证券风险度量及其在中国股市投资价值分析中的应用
|
摘要
风险度量是证券投资领域的核心课题之一。长期以来，有关证券的风险度量存在着两大理论体系——全域风险理论和非对称风险理论：
全域风险理论将风险定义为收益的不确定性。常见的风险度量指标包括基于随机游走的方差、β指标以及基于收益长期相关性特征的赫斯特指数、λ参数、C指标等。实证结果显示收益序列具有复杂的相关性特征：有的收益序列中仅存在着长期相关性或短期相关性，有的则既存在着长期相关性也存在着短期相关性，上述风险度度量指标难以对此进行完备的刻画。
非对称风险理论则认为，风险是投资者关于收益不确定性的心理感受，并因投资者对收益不确定性的不同部分具有不同的心理感受而表现出非对称性。该风险理论又包括下方风险理论和组合偏差风险理论，其中，前者将风险视为投资的损失，后者则将损失和收益(相对于特定的目标或基准收益水平)都纳入风险度量的范畴，但二者的作用不同。比较而言，组合偏差风险理论更全面地反映了投资者关于风险的实际心理感受。但是，现有组合偏差风险度量指标存在不足之处，即，它们没有将损失和收益的波动性考虑在内。
证券(市场)投资价值分析本质上是对收益和风险的某种综合评价。现有研究主要是从定价的角度来考察证券(市场)的投资价值，即，研究证券(市场)价格同其基本价值之间的关系，常用的方法包括股利贴现模型、市盈率模型、风险溢价模型等。关于中国股市的投资价值研究大都采用上述方法进行，其不足主要表现在两个方面：第一，它仅从投资者个体的视角来考察投资者能否获利，而忽略了证券市场重要功能——资源配置的有效性，因而并不全面；第二，所采用的研究方法除了本身固有的不足之外，更主要的缺点是忽略了投资者对证券(市场)价值判断的主观因素，它们或许可以应用于发达国家的成熟市场中，但在不成熟的新兴市场(如中国股市)却难以得出精确、一致的结论。
在对现有研究进行总结的基础上，本论文进行了如下研究：
(1)在全域风险理论框架下，从时间序列预报的角度将风险定义为收益的非预测性，并用收益序列中的噪声对其进行度量，将具有复杂收益序列特征的证券风险度量纳入统一的分析框架，具有较强的适应性。
(2)结合展望理论，构造了一种同时考察上(正)偏差、下(负)偏差及其波动性的组合偏差风险度量指标，比现有的组合偏差风险度量指标更符合投资者关于风险的决策心理。
(3)拓展了投资价值研究的内涵，提出了从市场配置资源功能角度来研
Risk measurement is one of the most important issues in security investment. For a long time, there are two theoretical systems in risk measurement, they are full domain risk theory and asymmetric risk theory.
In full domain risk theory, risk is defined as the uncertainty of returns. Variance and β based on random walk and Hurst Index, index C and parameter X based on returns' long-term correlation are common risk measurement indexes in full domain risk theory. The empirical results showed that the correlation of return series were very complicated, such as some returns series have only short-term correlation or long-term correlation, while others have both, which can not be described perfectly by the risk indexes above mentioned.
In asymmetric risk theory, risk is investor's psychology feeling to return's uncertainty and shows asymmetry, for investor has different psychology feeling to different part of security return's uncertainty. There two kinds of risk theories in asymmetric risk theory framework, one is down-side risk theory, the other is compounded deviation risk theory. Down-side risk theory considers risk as the loss of investment, while compounded deviation risk theory thinks that both loss and gain should be included in risk measurement though they have different influence. Comparing compounded deviation risk theory with down-side risk theory, we find that the former can reflect investor's real psychology about risk more accurately. But, the default of existed compounded deviation risk indexes is that the fluctuation of loss and gain are not included in.
The analysis of security(market) investment value is essentially some kind of comprehensive assessment about return and risk. The existed research analyzes the security(market) investment value from the viewpoint of pricing, that is, studying the relation of security(market) price and its fundamental value. Dividend discounted model, price earning ratio model and risk premium model are most used in empirical analysis, and also used in the research of investment value about China security market. The defaults of existed research are mainly in two sides: First, it cares about whether investors can profit from investment but neglects the efficiency of resource allocation which is a very important function of security market. Second, besides their own limits of the ways used, the fact that they ignore
全域风险理论将风险定义为收益的不确定性。常见的风险度量指标包括基于随机游走的方差、β指标以及基于收益长期相关性特征的赫斯特指数、λ参数、C指标等。实证结果显示收益序列具有复杂的相关性特征：有的收益序列中仅存在着长期相关性或短期相关性，有的则既存在着长期相关性也存在着短期相关性，上述风险度度量指标难以对此进行完备的刻画。
非对称风险理论则认为，风险是投资者关于收益不确定性的心理感受，并因投资者对收益不确定性的不同部分具有不同的心理感受而表现出非对称性。该风险理论又包括下方风险理论和组合偏差风险理论，其中，前者将风险视为投资的损失，后者则将损失和收益(相对于特定的目标或基准收益水平)都纳入风险度量的范畴，但二者的作用不同。比较而言，组合偏差风险理论更全面地反映了投资者关于风险的实际心理感受。但是，现有组合偏差风险度量指标存在不足之处，即，它们没有将损失和收益的波动性考虑在内。
证券(市场)投资价值分析本质上是对收益和风险的某种综合评价。现有研究主要是从定价的角度来考察证券(市场)的投资价值，即，研究证券(市场)价格同其基本价值之间的关系，常用的方法包括股利贴现模型、市盈率模型、风险溢价模型等。关于中国股市的投资价值研究大都采用上述方法进行，其不足主要表现在两个方面：第一，它仅从投资者个体的视角来考察投资者能否获利，而忽略了证券市场重要功能——资源配置的有效性，因而并不全面；第二，所采用的研究方法除了本身固有的不足之外，更主要的缺点是忽略了投资者对证券(市场)价值判断的主观因素，它们或许可以应用于发达国家的成熟市场中，但在不成熟的新兴市场(如中国股市)却难以得出精确、一致的结论。
在对现有研究进行总结的基础上，本论文进行了如下研究：
(1)在全域风险理论框架下，从时间序列预报的角度将风险定义为收益的非预测性，并用收益序列中的噪声对其进行度量，将具有复杂收益序列特征的证券风险度量纳入统一的分析框架，具有较强的适应性。
(2)结合展望理论，构造了一种同时考察上(正)偏差、下(负)偏差及其波动性的组合偏差风险度量指标，比现有的组合偏差风险度量指标更符合投资者关于风险的决策心理。
(3)拓展了投资价值研究的内涵，提出了从市场配置资源功能角度来研
Risk measurement is one of the most important issues in security investment. For a long time, there are two theoretical systems in risk measurement, they are full domain risk theory and asymmetric risk theory.
In full domain risk theory, risk is defined as the uncertainty of returns. Variance and β based on random walk and Hurst Index, index C and parameter X based on returns' long-term correlation are common risk measurement indexes in full domain risk theory. The empirical results showed that the correlation of return series were very complicated, such as some returns series have only short-term correlation or long-term correlation, while others have both, which can not be described perfectly by the risk indexes above mentioned.
In asymmetric risk theory, risk is investor's psychology feeling to return's uncertainty and shows asymmetry, for investor has different psychology feeling to different part of security return's uncertainty. There two kinds of risk theories in asymmetric risk theory framework, one is down-side risk theory, the other is compounded deviation risk theory. Down-side risk theory considers risk as the loss of investment, while compounded deviation risk theory thinks that both loss and gain should be included in risk measurement though they have different influence. Comparing compounded deviation risk theory with down-side risk theory, we find that the former can reflect investor's real psychology about risk more accurately. But, the default of existed compounded deviation risk indexes is that the fluctuation of loss and gain are not included in.
The analysis of security(market) investment value is essentially some kind of comprehensive assessment about return and risk. The existed research analyzes the security(market) investment value from the viewpoint of pricing, that is, studying the relation of security(market) price and its fundamental value. Dividend discounted model, price earning ratio model and risk premium model are most used in empirical analysis, and also used in the research of investment value about China security market. The defaults of existed research are mainly in two sides: First, it cares about whether investors can profit from investment but neglects the efficiency of resource allocation which is a very important function of security market. Second, besides their own limits of the ways used, the fact that they ignore
引文
[1] 安鸿志，陈敏著．非线性时间序列分析[M]．上海：上海科学技术出版社，1998年．
[2] 本杰明·格雷厄姆，戴维．多德．证券分析[M]．海口：海南出版社，1999版．
[3] 陈占锋．上海股票市场A股泡沫问题：市盈率测量与综合解释．世界经济，2002，7，63-70．
[4] 陈梦根．股票价格分形特征的实证研究：修正R／S分析[J]．统计研究，2003a，4，57-61．
[5] 陈梦根．中国股市长期记忆效应的实证研究[J]．经济研究，2003b，4，70-79．
[6] 程兵，张晓军．中国股票市场的风险溢价．系统工程理论方法应用，2004，2，14-19．
[7] 崔海波，赵希男，张利兵．一种证券投资风险度量方法的应用研究[J]．系统工程，2004，3，88-91，
[8] 顾娟．中国封闭式基金贴水问题研究[J]．金融研究，2001，11，62-71
[9] 何诚颖．中国股市市盈率分布特征及国际比较研究．经济研究，2003，4，74-81．
[10] 胡雪明，宋学锋，王新宇．沪深股市的DFA实证分析[J]．中国矿业大学学报，2003，5，583-586．
[11] 胡支军，黄登仕．一个非对称风险度量模型及组合证券投资分析[J]．中国管理科学．2005，2，8-14．
[12] 黄小原，庄新田，张泉．股市波动的标度无关性算法及应用研究[J]．管理科学学报，2001，4(6)，55-59．
[13] 姜青舫，陈方正．风险度量原理[M]．上海：同济大学出版社，2000．
[14] 姜仁娜，叶俊．沪深两市股票指数的长记忆性[J]．清华大学学报(自然科学版)，2004，Vol44，(12)，1696-1699。
[15] 凯恩斯．就业、利息和货币通论[M]．上海：商务印书馆，1988版．
[16] 李瑞海，邹礼瑞，陈宏民．基于净资产的证券投资价值评估模型[J]．系统工程理论方法应用，2004，4，347-349，354．
[17] 廖理，汪毅慧．中国股票市场风险溢价研究[J]．金融研究，2003，4，23-31．
[18] 刘怀德．不确定性经济学[M]．上海：上海财经大学出版社，2001．
[19] 刘文财，刘豹，张维．ARFIMA模型在中国股票市场预测的失效[J]．系统工程理论方法应用，2002，11(2)，94-100．
[20] 马静如．中外股票市场市盈率比较研究．南开经济研究，2004，4，85-88．
[21] 彭飞，黄登仕，汤海溶．基于参照点收益价值函数化的资产选择模型[J]．系统工程．2004，6，59-63．[22] 史永东．中国证券市场股票收益持久性的经验分析[J]．世界经济，2000，11，29-33．
[23] 舒建平，谭德庆，吴炯．中国股票市场分形结构探索[J]．西南交通大学学报，2003，2，38(2)，212-215．
[24] 舒建平．标准金融理论探源及其批判[J]．管理评论，2004，1，40-44．
[25] 舒建平，胡培，范钛．长记忆下的风险度量及中国市场投资期限效应的实证分析[J]．系统工程，2005，2，39-44．
[26] 舒建平，应松宝，黄建宏[J]．系统工程理论方法应用，已录用．
[27] 汪贵浦，王明涛．Harlow下偏矩证券组合优化模型的求解方法研究[J]．系统工程理论与实践．2003，6，42-47．
[28] 王增业，余欣佳．中国股市风险价格测度[J]．南开经济研究，2003，67-71．
[29] 王春峰，张庆翠，李刚．中国股票市场收益的长期记忆性研究[J]．系统工程，2003，1，22-28．
[30] 王明涛．证券投资风险计量、预测与控制[M]．上海：上海财经大学出版社，2003．
[31] 魏宇，黄登仕．金融市场多标度分形现象及与风险管理的关系[J]．管理科学学报，2003，1，87～91．
[32] 魏宇，黄登仕．中国股票市场波动持久性特征的DFA分析[J]．中国管理科学，2004，4，12-19．
[33] 吴明礼．我国股市的市盈率结构分布和分析[J]．数量经济与技术经济研究，2001，8，99-102．
[34] 徐玖平．长期投资决策的风险度及其应用[J]．系统工程理论与实践，1999，2，96-102．
[35] 徐龙炳，陆蓉．R／S分析探索中国股票市场的非线性[J]．预测，1999，2，59-62．
[36] 徐绪松，杨小青，陈彦斌．半绝对离差证券组合投资模型[J]．武汉大学学报(理学版)．2002，3，297-300．
[37] 叶中行，曹奕剑．Hurst指数在股票市场有效性分析中的应用[J]．系统工程，2001，3，21-24．
[38] 于桂琴．我国股市市盈率分析．中央财经大学学报，2001，7，56-59．
[39] 张俊喜，张华．解析我国封闭式基金折现之谜[J]．金融研究，2002，12，49-60．
[40] 张喜彬，荣喜民，张世英．有关风险测度及组合证券投资模型研究[J]．系统工程理论与实践，2000，9，19-22．
[41] 张圣平．偏好、信念、信息与证券价格[M]．上海：上海人民出版社，2002．
[42] 张庆翠．上海股市收益序列的长期记忆性建模分析及预测[J]．西北农林科技大学学报(社会科学版)，2003，5，102-105．[43] 张永东．上海股票市场非线性与混沌的检验[J]．管理工程学报，2003，3，21-26．
[44] 张永东．风险的时间尺度：对中国股市的实证分析[J]．系统工程学报，2004，3，294-299．
[45] 郑维敏．正反馈．清华大学出版社[M]，1998．
[46] 朱世武，郑淳．中国资本市场股权风险溢价研究[J]．世界经济，2003，11，62-70．
[47] 庄新田，黄小原．中国股票市场的DFA实证研究[J]预测，2000，19(7)，99-101．
[48] 庄新田，黄小原，郑翼舟．基于DFA的股价指数自相关分析[J]．东北大学学报(自然版)，2001，3，28-31．
[49] 庄新田，黄小原．证券市场的标度理论及实证研究[J]．系统工程理论与实践，2003，3．1-8．
[50] Alexander, S. Price movements in speculative markets: Trends or random walks[J]. Industrial Management Review, 1961, 22, 7-26.
[51] Arzac, E.R., Bawa V. S. Portfolio choice and equilibrium in capital markets with safety first investors[J]. Journal of Financial Economics, 1977(4): 277-288.
[52] Bachelier, I. Theory of speculation[M]. 1900, in Cootner ed, The random character of stock market prices, MIT Press, 1964, 17-78.
[53]] Barberis, N., Shleifer, A. and Vishny, R. A model of investor sentiment[J]. Journal of Financial economics, 1998, 49, 307-343.
[54] Barkoulas, J.T., Baum, C.F. and Travlos, N. Long memory in the Greek stock market[J], Applied Financial Economics, 2000, 10(2), 177-184.
[55] Bawa, V.S. Optimal rules for ordering uncertain prospects[J]. Journal of Financial Economics, 1975(2), 95-121.
[56] Bawa, V.S. Stochastic dominance: a research bibliography[J]. Management Science, 1982, 28, 698-712.
[57] Beaver, W.H. Market Efficiency[J]. Accounting Review, 1981, 56(1), 23-37.
[58] Becker, Gary S. Irrational behavior and economic theory[J]. Journal of Political Economy, 1962, 70, 1-13.
[59] Ben, J. Long term dependence in stock returns[J]. Journal of Empirical Financial, 1996, 3, 393-417.
[60] Bettis, R.A. Modern financial theory, corporate strategy and public policy: three conundrums[J]. Academy of Management Review, 1983, 8(3), 406-415.
[61] Black, F. Noise[J]. Journal of Finance, 1986, 41,529-543.
[62] Bowman,E.H. A risk/return Paradox for Strategic Management [J].Sloan Management??Review, 1980, 21(3), 17-31.
[63]Brailsford, T.J. and Josev, T. The impact of the return interval on the estimation of systematic risk[J]. Pacific-Basin Finance Journal, 1997, 5, 357-376.
[64]Brock, W, Dechert, D., Sheinkman, J. A Test for independence based on the correlation dimension[R] University of Wisconsin, Socail Systems Research Institute Working Paper, 1987,8702.
[65]Chen Na-fu, Raymond. K., Merton, H.M. Are the discouonts on closed-end funds a sentiment index?[J]. Journal of Finance, 1993, 48, 795-800.
[66]Cheung, Y. and Lai, K.S. A search for long memory in international stock market returns[J]. Journal of International Money & Finance, 1995, 14, 597-615.
[67]Cohen, K., Hawawini, G, Mayer, S., Schwartz, R., Whitcomb, D. Estimating and adjusting for the Intervalling-Effect effect bias in beta[J]. Management Science, 1983a, 29,135-148.
[68]Chopra, N., Lee, C, Shleifer, A., Thaler, R.H. Yes, discounts on closed-funds are a sentiment index[J]. Journal of Finance, 1993,48, 801-816.
[69]Cohen. K., Hawawini, G., Mayer, S., Schwartz, R., Whitcomb. D. Friction in the trading process and the estimation of systematic risk[J]. Journal of Financial Economics,1983b, 12, 263-278.
[70]Collins, J.M. and T.W.Ruefli. Strategic risk: An ordinal approach[J]. Management Science, 1992, Vol.38, No. 12, 1707-1731.
[71]Cowles, A. Can stock market forecasters forecast[J]. Econometrica, 1933, 1, 309-324.
[72]Cowles, A. Stock market forecasting[J]. Econometrica, 1944, 12, 206-214.
[73]Daniel, K., Hirshleifer, K.,and Subrahmanyam, A. Investor psychology and security market under-and overreactions[J]. Journal of Finance, 1998, 53, 1839-1886.
[74]De Bont, W., Thaler, R. Does the Stock Market Overreact?[J]. Journal of Finance, 1985,40, 793-808.
[75]De Long, J.B, Shleifer, A., Summers, L.H., and Waldmann, R.J. Noise trader risk in financial markets[J]. Journal of Political Economy, 1990, 98(4), 703-738.
[76]De Long, J.B, Shleifer, A., Summers, L.H., and Waldmann, R.J. The survival of noise traders in financial markets[J]. The Journal of Business, 1991, 64, 1-19.
[77]Diebold F X, Hickman A, Inoue A, et al. Converting 1-day volatility to h -day volatility: scaling by h~(1/2) is worse than you think[R].Wharton Financial Institutions??Center, Working Paper, 1997.97-34, http://fic.Wharton.upenn.edu/fic/
[78]Elroy, D. and Marsh, P. U.K. financial market returns, 1955-2000. The Journal of Business, 2001,71(1), 1-31.
[79]Elroy, D., Marsh, P., Staunton, M. Global evidence on the equity risk premium[J].Journal of Applied Corporate Finance, 2003, 15(4), 27-38.
[80]Elton, E., Martin, J., Gruber, J.A., Busse. Do investors care about sentiment?[J]. The Journal of Business, 1998, 71(4), 477-500.
[81]Fama, E.F. The behavior of stock market prices[J]. The Journal of Business, 1965, 38,34-105.
[82] Fama, E. F., and Roll, R. Parameter Estimate for Symmetric Stable Distributions [J].Journal of the American Statistical Association, 1971, 66, 331-338.
[83]Fama, E.F. Efficient capital marketsII[J]. Journal of Finance, 1991, 46, 1575-1617.
[84]Fama, E.F. and French, K.R. The cross section of expected stock returns[J]. Journal of Finance, 1992, 47(2), 427-465.
[85]Fama, E.F. and French, K.R. Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics, 1993, Feb, 3-56.
[86]Fama, E.F. and French, K.R. The equity premium[J]. Journal of Finance, 2002, 57(2),637-660.
[87]Fiegenbaum,A. and H.Thomas. Dynamic and risk measurement perspectives on Bowman's risk-return paradox for strategic: An empirical study[J]. Strategic Management Journal, 1986, 7(5), 395-407.
[88]Figlewski, S. Market "efficiency" in a market with heterogeneous information[J].Journal of Political Economy, 1979, 86, 581-597.
[89]Fish,I.N. and Hall,G.R. Risk and corporate rates of return[J]. Quarterly Journal of Economics, 1969, Vol.83, 79-92.
[90] Fishburn,P.C. Mean-risk analysis with risk associated with below-target returns[J].The American Economic Review, 1977, 116-126.
[91]Fishburn,P.C. Foundations of risk measurement II: Effects of gains on risk. Journal of Mathematical Psychology, 1982, 25, 226-242.
[92]Fishburn, P. C. Foundation of risk measurement, I : Risk as a probable of loss [J].Management Science, 1984, Vol.30, No.4, 396-406.
[93]Fisher, L and Lorie, J.H. Rates of return on investments in common stocks[J]. The Journal of Business, 1964, 37(1), 1-21.[94]Fisher, L. Some mew stock-market indexes[J]. The Journal of Business, 1966, 39,191-225.
[95]Frankfurter, G., Leung, W., Brockman, P. Compounding period length and the market model[J]. Journal of Economics & Business, 1994, 46, 179- 193.
[96]French, K.R. and Roll, R. Stock return variances: The arrival of information and the reaction of traders[J]. Journal of Financial Economics, 1986, 17, 5-26.
[97]Friedman, M. The case for flexible exchange rates[J]. In Essays in Positive Economics, Chicago: University of Chicago Press, 1953.
[98]Fuller, R.J., Huberts, L and Levinson. Returns to E/P Strategies, higgledy-piggledy growth, analysts' forecast errors and omitted risk factors[J]. Journal of Portfolio Management, 1993, 19(2), 13-24.
[99]Gode, D. K. and Sunder, S. Allocative efficiency of markets with zero-intelligence traders: market as a partial substitute for individual rationality[J]. Journal of Political Economy, 1993, 101, 119-37.
[100]Goetzmann, W.N. Patterns in Three Centuries of Stock Market Prices[J]. The Journal of Business, 1993, 66(2), 249-270.
[101]Gordon, G., Dylan, C., Thomas. Noise trading, costly arbitrage, and asset prices:Evidence from closed-end funds[J] Journal of Finance, 2002, 57, 2571-2594.
[102] Granger , C.W.J. and Joyeux, R. An introduction to long-memory time series models and fractional differencing[J]. Journal of Time Series Analysis, 1980, 1, 15-39.
[103] Granger, C.W.J. Long memory relationship and the aggregation of dynamics models[J]. Journal of Econometrics, 1980, 14, 227-238.
[104]Greene, M. & Fielitz, B. Long-term dependence in common stock returns[J], Journal of Financial Economics, 1977, 4, 339-349.
[105]Grossman,S.J. On the efficiency of competitive stock markets where traders have diverse information[J]. Journal of Finance, 1976, 31, 573-585.
[106] Grossman,S.J. Further results on the informational efficiency of competitive stock markets[J]. Journal of Economic Theory, 1978, 18, 81-101.
[107]Grossman,S.J. and Stiglitz,J.E. On the impossibility of information efficient markets[J]. American Economic Review, 1980, 70, 393-408.
[108]Handa, P., Kothari, S.P., Wasley. C. The relation between the return interval and betas: Implications for the size effect[J]. Journal of Financial Economics, 1989, 23, 79-100.
[109]Handa, P., Kothari, S.P.. Wasley, C. Sensitivity of multivariate tests of the capital??asset pricing model to the return interval measurement[J]. Journal of Finance, 1993, 48,1543-155 1.
[110]Hardin, G. The tragedy of the commons[J]. Science, 1968, 162, 1243-1248.
[111]Harlow,W.,V., Rao,R.,K.S. Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence[J]. Journal of Financial & Quantitative Analysis, 1989, 3, 285-311.
[112]Harlow,W.V. Asset Allocation in a downside risk framework. Financial Analyst Journal, 1991, Sep-Oct, 28-40.
[113]Harrison,J.M. and Kreps,D.M. Speculative investor behavior in a stock market with heterogeneous expectations[J]. Quarterly Journal of Economics, 1978, Vpl.92, 323-336.
[114]Harvey, C.R. and Siddique, A. Conditional skewness in asset pricing tests[J]. Journa of Finance, 2000, 55 (3), 1263-1295.
[115]Hawawini, G. Why beta shifts as the return interval changes[J]. Financial Analysts Journal, 1983, 39(3), 73-77.
[116]Holton, G. Time: the second dimension of risk[J]. Financial Analysts Journal, 1992, (6), 38-45.
[117]Hong, H.. Stein, J. A unified theory of underreaction, momentum trading, and overreaction in asset market[J]. Journal of Finance, 1999, 54, 2143-2184.
[118]Hosking, J.R.M. Fractional differencing[J]. Biometrika, 1981, 68, 165-176.
[119]Hwang, S. and Satchell, S.E. Modelling emerging market risk premia using higher moments[J]. International Journal of Finance & Economics, 1999, 4, 271-296.
[120]Ibboston, R.G. and Sinquefield, R. Stocks, bonds, bills and inflation: Year by year historical returns(1926-1974)[J]. The Journal of Business, 1976, 49(1), 11-47.
[121]Jamal, K. and Sunder, S.: Bayesian equilibrium in double auctions populated by biased heuristic traders[J]. Journal of Economic Organization and Behavior, 1996, 31,273-91.
[122] Javier, E. The temporal dimension of risk[J]. The Quarterly Review of Economics and Finance, 2000, 40, 189-204.
[123]Jegadeesh, N., Titman, S. Returns to buying winners and selling losers: Implications for stock market efficiency[J]. Journal of Finance, 1993, 48, 65-91.
[124]Jia,J. and J.S.Dyer. A Standard Measure of Risk and Risk Value Model. Management Science, 1996. Vol42, No.12: 1691-1705.
[125]Jia,J., Dyer,J.S., John.C. Generalized disappointment models[J]. Journal of Risk and??Uncertainy, 2001, 22, 59-78.
[126]Johannes, A.S. Scaling in the Norwegian stock market[J]. Physica A 2000(283):486-528.
[127]John, S.H, Martin, D.W. and Bob G. Wood, Jr. Much ado about nothing long-term memory in Pacific Rim equity markets[J]. International Review of Financial Analysis, 1999,8(2), 139-151.
[128]Kahneman,D., and Tversky,A. On the psychology of prediction[J]. Psychological Review, 1973, 80,237-251.
[129]Kahneman,D., and Tversky,A. Prospect theory: An analysis of decision making under risk[J]. Econometrica, 1979. 47, 263-291.
[130]Kahneman,D., and Riepe,M. Aspects of investor psycholosy[J]. Journal of Portfolio Management, 1998, 24, 52-65.
[131]Kane,A. Marcus, A.J. and Jaesun, N. The P/E Multiple and Market Volatility[J].Financial Analysts Journal, 1996, 52(4), 16-24.
[132]Kendall, M. The analysis of economic time series[J]. Journal of the Royal Statistical Society, 1953, Series A, 96, 11-25.
[133]KonnoH, YamazakiH. Mean-absolute deviation portfolio optimization model and its application to Tokyo stock market[J]. Management Science, 1991, 37, 5, 519-531.
[134]Kraus, A. and Litzenberger, R.H. Skewness preference and the valuation of risk assets[J]. Journal of Finance, 1976, 31(4), 1085-1100.
[135]Lakonishok.Josef., Shleifer.Andrei., Vishney. Robert. W. Contrarian investment,extrapolation, and risk [J]. Journal of Finance, 1994, (49): 1541-1578.
[136]Lee, C.M.C, Shleifer, A., Thaler, R.H. Investor sentiment and the closed-end fund puzzle[J]. Journal of Finance, 1991, 46, 75-109.
[137]Levy,H. Stochastic dominance and expected utility: survey and analysis[J].Management Science, 1992, 38(4), 555-593.
[138]Lo, A.W. Long term memory in stock market prices[J]. Econometrica, 1991, 59,1279-1313.
[139]Lopes, L.L. Between hope and fear: The psychology of risk[J]. Advance in Experimental Social Psychology, 1987, 20, 255-295.
[140]Malkiel, B., (1992), "Efficient market hypothesis," in Newman, P., Milgate, M. and Eatwell, J.(eds.), New Palgrave Dictionary of Money and Finance, Macmillan, London,pp739.[141]Mandelbrot. The Pareto-Levy Law and the Distribution of income[J]. International Economic Review, 1960, 1, 79-106.
[142]Mandelbrot,B.B. Stable Paretian random functions and the multiplicative variation of income[J]. Econometrica, 1961, 29(4), 517-543
[143]Mandelbrot,B.B. The variation of certain speculative[J]. The Journal of Business,1963a, 36, 394-416.
[144]Mandelbrot,B.B. New methods in statistical economics[J]. Journal of Political Economy, 1963b, 71(5), 421-440.
[145] Mandelbrot,B.B. The variation of some other speculative prices[J]. The Journal of Business, 1967, 40(4), 393-413.
[146]Mandelbrot,B.B. and Van Ness, J. Fractional brown motion, fractional noise and applications[J]. SIAM Review, 1968, 10, 422-437.
[147]Mandelbrot,B.B. Statistical methodology for nonperiodic cycle: From the covariance to R/S analysis[J]. Annals of Economic and Social Measurement, 1972, July, 259-290.
[148]Mantegna, R.N. and Stanley, H.E. An introduction to econophysics: Correlations and complexity in finance, Cambridge University Press, Cambridge, 1999.
[149]March,J.G. and Z. Shapira. Managerial perspectives on risk and risk taking[J]. Management Science, 1987, Vol.33, No. 11, 1404-1418.
[150]Markowitz,H.M. The Utility of Wealth. Journal of Political Economy, 1952, 60,151-158.
[151]Markowitz,H.M. Portfolio selection[J]. Journal of Finance, 1952. 7(1), 77-91.
[152]Markowitz,H.M, Todd P,Xu G, etal. Computation of Mean-Semivariance Efficient Sets by the Critical Line Algorithm[J]. Annals of Operations Research, 1993. 45, 307-317.
[153]Menezes; C. F., Geiss, C, and Tressler, J. Increasing downside risk[J]. American Economic Review, 1980, 70, 921-932.
[154]Merton, R. Lifetime portfolio selection: The continuous-time case[J]. Review of Economics & Statistics, 1969, 51, 247-257.
[155]Milgrom,P. and Stockey,N. Information, trade, and common knowledge[J]. Journal of Economic Theory, 1982,26, 17-27.
[156]Moody J, W U Li zhong. Improved estimates for the rescaled range and Hurst exponents[A]. Neural Networks in Financial Eng[C]. Singapore: World Scientific,1996.537-553
[157]Muth, J. Rational expectation and the theory of price movements[J]. Econometrica,??1961,29, 1-23.
[158]Panas, E. Estimating Fractal Dimension using stable distributions and exploring long memory through ARFIMA models in Athens stock exchange[J]. Applied Financial Economics, 2001, 11, 395-402.
[159]Peng, C. K. and Goldberger, A.L. etal. Mosaic orgnization of DNA mucleotides.Physica Review E, 1994,49(2), 1685-1689.
[160]Peters, E. Fractal structure in the capital markets[J]. Financial Analysts Journal, 1989, (4), 32-37.
[161] Peters, E. Chaos and Orders in the Capital Markets. John Wiley & Sons, New York. 1991.
[162]Peters, E. R/S analysis using logarithmic returns[J]. Financial Analysts Journal, 1992,(6), 81-82.
[163]Peters, E. Fractal market analysis[J]. John Wiley & Sons, New York. 1994.
[164]Pilar, G.C. Empirical evidence of long-range correlations in stock returns[J]. Physica A ,2000, 287,396-404.
[165]Pilar, G.C. Long-range power-law correlations in stock returns[J]. Physica A , 2001, 299, 521-527.
[166]Pratt,J.W. Risk Aversion in the Small and in the Large[J]. Econometrica, 1964.Vol32, 225-243.
[167]Roberts, H. Statistical versus clinical prediction of the stock market[J]. Unpublished manuscript, CRSP, University of Chicago, May, 1967.
[168]Roy, A.D. Safety first and the holding of assets[J]. Econometrica, 1952, 20: 431-449.
[169]Samuelson, P. Proof that properly anticipated prices fluctuate randomly[J]. Industrial Management Review, 1965, 6, 41-49.
[170]Samuelson, P.A. Efficient portfolio selection for Pare to-Levy investments[J]. The Journal of Financial & Quantitative Analysis, 1967, 2(2), 107- 122.
[171]Samuelson, P.A. Lifetime portfolio Selection by Dynamic Stochastic Programming [J].Review of Economics & Statistics, 1969, 51, 239-246.
[172]Scott, R. C, & Horvath, P. A. On the direction of preference for moments of higher order than the variance. Journal of Finance, 1980, 35, 915-919.
[173]Sharpe,W. F. Capital asset prices: A theory of market equilibrium under conditions of risk[J]. Journal of Finance, 1964, Vol.19, 425-442.
[174]Shleifer, A., Vishny, R. The limits to arbitrage[J]. Journal of Finance, 1997, 52, 35-55.[175]]Shefrin.Hersh., Meir Statman. Behavior capital asset pricing[J]. Journal of Financial and Quantitative Analysis, 1994, 29, 323-349.
[176]Shefrin, Hersh. Beyond greed and fear: Understantding behavior finance and the psychology of investing[M]. Boston, Harvard Business School Press, 1999.
[177]Shefrin, Hersh., Meir Statman. Behavioral portfolio theory[J]. Journal of Financial & Quantitative Analysis, 2000, 35(2), 127-151.
[178]Sortino, F. A., Van Der Meer, R. Downside risk. Journal of Portfolio Management, 1991, 17(4),27-31.
[179]Telser, L.G. Safety first and hedging[J]. Review of Economic Studies, 1955, 23, 1-16.
[180]Telser,L.G. A theory of speculation relating profitability and stability[J]. Review of Economics & Statistics, 1959, 41(1), 295-301.
[181]Tirole,J. On the possibility of speculation under rational expectations[J].Econometrica, 1982, 50, 1071-1100.
[182]Tversky, A and Kahneman, D. Advances in prospect theory: cumulative representation of uncertainty[J]. Journal of Risk and Uncertainty, 1992, 5, 297—323.
[183] Working, H. A random difference series for use in the analysis of time series[J].Journal of the American Statistical Association, 1934, 29 , 11-24.
[184]Zweig, M.E. An investor expectation stock price predictive model using closed-end fund premium[J]. Journal of Finance, 1973, 28, 67-87.
[2] 本杰明·格雷厄姆，戴维．多德．证券分析[M]．海口：海南出版社，1999版．
[3] 陈占锋．上海股票市场A股泡沫问题：市盈率测量与综合解释．世界经济，2002，7，63-70．
[4] 陈梦根．股票价格分形特征的实证研究：修正R／S分析[J]．统计研究，2003a，4，57-61．
[5] 陈梦根．中国股市长期记忆效应的实证研究[J]．经济研究，2003b，4，70-79．
[6] 程兵，张晓军．中国股票市场的风险溢价．系统工程理论方法应用，2004，2，14-19．
[7] 崔海波，赵希男，张利兵．一种证券投资风险度量方法的应用研究[J]．系统工程，2004，3，88-91，
[8] 顾娟．中国封闭式基金贴水问题研究[J]．金融研究，2001，11，62-71
[9] 何诚颖．中国股市市盈率分布特征及国际比较研究．经济研究，2003，4，74-81．
[10] 胡雪明，宋学锋，王新宇．沪深股市的DFA实证分析[J]．中国矿业大学学报，2003，5，583-586．
[11] 胡支军，黄登仕．一个非对称风险度量模型及组合证券投资分析[J]．中国管理科学．2005，2，8-14．
[12] 黄小原，庄新田，张泉．股市波动的标度无关性算法及应用研究[J]．管理科学学报，2001，4(6)，55-59．
[13] 姜青舫，陈方正．风险度量原理[M]．上海：同济大学出版社，2000．
[14] 姜仁娜，叶俊．沪深两市股票指数的长记忆性[J]．清华大学学报(自然科学版)，2004，Vol44，(12)，1696-1699。
[15] 凯恩斯．就业、利息和货币通论[M]．上海：商务印书馆，1988版．
[16] 李瑞海，邹礼瑞，陈宏民．基于净资产的证券投资价值评估模型[J]．系统工程理论方法应用，2004，4，347-349，354．
[17] 廖理，汪毅慧．中国股票市场风险溢价研究[J]．金融研究，2003，4，23-31．
[18] 刘怀德．不确定性经济学[M]．上海：上海财经大学出版社，2001．
[19] 刘文财，刘豹，张维．ARFIMA模型在中国股票市场预测的失效[J]．系统工程理论方法应用，2002，11(2)，94-100．
[20] 马静如．中外股票市场市盈率比较研究．南开经济研究，2004，4，85-88．
[21] 彭飞，黄登仕，汤海溶．基于参照点收益价值函数化的资产选择模型[J]．系统工程．2004，6，59-63．[22] 史永东．中国证券市场股票收益持久性的经验分析[J]．世界经济，2000，11，29-33．
[23] 舒建平，谭德庆，吴炯．中国股票市场分形结构探索[J]．西南交通大学学报，2003，2，38(2)，212-215．
[24] 舒建平．标准金融理论探源及其批判[J]．管理评论，2004，1，40-44．
[25] 舒建平，胡培，范钛．长记忆下的风险度量及中国市场投资期限效应的实证分析[J]．系统工程，2005，2，39-44．
[26] 舒建平，应松宝，黄建宏[J]．系统工程理论方法应用，已录用．
[27] 汪贵浦，王明涛．Harlow下偏矩证券组合优化模型的求解方法研究[J]．系统工程理论与实践．2003，6，42-47．
[28] 王增业，余欣佳．中国股市风险价格测度[J]．南开经济研究，2003，67-71．
[29] 王春峰，张庆翠，李刚．中国股票市场收益的长期记忆性研究[J]．系统工程，2003，1，22-28．
[30] 王明涛．证券投资风险计量、预测与控制[M]．上海：上海财经大学出版社，2003．
[31] 魏宇，黄登仕．金融市场多标度分形现象及与风险管理的关系[J]．管理科学学报，2003，1，87～91．
[32] 魏宇，黄登仕．中国股票市场波动持久性特征的DFA分析[J]．中国管理科学，2004，4，12-19．
[33] 吴明礼．我国股市的市盈率结构分布和分析[J]．数量经济与技术经济研究，2001，8，99-102．
[34] 徐玖平．长期投资决策的风险度及其应用[J]．系统工程理论与实践，1999，2，96-102．
[35] 徐龙炳，陆蓉．R／S分析探索中国股票市场的非线性[J]．预测，1999，2，59-62．
[36] 徐绪松，杨小青，陈彦斌．半绝对离差证券组合投资模型[J]．武汉大学学报(理学版)．2002，3，297-300．
[37] 叶中行，曹奕剑．Hurst指数在股票市场有效性分析中的应用[J]．系统工程，2001，3，21-24．
[38] 于桂琴．我国股市市盈率分析．中央财经大学学报，2001，7，56-59．
[39] 张俊喜，张华．解析我国封闭式基金折现之谜[J]．金融研究，2002，12，49-60．
[40] 张喜彬，荣喜民，张世英．有关风险测度及组合证券投资模型研究[J]．系统工程理论与实践，2000，9，19-22．
[41] 张圣平．偏好、信念、信息与证券价格[M]．上海：上海人民出版社，2002．
[42] 张庆翠．上海股市收益序列的长期记忆性建模分析及预测[J]．西北农林科技大学学报(社会科学版)，2003，5，102-105．[43] 张永东．上海股票市场非线性与混沌的检验[J]．管理工程学报，2003，3，21-26．
[44] 张永东．风险的时间尺度：对中国股市的实证分析[J]．系统工程学报，2004，3，294-299．
[45] 郑维敏．正反馈．清华大学出版社[M]，1998．
[46] 朱世武，郑淳．中国资本市场股权风险溢价研究[J]．世界经济，2003，11，62-70．
[47] 庄新田，黄小原．中国股票市场的DFA实证研究[J]预测，2000，19(7)，99-101．
[48] 庄新田，黄小原，郑翼舟．基于DFA的股价指数自相关分析[J]．东北大学学报(自然版)，2001，3，28-31．
[49] 庄新田，黄小原．证券市场的标度理论及实证研究[J]．系统工程理论与实践，2003，3．1-8．
[50] Alexander, S. Price movements in speculative markets: Trends or random walks[J]. Industrial Management Review, 1961, 22, 7-26.
[51] Arzac, E.R., Bawa V. S. Portfolio choice and equilibrium in capital markets with safety first investors[J]. Journal of Financial Economics, 1977(4): 277-288.
[52] Bachelier, I. Theory of speculation[M]. 1900, in Cootner ed, The random character of stock market prices, MIT Press, 1964, 17-78.
[53]] Barberis, N., Shleifer, A. and Vishny, R. A model of investor sentiment[J]. Journal of Financial economics, 1998, 49, 307-343.
[54] Barkoulas, J.T., Baum, C.F. and Travlos, N. Long memory in the Greek stock market[J], Applied Financial Economics, 2000, 10(2), 177-184.
[55] Bawa, V.S. Optimal rules for ordering uncertain prospects[J]. Journal of Financial Economics, 1975(2), 95-121.
[56] Bawa, V.S. Stochastic dominance: a research bibliography[J]. Management Science, 1982, 28, 698-712.
[57] Beaver, W.H. Market Efficiency[J]. Accounting Review, 1981, 56(1), 23-37.
[58] Becker, Gary S. Irrational behavior and economic theory[J]. Journal of Political Economy, 1962, 70, 1-13.
[59] Ben, J. Long term dependence in stock returns[J]. Journal of Empirical Financial, 1996, 3, 393-417.
[60] Bettis, R.A. Modern financial theory, corporate strategy and public policy: three conundrums[J]. Academy of Management Review, 1983, 8(3), 406-415.
[61] Black, F. Noise[J]. Journal of Finance, 1986, 41,529-543.
[62] Bowman,E.H. A risk/return Paradox for Strategic Management [J].Sloan Management??Review, 1980, 21(3), 17-31.
[63]Brailsford, T.J. and Josev, T. The impact of the return interval on the estimation of systematic risk[J]. Pacific-Basin Finance Journal, 1997, 5, 357-376.
[64]Brock, W, Dechert, D., Sheinkman, J. A Test for independence based on the correlation dimension[R] University of Wisconsin, Socail Systems Research Institute Working Paper, 1987,8702.
[65]Chen Na-fu, Raymond. K., Merton, H.M. Are the discouonts on closed-end funds a sentiment index?[J]. Journal of Finance, 1993, 48, 795-800.
[66]Cheung, Y. and Lai, K.S. A search for long memory in international stock market returns[J]. Journal of International Money & Finance, 1995, 14, 597-615.
[67]Cohen, K., Hawawini, G, Mayer, S., Schwartz, R., Whitcomb, D. Estimating and adjusting for the Intervalling-Effect effect bias in beta[J]. Management Science, 1983a, 29,135-148.
[68]Chopra, N., Lee, C, Shleifer, A., Thaler, R.H. Yes, discounts on closed-funds are a sentiment index[J]. Journal of Finance, 1993,48, 801-816.
[69]Cohen. K., Hawawini, G., Mayer, S., Schwartz, R., Whitcomb. D. Friction in the trading process and the estimation of systematic risk[J]. Journal of Financial Economics,1983b, 12, 263-278.
[70]Collins, J.M. and T.W.Ruefli. Strategic risk: An ordinal approach[J]. Management Science, 1992, Vol.38, No. 12, 1707-1731.
[71]Cowles, A. Can stock market forecasters forecast[J]. Econometrica, 1933, 1, 309-324.
[72]Cowles, A. Stock market forecasting[J]. Econometrica, 1944, 12, 206-214.
[73]Daniel, K., Hirshleifer, K.,and Subrahmanyam, A. Investor psychology and security market under-and overreactions[J]. Journal of Finance, 1998, 53, 1839-1886.
[74]De Bont, W., Thaler, R. Does the Stock Market Overreact?[J]. Journal of Finance, 1985,40, 793-808.
[75]De Long, J.B, Shleifer, A., Summers, L.H., and Waldmann, R.J. Noise trader risk in financial markets[J]. Journal of Political Economy, 1990, 98(4), 703-738.
[76]De Long, J.B, Shleifer, A., Summers, L.H., and Waldmann, R.J. The survival of noise traders in financial markets[J]. The Journal of Business, 1991, 64, 1-19.
[77]Diebold F X, Hickman A, Inoue A, et al. Converting 1-day volatility to h -day volatility: scaling by h~(1/2) is worse than you think[R].Wharton Financial Institutions??Center, Working Paper, 1997.97-34, http://fic.Wharton.upenn.edu/fic/
[78]Elroy, D. and Marsh, P. U.K. financial market returns, 1955-2000. The Journal of Business, 2001,71(1), 1-31.
[79]Elroy, D., Marsh, P., Staunton, M. Global evidence on the equity risk premium[J].Journal of Applied Corporate Finance, 2003, 15(4), 27-38.
[80]Elton, E., Martin, J., Gruber, J.A., Busse. Do investors care about sentiment?[J]. The Journal of Business, 1998, 71(4), 477-500.
[81]Fama, E.F. The behavior of stock market prices[J]. The Journal of Business, 1965, 38,34-105.
[82] Fama, E. F., and Roll, R. Parameter Estimate for Symmetric Stable Distributions [J].Journal of the American Statistical Association, 1971, 66, 331-338.
[83]Fama, E.F. Efficient capital marketsII[J]. Journal of Finance, 1991, 46, 1575-1617.
[84]Fama, E.F. and French, K.R. The cross section of expected stock returns[J]. Journal of Finance, 1992, 47(2), 427-465.
[85]Fama, E.F. and French, K.R. Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics, 1993, Feb, 3-56.
[86]Fama, E.F. and French, K.R. The equity premium[J]. Journal of Finance, 2002, 57(2),637-660.
[87]Fiegenbaum,A. and H.Thomas. Dynamic and risk measurement perspectives on Bowman's risk-return paradox for strategic: An empirical study[J]. Strategic Management Journal, 1986, 7(5), 395-407.
[88]Figlewski, S. Market "efficiency" in a market with heterogeneous information[J].Journal of Political Economy, 1979, 86, 581-597.
[89]Fish,I.N. and Hall,G.R. Risk and corporate rates of return[J]. Quarterly Journal of Economics, 1969, Vol.83, 79-92.
[90] Fishburn,P.C. Mean-risk analysis with risk associated with below-target returns[J].The American Economic Review, 1977, 116-126.
[91]Fishburn,P.C. Foundations of risk measurement II: Effects of gains on risk. Journal of Mathematical Psychology, 1982, 25, 226-242.
[92]Fishburn, P. C. Foundation of risk measurement, I : Risk as a probable of loss [J].Management Science, 1984, Vol.30, No.4, 396-406.
[93]Fisher, L and Lorie, J.H. Rates of return on investments in common stocks[J]. The Journal of Business, 1964, 37(1), 1-21.[94]Fisher, L. Some mew stock-market indexes[J]. The Journal of Business, 1966, 39,191-225.
[95]Frankfurter, G., Leung, W., Brockman, P. Compounding period length and the market model[J]. Journal of Economics & Business, 1994, 46, 179- 193.
[96]French, K.R. and Roll, R. Stock return variances: The arrival of information and the reaction of traders[J]. Journal of Financial Economics, 1986, 17, 5-26.
[97]Friedman, M. The case for flexible exchange rates[J]. In Essays in Positive Economics, Chicago: University of Chicago Press, 1953.
[98]Fuller, R.J., Huberts, L and Levinson. Returns to E/P Strategies, higgledy-piggledy growth, analysts' forecast errors and omitted risk factors[J]. Journal of Portfolio Management, 1993, 19(2), 13-24.
[99]Gode, D. K. and Sunder, S. Allocative efficiency of markets with zero-intelligence traders: market as a partial substitute for individual rationality[J]. Journal of Political Economy, 1993, 101, 119-37.
[100]Goetzmann, W.N. Patterns in Three Centuries of Stock Market Prices[J]. The Journal of Business, 1993, 66(2), 249-270.
[101]Gordon, G., Dylan, C., Thomas. Noise trading, costly arbitrage, and asset prices:Evidence from closed-end funds[J] Journal of Finance, 2002, 57, 2571-2594.
[102] Granger , C.W.J. and Joyeux, R. An introduction to long-memory time series models and fractional differencing[J]. Journal of Time Series Analysis, 1980, 1, 15-39.
[103] Granger, C.W.J. Long memory relationship and the aggregation of dynamics models[J]. Journal of Econometrics, 1980, 14, 227-238.
[104]Greene, M. & Fielitz, B. Long-term dependence in common stock returns[J], Journal of Financial Economics, 1977, 4, 339-349.
[105]Grossman,S.J. On the efficiency of competitive stock markets where traders have diverse information[J]. Journal of Finance, 1976, 31, 573-585.
[106] Grossman,S.J. Further results on the informational efficiency of competitive stock markets[J]. Journal of Economic Theory, 1978, 18, 81-101.
[107]Grossman,S.J. and Stiglitz,J.E. On the impossibility of information efficient markets[J]. American Economic Review, 1980, 70, 393-408.
[108]Handa, P., Kothari, S.P., Wasley. C. The relation between the return interval and betas: Implications for the size effect[J]. Journal of Financial Economics, 1989, 23, 79-100.
[109]Handa, P., Kothari, S.P.. Wasley, C. Sensitivity of multivariate tests of the capital??asset pricing model to the return interval measurement[J]. Journal of Finance, 1993, 48,1543-155 1.
[110]Hardin, G. The tragedy of the commons[J]. Science, 1968, 162, 1243-1248.
[111]Harlow,W.,V., Rao,R.,K.S. Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence[J]. Journal of Financial & Quantitative Analysis, 1989, 3, 285-311.
[112]Harlow,W.V. Asset Allocation in a downside risk framework. Financial Analyst Journal, 1991, Sep-Oct, 28-40.
[113]Harrison,J.M. and Kreps,D.M. Speculative investor behavior in a stock market with heterogeneous expectations[J]. Quarterly Journal of Economics, 1978, Vpl.92, 323-336.
[114]Harvey, C.R. and Siddique, A. Conditional skewness in asset pricing tests[J]. Journa of Finance, 2000, 55 (3), 1263-1295.
[115]Hawawini, G. Why beta shifts as the return interval changes[J]. Financial Analysts Journal, 1983, 39(3), 73-77.
[116]Holton, G. Time: the second dimension of risk[J]. Financial Analysts Journal, 1992, (6), 38-45.
[117]Hong, H.. Stein, J. A unified theory of underreaction, momentum trading, and overreaction in asset market[J]. Journal of Finance, 1999, 54, 2143-2184.
[118]Hosking, J.R.M. Fractional differencing[J]. Biometrika, 1981, 68, 165-176.
[119]Hwang, S. and Satchell, S.E. Modelling emerging market risk premia using higher moments[J]. International Journal of Finance & Economics, 1999, 4, 271-296.
[120]Ibboston, R.G. and Sinquefield, R. Stocks, bonds, bills and inflation: Year by year historical returns(1926-1974)[J]. The Journal of Business, 1976, 49(1), 11-47.
[121]Jamal, K. and Sunder, S.: Bayesian equilibrium in double auctions populated by biased heuristic traders[J]. Journal of Economic Organization and Behavior, 1996, 31,273-91.
[122] Javier, E. The temporal dimension of risk[J]. The Quarterly Review of Economics and Finance, 2000, 40, 189-204.
[123]Jegadeesh, N., Titman, S. Returns to buying winners and selling losers: Implications for stock market efficiency[J]. Journal of Finance, 1993, 48, 65-91.
[124]Jia,J. and J.S.Dyer. A Standard Measure of Risk and Risk Value Model. Management Science, 1996. Vol42, No.12: 1691-1705.
[125]Jia,J., Dyer,J.S., John.C. Generalized disappointment models[J]. Journal of Risk and??Uncertainy, 2001, 22, 59-78.
[126]Johannes, A.S. Scaling in the Norwegian stock market[J]. Physica A 2000(283):486-528.
[127]John, S.H, Martin, D.W. and Bob G. Wood, Jr. Much ado about nothing long-term memory in Pacific Rim equity markets[J]. International Review of Financial Analysis, 1999,8(2), 139-151.
[128]Kahneman,D., and Tversky,A. On the psychology of prediction[J]. Psychological Review, 1973, 80,237-251.
[129]Kahneman,D., and Tversky,A. Prospect theory: An analysis of decision making under risk[J]. Econometrica, 1979. 47, 263-291.
[130]Kahneman,D., and Riepe,M. Aspects of investor psycholosy[J]. Journal of Portfolio Management, 1998, 24, 52-65.
[131]Kane,A. Marcus, A.J. and Jaesun, N. The P/E Multiple and Market Volatility[J].Financial Analysts Journal, 1996, 52(4), 16-24.
[132]Kendall, M. The analysis of economic time series[J]. Journal of the Royal Statistical Society, 1953, Series A, 96, 11-25.
[133]KonnoH, YamazakiH. Mean-absolute deviation portfolio optimization model and its application to Tokyo stock market[J]. Management Science, 1991, 37, 5, 519-531.
[134]Kraus, A. and Litzenberger, R.H. Skewness preference and the valuation of risk assets[J]. Journal of Finance, 1976, 31(4), 1085-1100.
[135]Lakonishok.Josef., Shleifer.Andrei., Vishney. Robert. W. Contrarian investment,extrapolation, and risk [J]. Journal of Finance, 1994, (49): 1541-1578.
[136]Lee, C.M.C, Shleifer, A., Thaler, R.H. Investor sentiment and the closed-end fund puzzle[J]. Journal of Finance, 1991, 46, 75-109.
[137]Levy,H. Stochastic dominance and expected utility: survey and analysis[J].Management Science, 1992, 38(4), 555-593.
[138]Lo, A.W. Long term memory in stock market prices[J]. Econometrica, 1991, 59,1279-1313.
[139]Lopes, L.L. Between hope and fear: The psychology of risk[J]. Advance in Experimental Social Psychology, 1987, 20, 255-295.
[140]Malkiel, B., (1992), "Efficient market hypothesis," in Newman, P., Milgate, M. and Eatwell, J.(eds.), New Palgrave Dictionary of Money and Finance, Macmillan, London,pp739.[141]Mandelbrot. The Pareto-Levy Law and the Distribution of income[J]. International Economic Review, 1960, 1, 79-106.
[142]Mandelbrot,B.B. Stable Paretian random functions and the multiplicative variation of income[J]. Econometrica, 1961, 29(4), 517-543
[143]Mandelbrot,B.B. The variation of certain speculative[J]. The Journal of Business,1963a, 36, 394-416.
[144]Mandelbrot,B.B. New methods in statistical economics[J]. Journal of Political Economy, 1963b, 71(5), 421-440.
[145] Mandelbrot,B.B. The variation of some other speculative prices[J]. The Journal of Business, 1967, 40(4), 393-413.
[146]Mandelbrot,B.B. and Van Ness, J. Fractional brown motion, fractional noise and applications[J]. SIAM Review, 1968, 10, 422-437.
[147]Mandelbrot,B.B. Statistical methodology for nonperiodic cycle: From the covariance to R/S analysis[J]. Annals of Economic and Social Measurement, 1972, July, 259-290.
[148]Mantegna, R.N. and Stanley, H.E. An introduction to econophysics: Correlations and complexity in finance, Cambridge University Press, Cambridge, 1999.
[149]March,J.G. and Z. Shapira. Managerial perspectives on risk and risk taking[J]. Management Science, 1987, Vol.33, No. 11, 1404-1418.
[150]Markowitz,H.M. The Utility of Wealth. Journal of Political Economy, 1952, 60,151-158.
[151]Markowitz,H.M. Portfolio selection[J]. Journal of Finance, 1952. 7(1), 77-91.
[152]Markowitz,H.M, Todd P,Xu G, etal. Computation of Mean-Semivariance Efficient Sets by the Critical Line Algorithm[J]. Annals of Operations Research, 1993. 45, 307-317.
[153]Menezes; C. F., Geiss, C, and Tressler, J. Increasing downside risk[J]. American Economic Review, 1980, 70, 921-932.
[154]Merton, R. Lifetime portfolio selection: The continuous-time case[J]. Review of Economics & Statistics, 1969, 51, 247-257.
[155]Milgrom,P. and Stockey,N. Information, trade, and common knowledge[J]. Journal of Economic Theory, 1982,26, 17-27.
[156]Moody J, W U Li zhong. Improved estimates for the rescaled range and Hurst exponents[A]. Neural Networks in Financial Eng[C]. Singapore: World Scientific,1996.537-553
[157]Muth, J. Rational expectation and the theory of price movements[J]. Econometrica,??1961,29, 1-23.
[158]Panas, E. Estimating Fractal Dimension using stable distributions and exploring long memory through ARFIMA models in Athens stock exchange[J]. Applied Financial Economics, 2001, 11, 395-402.
[159]Peng, C. K. and Goldberger, A.L. etal. Mosaic orgnization of DNA mucleotides.Physica Review E, 1994,49(2), 1685-1689.
[160]Peters, E. Fractal structure in the capital markets[J]. Financial Analysts Journal, 1989, (4), 32-37.
[161] Peters, E. Chaos and Orders in the Capital Markets. John Wiley & Sons, New York. 1991.
[162]Peters, E. R/S analysis using logarithmic returns[J]. Financial Analysts Journal, 1992,(6), 81-82.
[163]Peters, E. Fractal market analysis[J]. John Wiley & Sons, New York. 1994.
[164]Pilar, G.C. Empirical evidence of long-range correlations in stock returns[J]. Physica A ,2000, 287,396-404.
[165]Pilar, G.C. Long-range power-law correlations in stock returns[J]. Physica A , 2001, 299, 521-527.
[166]Pratt,J.W. Risk Aversion in the Small and in the Large[J]. Econometrica, 1964.Vol32, 225-243.
[167]Roberts, H. Statistical versus clinical prediction of the stock market[J]. Unpublished manuscript, CRSP, University of Chicago, May, 1967.
[168]Roy, A.D. Safety first and the holding of assets[J]. Econometrica, 1952, 20: 431-449.
[169]Samuelson, P. Proof that properly anticipated prices fluctuate randomly[J]. Industrial Management Review, 1965, 6, 41-49.
[170]Samuelson, P.A. Efficient portfolio selection for Pare to-Levy investments[J]. The Journal of Financial & Quantitative Analysis, 1967, 2(2), 107- 122.
[171]Samuelson, P.A. Lifetime portfolio Selection by Dynamic Stochastic Programming [J].Review of Economics & Statistics, 1969, 51, 239-246.
[172]Scott, R. C, & Horvath, P. A. On the direction of preference for moments of higher order than the variance. Journal of Finance, 1980, 35, 915-919.
[173]Sharpe,W. F. Capital asset prices: A theory of market equilibrium under conditions of risk[J]. Journal of Finance, 1964, Vol.19, 425-442.
[174]Shleifer, A., Vishny, R. The limits to arbitrage[J]. Journal of Finance, 1997, 52, 35-55.[175]]Shefrin.Hersh., Meir Statman. Behavior capital asset pricing[J]. Journal of Financial and Quantitative Analysis, 1994, 29, 323-349.
[176]Shefrin, Hersh. Beyond greed and fear: Understantding behavior finance and the psychology of investing[M]. Boston, Harvard Business School Press, 1999.
[177]Shefrin, Hersh., Meir Statman. Behavioral portfolio theory[J]. Journal of Financial & Quantitative Analysis, 2000, 35(2), 127-151.
[178]Sortino, F. A., Van Der Meer, R. Downside risk. Journal of Portfolio Management, 1991, 17(4),27-31.
[179]Telser, L.G. Safety first and hedging[J]. Review of Economic Studies, 1955, 23, 1-16.
[180]Telser,L.G. A theory of speculation relating profitability and stability[J]. Review of Economics & Statistics, 1959, 41(1), 295-301.
[181]Tirole,J. On the possibility of speculation under rational expectations[J].Econometrica, 1982, 50, 1071-1100.
[182]Tversky, A and Kahneman, D. Advances in prospect theory: cumulative representation of uncertainty[J]. Journal of Risk and Uncertainty, 1992, 5, 297—323.
[183] Working, H. A random difference series for use in the analysis of time series[J].Journal of the American Statistical Association, 1934, 29 , 11-24.
[184]Zweig, M.E. An investor expectation stock price predictive model using closed-end fund premium[J]. Journal of Finance, 1973, 28, 67-87.