论文系统分析了中国股市股票期望收益率决定因子，发现个股总体风险、非系统风险、自然对数流通市值、价格、净市值比率和换手率对股票期望收益率具有决定作用。并且由流通市值、价格、换手率三个因子构成的期望收益率因子模型可用于预测股票实际收益率，即由股票期望收益率最大的股票构成的组合，可以获得较高的实际收益率。

中国资本市场的系统风险根源于市场的结构矛盾特别是股票市场的结构矛盾，这些矛盾主要体现在股权割裂、博弈格局的变化和当前交易机制下的投资者结构的变动，前两者是诱发投资者信心崩溃和阻碍信心恢复的核心因素，而市场机制的完善是维持市场信心的外在保障。在可预见的期限内如果中国资本市场出现系统风险，它最有可能从股票市场最先出现，危及从股票市场向其它市场的扩散过程中，以证券公司为主的机构投资者的资产结构调整将起到重要的作用。要预防中国资本市场系统性风险出现首先要解决股票市场的结构矛盾，首要的就是尽快采取行动，不能使问题越积越大，在完善市场制度建设的同时，着手解决股权割裂问题，只有这样，才能为以股票市场为核心的中国资本市场健康发展奠定基础。

本文主要探讨了银行市场的信用风险管理。在买断式回购业务和远期交易业务推出之后，信用风险管理的重要性将逐步凸现。

We explore the source of managerial hubris in mergers and acquisitions by examining the history of deals made by individual acquirers. We find that compared to their first deals, acquirers of second and higher-order deals experience significantly more negative announcement effects. We also find that while acquisition likelihood increases in the performance associated with previous acquisitions, previous positive performance does not curb the negative wealth effects associated with future deals. We interpret these results as consistent with self-attribution bias leading to overconfidence. We also find evidence that the market anticipates future deals based on an acquirer's acquisition history and impounds such anticipation into stock prices.

本文在Campbell and Cochrane (1998) 和 Brandt and Wang (2001)的研究基础之上利用随机贴现因子对包含习惯的效用函数中的风险厌恶进行了动态一般化分析，并探讨了动态风险厌恶、随机贴现因子、资产定价以及消费增长等因素之间的一般化关系。这种一般化关系有助于解释“股权溢价之谜”(Equity Premium Puzzle)等不合理现象的存在。本文还对模型的计量方法进行了简要的分析。 This paper will make a generalization of dynamic risk aversion on the base of habit-formed consumption-based CAPM, and thus can explain the equity premium puzzle in a general way. Different from Campbell and Cochrane (1998) and Brandt and Wang (2001) which both hypothesize the steady state, this paper supposes the unit root process of the dynamic risk aversion. Also, this paper does not suppose the relevant factors of the forming of consumption habit. So the result is a general form of the relationship between the asset pricing and dynamic risk aversion.

物价不仅是经济运行景气温度表，更是企业利润的重要而复杂的杠杆。本文指的物价，包括消费品和生产资料价格的现货和期货价格，还包括经济运行过程中的融资成本即货币价格。这三种价格升跌，不仅是经济周期的外在表现，它们对资本品价格产生实际各种影响。因此物价变化成为股市行情转折的关键。

行为金融理论是西方国家金融研究和实践的前沿领域，它的出现弥补了现代金融理论在个体行为分析上的不足。文中从行为金融理论产生的背景出发，着重分析了基于该理论的投资行为理论模型和投资策略及其投资风险的测量方法，简要评价了行为金融理论是从学科之外寻求推动金融学发展的新动力，为人们理解金融市场提供了一个新的视角。

本文探讨了银行间市场信用风险管理。随着买断式回购业务和远期交易业务的开展，信用风险管理的重要性将日益凸现。

Existing literature has found no evidence of market-timing ability by mutual funds using tests based on fund returns. This paper proposes alternative market-timing tests based on observed fund holdings. The holdings-based measures are shown to be more powerful than the return-based measures, and are not subject to "articial timing" bias. Applying the holdings-based tests, we nd strong evidence of mutual fund timing ability. Our findings also suggest that market-timing funds tend to have higher returns and trade more actively. Furthermore, they seem to have market-timing information beyond those common return-predictive economic variables documented in the academic studies. Finally, we quantify the potential economic value of market-timing as a contingent claim. The magnitude of the estimated values indicates that market-timing is potentially an important investment strategy deserving more academic attention.

本文首先从市场波动性、噪声波动性、印花税收入和券商佣金收入等几个方面，分析了中国证券市场交易印花税税率调整所产生的影响。结果表明：税率调整对市场波动性和噪声波动性有一定程度的影响，其具体影响模式为税率上调将会提高市场波动性和噪声波动性，税率下调则导致市场波动性和噪声波动性一定程度的下降；税率调整的方向和税收收入变化的方向一致，而对券商佣金收入几乎没有影响。其次，我们根据分析所得的结果，提出了对我国证券市场交易税制度改革的政策建议。