市场摩擦对我国股票市场盈利效应的影响--基于Fama-MacBeth回归方法

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1、目录1绪论·····························································································11.1研究背景与意义··········································································11.2研究思路···················································································21.

2、3研究内容与框架··········································································31.4创新与不足················································································62国内外文献综述··············································································82.1国外相关研究状况·······

3、································································82.2国内相关研究状况······································································102.3国内外文献对比··········································································123相关理论机制····································

4、············································133.1盈利效应的理论基础···································································133.2价值投资策略·············································································133.3行为金融理论·····················································

5、························143.4我国A股股票市场特征·······························································154样本选择以及变量构造····································································174.1盈利指标计算·············································································174.1.

6、1盈利增长···············································································184.1.2盈利波动性和持续性研究··························································184.2市场摩擦变量·············································································194.2.1股票价格时滞················

7、·························································204.2.2流动性变量············································································214.2.3投资者关注度·········································································234.3控制变量·····································

8、··············································234.4描述性统计·····