This paper studies how regulatory changes affect investors’ reactions at shareholder meetings in China. The objective of this paper is twofold: first, to analyse the information content transmitted to the shareholders of the largest Chinese companies listed on the China Securities Index 300 when an Annual General Meeting is held. A distinction is made between ordinary and extraordinary general meetings. Second, to find out if regulatory changes related to the Company Law of China and online voting in Annual General Meetings affect the information content of those meetings. The abnormal return obtained is examined through an event study using the Fama-French five-factor model. The results of our study indicate that the release of information and involvement of minority shareholders in general meetings during the research period led to higher return volatility and traded volume.

Drifting in the direction of earnings surprises for a prolonged period is a decades-puzzling financial anomaly, i.e., the “post-earnings-announcement drift” (PEAD). This paper provided a new simple measure of earnings surprise called ORJ. Based on ORJ, not only is the medium effect of investors’ attention on the relationship between earnings surprises and PEAD analyzed, but a tractable and profitable investing strategy is provided. Through comprehensive empirical analysis of the Chinese stock market, we found that i) both earnings surprises and investor attention can increase the degree of PEAD; ii) “good” (bad) earnings surprises strengthen (weaken) the degree of drift by attracting (decreasing) investor attention; it is asymmetric that the positive effects of “good” earnings surprises are stronger than that of “bad” earnings surprises on PEAD; and iii) the strategy obtains an average 6.78% return per quarter in excess of the market and only longs dozens of stocks . iv) Typical pricing factors such as the Fama-French three factors, illiquidity and company characteristics have little explanatory power for the returns of the strategy. This paper strongly shows the importance of monitoring overnight returns of earnings announcements to digging the unexpected information, reveals one mechanism of earnings surprises on PEAD and demonstrates the potential profitability of PEAD in the Chinese market.

We study the relationship between common factor betas and the expected overnight versus intraday stock returns. Using data from the Chinese A-share markets, we find that the Fama-French five-factor betas and expected returns exhibit contrasting relationships overnight versus intraday. The market, value, and profitability factors earn positive beta premiums overnight and negative premiums intraday, while the size and investment factors’ beta premiums behave oppositely. The night and day factor beta premium differentials are more muted among stocks with higher investor sophistication and vary across macroeconomic conditions. The contrasting day and night beta premiums extend to some other common factors and Chinese B shares, and vary their signs for some factors in the U.S. market.

流动性问题、股市巨幅震荡、股灾及经济的周期性衰退令各国监管层和投资者头疼已久，但这些问题并非无解。本文摒弃造成上述问题的新古典主义均衡价格理论，采用规范经济学的研究方法，建立起一个全新的基于公理的价值理论。以本文理论为指导的价值投资能够取得 Fama-French 三因子模型完全无法解释的巨额超额回报，从经验上支持了本文的理论。以本文理论为指导，将从根本上避免股市的暴涨暴跌，使经济持续稳健地高速发展成为可能。

考虑企业价值进而股票收益中实物期权及其影响的部分，本文利用随机贴现因子法理论上探讨了CAPM 是线性定价模型的本质，并据此指出实物期权资产或其可能的非线性影响是导致 CAPM 模型失效的原因。进一步，利用 1998-2012 年间我国沪深 A 股上市公司的数据，根据 Fama-French 市值规模和账面市值比，以及企业所处行业构造投资组合，通过比较实物期权调整前和调整后组合预期收益-贝塔关系的差异，实证发现调整实物期权将使得 CAPM 有效。

本文研究风险投资背景对公司在股票市场表现的影响。研究发现：相对于政府背景风 险投资支持的公司，外资和混合型背景风险投资支持的公司 IPO 抑价率较低，股票市场异 常回报率较高，民营背景风险投资支持的与政府背景支持的无显著差异；如果仅划分为有、 无外资背景风险投资参与两类，那么外资背景风险投资参与支持的公司相对于那些非外资背 景风险投资支持的公司 IPO 抑价率更低，股票回报率更高。对影响机理进一步剖析发现： 相对于那些非外资背景的风险投资，外资背景风险投资倾向更加谨慎的投资策略，投资之后 对公司治理结构安排会更加合理，进而公司具有较好的盈利能力，这些最终导致公司股票 IPO抑价率较低和回报率较高。

We use Hong Kong stock market data for 1982-2001 to test the persistence of the size and value premia and the robustness of the Fama-French (FF) three-factor model in explaining the variation in stock returns. We document a statistically significant and persistent size effect or size premium that is robust even for non-January months but is heightened in January. We also find that the reversal of the size effect in January reported by Chui and Wei (1998) is unique to their study period, while the general reversal of the size effect reported by Lam (2002) may be due to a sample dominated by firms with low to medium book equity-to-market ratios. The book to market effect or value premium is weaker than the size effect and less consistent than in Fama and French (1993) and Drew and Veeraraghavan (2003). Our results also support the explanation that the size and value premia are rewards for risk bearing consistent with the efficient market hypothesis. We further find a large improvement in explanatory power provided by the French and Fama model relative to the CAPM but that the FF model is mis-specified for the Hong Kong market.

本旬探寻用耐用品度量的风险如何影响资产的收益，通过运用宏观耐用品消费数据和微观调查的耐用品消费数据，实证分析了耐用品消费风险在度量中国股市Fama-French 25组合和24个行业组合中的作用。研究表明，耐用品消费定价模型和Fama-French三因子模型能够解释Fama-French 25组合的80%以上，远优于CCAPM和CAPM；在解释24个行业的横截面分析中，耐用品消费定价模型的解释力强于三因子模型、CCAPM和CAPM。用耐用品消费度量的风险能较好的解释股票横截面收益的不同。

本文借鉴Jegadeesh 和Titman（1993）的动量检验方法，检验了2000 年1 月至2009 年6 月之 间所有存续时间超过24 个月的中国股票型基金业绩是否存在持续性，结果发现170 支样本基金的业绩在 12 个月内存在显著的持续性，并且这种持续性不能为资本资产定价模型（CAPM）以及Fama-French 三因 素模型所解释。在此基础上，本文借鉴Carhart（1997）的方法，检验了基金的各项特征是否对基金业绩持 续性具有影响，结果发现除基金已往业绩外，并未发现基金的其他特征对基金业绩持续性具有显著的影响。 本文的研究对于投资者选择基金具有一定的指导意义，同时对于帮助我们加深对中国资本市场运行规律的 认识具有一定的意义。

本文基于中国股票市场的数据，通过 Fama-French 三因素模型估计股票的特异性波 动率，并采用 GARCH、EGARCH、ARIMA 等模型估计特异性波动率的预期值，利用 Fama-MacBeth两步回归法和投资组合分析法对我国股票市场特异性波动率与横截面收益率 的关系进行实证研究，探讨“特异性波动率之谜”是否存在。我们发现，在我国股票特异性 波动率与横截面收益率也存在显著的负相关关系。进一步的研究表明，这种现象的产生主要 是因为我国市场上存在着严格的卖空限制，在卖空限制和投资者异质性的共同作用下，资产 价格会被高估从而降低未来的收益率，造成了我国市场上的特异性波动率之谜。