西方心态错位因素与股票收益关系研究评介
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外国经济与管理 2005 年 第 27 卷第 12 期, 页码：44 - 50
摘要
参考文献
摘要
本文按照“心态错位因素会引起投资者的情绪波动,从而在一定程度上影响投资者的信息处理方式和风险态度发生变化,进而影响其投资决策和行为,最终导致股票收益发生变化”这一逻辑链,对心态错位因素与股票收益之间关系的研究进行了综述,并分析了该逻辑链的心理学理论基础。同时,本文对现有研究中值得商榷之处也进行了探讨,并指出了进一步研究的方向。
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[2]Hirshleifer,D and T Shumway.Good day sunshine:stock returns and the weather[J].Journal of Finance,2003,58(3):1009-1032.
[3]Kamastra,M J,L A Kramer and M D Levi.Winter blues:a sad stock market cycle[J].The American Economic Review,2003,93(1):324-343.
[4]Dichev,L D and T Janes,D.Lunar cycle effects in stock returns[R].SSRN Working Paper,No.281665,2001:1-48.
[5]Trombley,M A.Stock price and Wall Street weather:additional evidence?[J].Quarterly Journal of Business and Eco-nomics,1997,36:11-21.
[6]Goetzman,William N,and Ning Zhu.Rain or shine:where is the weather effect?[R].SSRN Working Paper,No.322300,2002:1-30.
[7]Loughran,T and Schultz,P.Weather,stock returns,and the impact of localized trading behavior[J].Journal of Finan-cial and Quantitative Analysis,2004,39(2):343-378.
[8]Cao,Melanie and Jason Wei.Stock market returns:a temperature anomaly[J].Journal of Banking and Finance,2005a,29:1559-1573.
[9]Cao,Melanie and Jason Wei.An expanded study on the stock market temperature anomaly[R].SSRN Working Paper,No.761832,2005b:1-41.
[10]Theissen,Erik.An analysis of private investors`stock market returns forecasts[R].SSRN Working Paper,No.495783,2003:1-21.
[11]Krivelyova,A and C Robotti.Playing the field:geomagnetic storms and international stock markets[R].SSRN Work-ing Paper,No.375702,2003:1-53.
[12]Kamstra,Mark J,Lisa A Kramer and Maurice D Lei.Losing sleep at the market:the daylight savings anomaly[J].American Economic Review,2000,90(4):1005-1011.
[13]Piregar,J M.Losing sleep at the market:comment[J].American Economic Review,2002,92(4):1251-1256.
[14]Kamstra,M J,L A Kramer and M D Levi.Losing sleep at the market:the daylight saving anomaly:reply[J].Ameri-can Economic Review,2002,92(2):1257-1263.
[15]Yuan,K,L Zheng and Q Zhu.Are investors moonstruck?Lunar phases and stock returns[R].SSRN Working Paper,No.283156,2001:1-46.
[16]Kolb,R W.and R J Rodriguez.Friday the thirteenth:part vii-a note[J].Journal of Finance,1987,42:1385-1387.
[17]Dyl,E A,E D Maberly.The anomaly that isn’t there:a comment on Friday the thirteenth[J].Journal of Finance,1998,43:1285-1286.
[18]Chamberlain,Trevor,W,Cheung,C Sherman,Kwan,Clarence C Y.The Friday the thirteenth effect:myth or reality?[J].Quarterly Journal of Business and Economics,1991,30(20):111-117.
[19]Dowling,M and Lucey,B.Weather,biorhythms,beliefs and stock returns some preliminary Irish evidence[R].SSRNWorking Paper,No.616614,2004:1-33.
[20]Loewenstein,G F Elke,U W,Christopher,K H Welch,N.Risk as feelings[J].Psychological Bulletin,2001,127(2):267-286.
[21]Jacobsen,B Marquering,W.Is it the weather?[R].SSRN Working Paper,No.596863,2004:1-28.
[22]Parker,Philip M and Nader T Tavassoli.Homeostasis and consumer behavior across cultures[J].International Journalof Research in Marketing,2000,17:33-53.
[23]Cunningham,Michael R.Weather,mood and helping behavior:quasi experiments with the sunshine samaritan[J].Journal of Personality and Social Psychology,1979,37(11):1947-1956.
[24]Rohan,K,Sigmon,S and Dorhofer,D.Cognitive-behavioral factors in seasonal affective disorder[J].Journal of Con-sulting and Clinical Psychology,2003,71(1):22-30.
引用本文
金雪军, 徐少君, 皮永华. 西方心态错位因素与股票收益关系研究评介[J]. 外国经济与管理, 2005, 27(12): 44–50.
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