市场有效性，长期收益和行为金融2014-12-5目录摘要 (2)1.引言 (2)2.过度反应与反应不足：概述 (6)3. 反应过度以及反应不足的行为模型 (12)4.从长期收益得到的推论 (18)4.1 不良模型的问题 (20)4.2收益度量 (23)4.2.1收益度量：理论问题 (24)4.2.2.收益度量：统计问题 (26)4.2.3 收益度量：流通市值加权VS等权市值加权 (28)5. 各类研究的可靠性 (30)5.1 首次公开募股（IPOs）和供股（SEOs） (30)5.2兼并 (37)5.3股票分拆 (38)5.4 自我标购和股票回购 (39)5.5 证券上市 (41)5.6. 股票股利初次发放与停发 (43)5.7 分拆上市 (43)5.8. 委托书争夺 (44)6. 结论 (47)Abstract摘要Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to disappear with reasonable changes in technique.市场有效性理论在学术界一直饱受长期收益异常理论的争议。
与有效市场假说一致的是，异常现象是偶然结果，对信息的明显的过度反应与反应不足一样普遍，事前反常收益的事后延续与事后逆转一样频繁。
最重要的是，与有效市场预测一致的是，明显的异常可能是因为研究方法的原因，大多数的长期收益异常会随着合理的技术方法改进而消失。
1. Introduction1.引言Event studies, introduced by Fama et al. (1969), produce useful evidence on how stock prices respond to information. Many studies focus on returns in a short window (a few days) around a cleanly dated event. An advantage of this approach is that because daily expected returns are close to zero, the model for expected returns does not have a big effect on inferences about abnormal returns.Fama et al. (1969) 所引入的事件研究法提供了有效证据说明股价是如何对信息做出反应的。
很多研究关注的是有明确日期的短窗（几天）收益。
这种方法有一个优势：因为每天的期望收益几乎为零，这样的期望收益模型不会对异常收益的推断产生大的影响。
The assumption in studies that focus on short return windows is that any lag in the response of prices to an event is short-lived. There is a developing literature that challenges this assumption, arguing instead that stock prices adjust slowly toinformation, so one must examine returns over long horizons to get a full view of market inefficiency.关于短期收益窗的研究的假设是，对事件的价格反应的任何滞后是很短暂的。
一些后续文献质疑此假设，认为相反，股价会根据信息作出缓慢调整，因此必须通过对收益的长期调查才能得到关于市场无效性的全面认识。
If one accepts their stated conclusions, many of the recent studies on long-term returns suggest market inefficiency, specifically, long-term underreaction or overreaction to information. It is time, however, to ask whether this literature, viewed as a whole, suggests that efficiency should be discarded. My answer is a solid no, for two reasons.如果接受他们的结论，最近很多关于长期收益的研究都显示出市场无效性，具体说，就是对信息长期的反应不足和反应过度。
然而，现在是时候问问，整体来看这些文献，是不是说明有效性应该丢弃？？我的答案是绝对不，原因有二。
First, an efficient market generates categories of events that individually suggest that prices over-react to information. But in an efficient market, apparent underreaction will be about as frequent as overreaction. If anomalies split randomly between underreaction and overreaction, they are consistent with market efficiency. We shall see that a roughly even split between apparent overreaction and underreaction is a good description of the menu of existing anomalies.首先，一个有效市场会生成多种事件，每个事件都显示价格对信息的反应过度。
但是在一个有效市场，显然的反应不足和反应过度发生的频率是一样的。
如果对于异常事件的反应在反应不足和反应过度两个维度进行随机分布，那就符合市场效率了。
我们会看到，明显的反应不足与过度反应大概各占一半就是对现在的异常情况很好的描述。
Second, and more important, if the long-term return anomalies are so large they cannot be attributed to chance, then an even split between over- and underreaction is a pyrrhic victory for market efficiency. We shall find, however, that the long-term return anomalies are sensitive to methodology. They tend to become marginal or disappear when exposed to different models for expected (normal) returns or when different statistical approaches are used to measure them. Thus, even viewed one-by-one, most long-term return anomalies can reasonably be attributed to chance.其次，更重要的是，如果长期收益异常如此多以至于无法归因于偶然，那么过度反应和反应不足的对半发生对于市场有效性便得不偿失了。
然而我们会发现，长期收益异常对于研究方法是敏感的。
当我们采用不同的期望（正常）收益模型或者不同的统计方法来测量时，他们就会急剧减少显现出边际性？甚至消失。
因此，即使一个一个观察，大多数的长期收益异常也能合理的归因于偶然。
A problem in developing an overall perspective on long-term return studies is that they rarely test a specific alternative to market efficiency. Instead, the alternative hypothesis is vague, market inefficiency. This is unacceptable. Like all models, market efficiency (the hypothesis that prices fully reflect available information) is a faulty description of price formation. Following the standard scientific rule, however, market efficiency can only be replaced by a better specific model of price formation, itself potentially rejectable by empirical tests.统观长期收益的研究会发现一个问题：他们很少测试市场有效性的具体替代。
