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［4］描述市场有效性的一个办法是价格等于基本价值，另一个办法是很难获得超出风险收益以上的超额利润。对此的经典论述参见Eugene Fama, “Risk, Return, and Equilibrium,” Journal of Political Economy 78, no. 1 (February 1971): 289-298; and Eugene Fama, “Efficient Capital Markets II,” Journal of Finance 46, no. 5 (December 1991): 1575-1617。
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［5］L. Roshental and C. Young, “The Seemingly Anomalous Price Behavior of Royal Dutch Shell and Unilever nv/plc,” Journal of Financial Economics 26 (1990)
:123-141. K. Froot and E. Debora, “How Are Stock Prices Affected by the Location of Trade?” Journal of Financial Economics 53 (1999): 189-216.
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［6］根据如下资料整理：O. Lamont and R. Thaler, “Can the Market Add and Subtract? Misprici-ng in Tech-Stock Carve-outs,” working paper, University of Chicago, 2000。同时参见Brad Cornell and Qiao Liu, “The Parent Company Puzzle: When Is the Whole Worth Less Than One of the Parts?” Journal of Corporate Finance 7, no. 6 (2000): 341-366; Michael Schill and Chunsheng Zhou, “Pricing an Emerging Industry: Evidence from Internet Subsidiary Carve-guns,” and Mark Mitchell, Todd Pulvino, and Erik Stafford, “Limited Arbitrage in Equity Markets,” Journal of Finance 32, no. 2 (February 2002)。关于互联网泡沫的有先见之明的论述，参见Michael J. Mandel, The Coming Internet Depression: Why the High-Tech Boom Will Go Bust, Why the Crash Will Be Worse Than You Think, and How to Prosper Afterward (New York: Basic Books, 2000)。
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［7］另外一个难堪的问题是“你为什么要告诉我们？”假如有人向你兜售《怎样在股市上轻松成为百万富翁》之类的书籍，你就应该向他提出这个问题。
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［8］Michael C. Jensen, “Some Anomalous Evidence Regarding Market Efficiency,” Journal of Financial Economics 6 (1978): 95-101.
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［9］对于有效市场测试的批评性意见，参见L. Summers, “Does the Stock Market Raionally Reflect Fundamental Values?” Journal of Finance 41, issue 3 (1986): 591-600。关于市场非理性问题的优秀著作，参见Robert Shiller, Irrational Exuberance (New York: Broadway Books, 2001)。
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［10］最初期的工作参见A. Shleifer and R. Vishny, “The Limits to Arbitrage,” Journal of Finance 52, no. 1 (1997), 35-56。
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［11］Carol Loomis, “A House Built on Sand,” Fortune Magazine, October 26, 1998, and David Shirreff, “Five Days That Shook the World,” Euromoney (November 10, 1998).
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［12］Eli Ofek and Matthew Richardson, “DotCom Mania: A Survey of Market Efficiency in the Internet Sector,” working paper, New York University, 2001.
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［13］Justin Baer, “Buyback, Palm Distribution Boost 3Com Shares,” Chicago Sun Times, May 9, 2000.
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［14］Ofek and Richardson, “DotCom Mania.”
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［15］套利行为不能得到实施的另一个原因在于，要进行套利，投资者必须借入Palm的股票，然后卖出。由于3COM只出售了5%的股份，市场上的Palm公司的股票很稀少，而且多数被个人投资者所持有，他们通常不会出借。这样一来，要借入Palm公司的股票虽说不是绝对办不到，但也非常昂贵。
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［16］Lamont and Thaler, “Can the Market Add and Subtract?,” 27.
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［17］有关的例子，参见默顿·米勒（Merton Miller）在美国金融学会（American Finance Association）的主席发言（Merton Miller, “Debt and Taxes,” Journal of Finance 32 (1977): 261-275）。
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［18］Ofek and Richardson, “DotCom Mania.”
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［19］在一项研究中发现，公司股票上市之初，分析师的追捧会提高投资人的初期回报，参见Raghuram Rajan and Henri Servaes, “Analyst Following of Initial Public Offerings,” Journal of Finance 52 (1997): 507-529。
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［20］Ofek and Richardson, “DotCom Mania.”
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［21］参见Barbara Donnelly and Michael Sesit, “U.S. Bears Bets May Roil Japan’s Turmoil,” Wall Street Journal, April 17, 1990。更广泛地说，某只股票引入卖空期权会导致该股票的市场价格下降5%，参见Sorin Sorescu, “The Effect of Options on Stock Prices: 1973-1995,” Journal of Finance 55 (2000): 487-514。
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［22］R. Wermers, “Mutual Fund Herding and the Impact on Stock Prices,” Journal of Finance 54, no. 2 (1999): 584.
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［23］Judy Chevalier and Glenn Ellison, “Risk Taking by Mutual Funds as a Response to Incentives,” Journal of Political Economy 105, no. 6 (December 1997): 1167-1200.
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［24］Randall Morck, Andrei Shleifer, and Robert Vishny, “The Stock Market and Investment: Is the Market a Sideshow?” Brookings Paper on Economic Activity 2 (1990): 157-202.
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［25］Oliver Blanchard, Changyong Rhee, and Lawrence Summers, “The Stock Market, Profit, and Investments,” Quarterly Journal of Economics 108 (1990): 115-137.
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［26］同上。
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［27］James Poterba对下文的评论：“The Stock Market and Investment: Is the Market a Sideshow?” Brookings Paper on Economic Activity 2 (1990): 208-213.
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［28］参见www.globalfindata.com。
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