Thomas Kuhn (1970), , Stock Price : A Problem in Verification, Journal of Business ( Fields 1931) 11 Keim (1988),,

Transcription

1 : 3 ( ) :,, : Thomas Kuhn (1970),,,,, Stock Price : A Problem in Verification, Journal of Business ( Fields 1931),,, : 11 Keim (1988),,,, 21, :Dr. Wayne Joerding,,Dr. Ernst Stromsdorfer,,,Dr.John Kling,,, 50

2 data snooping,, :,,,, Cross(1973) %, 3915 % 0112 %, %Cross,French (1980), Keim Stambaugh (1984),Lakonishok Smidt (1988),Cross :, Gibbons Hess(1981),,,,,,,,,, Cross French,,, Rogalski (1984),, Kamara (1997) , Jaffe Westerfield (1985) ( ) :, Aggarwal Rivoli (1989) : Howe Wood (1994) : Data snooping Data snooping, data snooping 51

3 : ( ) ( ), :R t = + t, (1) R t t, :R t = ( P t - P t - 1 ) / P t - 1,P t t,, t,,, : R tm = + m + t, (2) m,brown Warner (1980,1985), Campbell,Lo Mackinlay (1997) ( ), A,, : R t = D it + t, (3) R t,d it i i = 2,,D 2t = 1 ;,D 2t = 0 i 1,, i B,, : R t = 0 + j D jt, j = 1,2,...,5, j i (4) j i, j,,, (OL S),,t F, (3) (4), ( WL S), French (1980) ; Gibbons and Hess(1981) ; Keim(1983) ;Lakonishok and Smidt (1988) ;Rozeff and Kinney (1976) 52

4 ,, % %,, % %, % %, % %,,, 1 Mean std Dev t2ratio Min Max Skewness Kurtosis N All Days Monday Tuesday Wednesday Thursday Friday All Days Monday Tuesday Wednesday Thursday Friday %, %, %,,,,, %, (5 % ), %, (1 % ), %,01300 %, (5 % ),,,, ( ) 2a 2b 2 A,, t F, 1 %,, 5 %2 B A, 53

5 : 2a 0 1 DW a F2statistic DF b Part A :OLS estimates of R t = D 2t + t (1,1515) (0. 059) c (0. 007) (0. 007) (1,1502) (0. 106) (0. 046) (0. 046) Part B :WLS estimates of R t = D 2t + t (1, (0. 063) (0. 004) (0. 004) (1,1502) (0. 108) (0. 041) (0. 041) a Durbin2Watson b F c P 3 10 %, %, %, %, % 2b DW a F2statistic DF b Part A :OLS estimates of R t = D 1t + 3 D 3t + 4 D 4t + 5 D 5t + t (4,1512) (0. 037) c (0. 222) (0. 014) (0. 128) (0. 001) (0. 011) (4,1499) (0. 156) (0. 198) (0. 103) (0. 278) (0. 022) (0. 225) Part B :WLS estimates of R t = D 1t + 3 D 3t + 4 D 4t + 5 D 5t + t (4,1512) (0. 023) (0. 224) (0. 011) (0. 113) (0. 000) (0. 006) (4,1499) (0. 141) (0. 217) (0. 087) (0. 265) (0. 016) (0. 181) a Durbin2Watson b F c P 3 10 %, %, % 2b A,, F 31263, (5 % ),( 2a), F 11421, (10 % ), 2b B A, ( ) 3a 3b 3a A,,, 54

6 a 0 1 DW a F2statistic DF b Part A :OLS estimates of R t = D 5t + t (1,1515) (0. 621) c (0. 009) (0. 009) (1,1502) (0. 994) (0. 101) (0. 101) Part B :WLS estimates of R t = D 5t + t (1,1515) (0. 625) (0. 007) (0. 007) (1,1502) (0. 994) (0. 085) (0. 085) a Durbin2Watson b F c P 3 10 %, %, % F 61857, (1 % ), 21697, (10 % ) 3a B A, F ,(10 % ), 3b A,,, F 31263, (5 % ), 11421, (10 % ) 3b B A, 1 %, 3b DW a F2statistic DF b Part A :OLS estimates of R t = D 1t + 3 D 2t + 4 D 3t + 5 D 4t + t (4,1512) (0. 007) c (0. 032) (0. 001) (0. 355) (0. 065) (0. 011) (4,1499) (0. 068) (0. 312) (0. 022) (0. 501) (0. 225) (0. 225) Part B :WLS estimates of R t = D 1t + 3 D 2t + 4 D 3t + 5 D 4t + t (4,1512) (0. 005) (0. 035) (0. 000) (0. 346) (0. 058) (0. 006) (4,1499) (0. 051) (0. 325) (0. 016) (0. 474) (0. 206) (0. 181) a Durbin2Watson b F c P 3 10 %, %, % 55

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