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Fama认为,盈余惯性与价格惯性是仅有的两个对有效市场假说形成真正威胁的、持续的、稳健的市场“异象”。本文参考Chan等、Chordia和Shivakumar的研究方法,考察我国股市盈余惯性与价格惯性的关系。研究部分支持了Chordia和Shivakumar所提出的“噪声代理变量”假说,而未支持Chan等所提出的“多种信息源”假说。我国股市特殊的信息披露环境与投资者行为特征可以解释本文的研究结论。
Fama believes that the inertia of the surpluses and the inertia of the prices are the only two “continuous” and steady markets that create real threats to the effective market hypothesis. This paper refers to Chan et al., Chordia and Shivakumar’s research methods to examine the relationship between stock market inertia and price inertia. The research partially supports the “noise proxy variable” hypothesis proposed by Chordia and Shivakumar, but does not support the “multiple information sources” hypothesis proposed by Chan et al. The special information disclosure environment and investor behavior characteristics of China’s stock market can explain the conclusion of this article.