty,andProfit,HoughtonMifflinCompany.Odean,T.,1998,AreInvestorsReluctanttoRealizeTheirLosses?,JournalofFinance53,17751798.Shleifer,A.,2000,InefficientMarkets:AnIntroductiontoBehavioralFinance(ClarendonLectures),OxfordUniversityPress.Simon,H.A.,1976,AdministrativeBehavior,3rded.,FreePress.Thaler,R.H.,1992,TheWinnerpsCurse,FreePress.Tversky,A.andD.Kahneman,1981,TheFramingofDecisionsandthePsychologyofChoice,Science211,453458.Information,InvestorBehaviorandCapitalMarketpsEfficiencyZhaiLinyu(OsakaCityUniversity,Japan)Abstract:Thenewclassicalcapitalmarkettheory,ofwhichtheCAPMisthemostrepresentativeone,startsfromanumberofassumptionssuchasperfectinformationandperfectrationalityandarrivedatsomepropositionsaboutthesubjectiveequilibriumandmarketequilibrium.Butwehavetokeepinmindthatthereisawidedistancebetweentherealmarketandtheidealmarketdescribedbythenewclassicalcapitalmarkettheoryandrealizethattheeventstudypopularlyusedinempiricallyverifyingthemarketefficiencyhypothesisorinformationalefficiencyhypothesishasalotofmethodologicalproblems.Itisfarmoreimportanttotakeinformationasymmetryandinvestorpsirrationalbehaviorintoaccountandfocusourattentiononhowtoimprovetherealmarketsallocationalefficiencytowardidealmarket.KeyWords:InformationAsymmetry;EventStudy;InformationalEfficiency;AllocationalEfficiencyJELClassification:G100,G140(:)(:)45:©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.