A discussion of Hong-Stein model  

作　　者：WANG Shuai ZHENG WeiAn 

机构地区：[1]School of Finance and Statistics,East China Normal University,Shanghai 200241,China

出　　处：《Science China Mathematics》2012年第11期2367-2378,共12页中国科学：数学（英文版）

基　　金：the participants of the Financial Engineering Seminar at ECNU and the International Conference on Actuarial Science and Related Fields

摘　　要：In this paper,we discuss a kind of behavioral asset pricing model,called Hong-Stein model.Although this model succeeded in explaining the momentum and reversal effects,we find it usually reaches two extremes:the absolute value of autocorrelation of return sequence is so large that the direction of returns could be easily forecasted,or the value is so small that the elements in return sequence are almost independent of each other.The empirical results show that these two extremes are not supported by the real market data.In this paper, we discuss a kind of behavioral asset pricing model, called Hong-Stein model. Al- though this model succeeded in explaining the momentum and reversal effects, we find it usually reaches two extremes： the absolute value of autocorrelation of return sequence is so large that the direction of returns could be easily forecasted, or the value is so small that the elements in return sequence are almost independent of each other. The empirical results show that these two extremes are not supported by the real market data.

关 键 词：under-reaction and overreaction Hong-Stein model return direction 

分 类 号：O212.1[理学—概率论与数理统计]