每个“泊松模型”行选择--s 符合Odean对, , QG,或[] 并使用命题3和命题4计算其他值;观察到的G无法匹配,因为当 > /2. 1. 1个QGG[]PGR PLROdean数据27.7%22.8%53.8%41.9%312 14.8%9.8%1.51Dhar&Zhu数据-----65.8%46.5%122 13.2%6.4%2.06适合Odean, 27.7% 22.8%57.7%50.7%174 14.0%10.9%1.28随机交易(泊松)模型 1. 1个QGG[] PGR PLR = 0.3672.2% 22.8%58.7% 58.7% 688 12.5% 12.5% 1 = 0.8036.4%17.4%55.9% 55.9%12.5% 12.5% 1 = 1.1627.7%15.2%54.9% 54.9% 215 12.5% 12.5% 1 = 1.9419.7%12.4%53.8%53.8%129 12.5%12.5%1带有缩放TK实用程序的恢复模型 1. 1个QGG[]PGR PLR德国劳埃德船级社 = 0或195.3%从不100%27.1%3717 34.5%0 = 0.5345.6%从不100%16.6%2087 46.2%00.880.88GL = 017.6%从不100%7.7%901 65.0%0 = 0.8896.2%从不100%27.3%3743 34.4%00.50.88GL = 03.9%13.5%80.6% 21.5% 15 34.9% 3.4% 10.22 = 0.35.8%45.3%93.8%9.5%85 58.6%1.0%60.640.51.0GL = 03.8%6.3%64.9% 36.7% 7 20.2% 7.3% 2.74 = 0.35.9%28.2%87.6%15.6%50 44.5%2.1%21.640.50.5GL = 04.0%47.3%95.9% 6.5% 63 67.8% 0.6% 107.90 = 0.35.7%75.8%98.3%4.9%169 74.3%0.3%293.06收益,平均规模27.7%;其余交易均为亏损22.8%. 平均持有期为15个月,我们表示为312个交易日。账面损益占未实现头寸的41.9%和58.1%。PGR和PLR分别为14.8%和9.8%。Dhar和Zhu(2006)的数据取自表1和表3的注释。65.8%的交易实现了收益,但账面收益仅占未实现头寸的46.5%。PGR和PLR分别为13.2%和6.4%。平均保存期为122d。