论合理市盈率与股票价格波动的规律

本文提出了“合理市盈率”是以等于价值的价格交换时的股票市盈率，它是人们对经济行为看法与评价的总体平均数，是人们价值观的总体特征以数值表达出来的形式。它对所有的经济行为具有监测与参考价值。本文论证了股票价格波动规律——市盈率围绕合理市盈率波动，市盈率向合理市盈率回归，并提出了股票价格波动规律的公式。     

价格涨跌幅机制对市场波动及换手率的影响

文章调查了价格限制机制对股票价格波动以及市场流动性的影响。首先刻画了实行价格涨跌幅限制后股票价格的变化特征,研究价格限制机制对股票价格波动的影响;随后在考虑延续冲击效应因素的基础上,通过对引入价格限制机制后投资者总成本的考察,研究了该机制对市场流动性的影响。文章结论认为,股票价格涨跌幅限制机制的引入,将增加股票市场的波动性,并且会导致投资者心理所能承受的潜在收益、损失量减小,使投资者更加频繁地买卖股票．从而增加市场换手率,进而提高整个市场的流动性。     

价格涨跌幅机制对市场波动及换手率的影响

文章调查了价格限削机制对股票价格波动以及市场流动性的影响.首先刻画了实行价格涨跌幅限制后股票价格的变化特征,研究价格限制机制对股票价格波动的影响;随后在考虑延续冲击效应因素的基础上,通过对引入价格限制机制后投资者总成本的考察,研究了该机制对市场流动性的影响.文章结论认为,股票价格涨跌幅限制机制的引入,将增加股票市场的波动性,并且会导致投资者心理所能承受的潜在收益、损失量减小,使投资者更加频繁地买卖股票,从而增加市场换手率,进而提高整个市场的流动性.     

股价波动源模型下欧式下出局期权的鞅定价

机游走模型(Random Walk)和对数正态分布模型是两种最常见的描述股票价格的模型,但是这两种都存在着一定的缺陷,距离实际上的波动还具有较大的差距。波动源模型更全面的考虑了大量散户交易者对股票价格的影响,以及其他的一些因素,能够更加接近实际的描述出股票的价格变动以及波动现象.在股票价格波动源模型下,利用Martingale Pricing方法推导出欧式下出局期权(买权)的定价公式.作为特例,同时得到了传统的对数正态分布模型下欧式下出局期权的定价公式。     

货币供应量及流动性与股票市场关系实证研究

一、引言货币政策与股票市场的关系是金融研究的前沿课题。股票市场交易成本低,流动性强,对货币政策的反应较为敏感。而股票作为一种虚拟资产,其价格的波动由未来预期收益的贴现值决定,这使得其价格的波动性高于实物资产。股票价格的波动受宏观基本面与非基本面的影响,反过来又对宏观经济产生重要的反馈作用。     

防范股市过度投机的“创设影子股票”制度设计

健康的股市必须以投资价值为主导,防范过度投机及其引发的股灾是各国股市的共有难题。法律法规和监管部门的监管很难管住暴利驱动下的价格操纵和各类"内幕信息"的炒作。"创设影子股票"制度依托市场自身的力量解决价格操纵和"内幕信息"问题,让每一只股票的多方和空方直接对抗,任何一方都没有能力使股票价格脱离投资价值太远,从而使股票价格围绕其投资价值在相对狭窄的区域内波动,有效防范过度投机。     

基于分形理论的上证指数收益率浅析

股票价格波动是呈现出纯粹的随机游走,还是遵循一个有偏的随机游走过程或分形布朗运动?20世纪50年代初,赫斯特提出了一种研究上述过程的新方法—R/S分析。许多学者用R/S分析研究其它国家的证券市场,得出了不同的有价值的结论。本文将R/S分析用于我国上海股票市场,研究股票收益的变化规律。结果显示我国的股票收益遵循有偏的随机游走,价格不能对信息做出及时充分地反映,收益序列呈现出持久性,股票价格受时间影响。     

我国股票市场报酬与波动的GARCH—M模型

一、绪论 根据资产定价理论,股票风险是股票价格的重要决定因素。现代财务学理论中,广泛地以波动代表风险,并可申资产报酬的标准差(或方差)度量?一般认为,投资者的投资决策是基于对股票报酬分布的认识,因此,股票报酬方差或标准差是影响投资行为的重要因素。同时,深刻了解股票市场波动(风险),分析引起波动的原因,并预测波动,政府可采取相     

上市公司欺诈案件中的损失认定——兼评《关于审理证券市场因虚假陈述引发的民事赔偿案件的若干规定》

证券市场上的虚假陈述会影响公司的股票价格。虚假陈述被披露后,公司市值较欺诈行为发生期间有所降低,两者的差额即为损失。一旦公司进入破产程序且股票破灭时,使用公司市值差额法计算损失,在形式上不会发生问题,当公司股票仍保留一定的价值时,使用该方法计量损失则会发生很多的问题,这是因为市场并非是理论上的有效市场,而且欺诈性信息之外的因素也在影响着股票的价格。《关于审理证券市场因虚假陈述引发的民事赔偿案件的若干规定》(简称《规定》)第七部分对损失认定的规定过于简单。本文认为,在司法实践中不应忽视其他因素对股票价格影响。     

扎空

扎空(Corners),又称轧空,我国台湾学者也称之为垄断证券来源而形成压迫,是指证券市场上某一操纵集团不断吸纳、集中流通股票,最终致使卖空者除此集团之外没有其他来源可补回股票,从而乘机操纵证券价格的一种方式。这种操纵行为盛行于19世纪末至20世纪初的美国证券市场,当时卖空交易盛行,当股票价格上涨超过其价值时,部分投机者     

Asymmetric positive feedback trading and stock pricing in China

Defining asymmetry of feedback trading (AFC) as the difference between buying-winners and selling-losers intensities, the paper investigates if AFC impacts stock pricing. We show that buying stocks with low AFC and selling stocks with high AFC makes significant positive returns after controlling traditional pricing factors. The return mainly comes from the long leg and cannot be simply attributed to either mispricing, liquidity, or risk premium. Further study shows that the negative impact of AFC on future stock return is reinforced with an increase in past returns, maximum daily return, relative valuation level, asset growth rate, or operating profit rate. As AFC represents retail trading intensity, the results imply that the inactiveness of retail investors may make price relative underreaction to good news and thus lead to positive expected stock return.     

价格波动性与股票预期回报——基于中国市场的初步证据

基于国际资本市场数据的研究发现,股票价格的波动率和股票未来的回报率负相关,而且风险差异不能解释这个现象,文章使用中国股票市场的数据发现了相同的结论。在1998年1月到2003年12月期间内,基于过去一个月内股价波动率的对冲组合在未来六个月内能够取得0.32%的月风险调整超额回报率。M iller(1977)认为股价波动性代表了投资者对股票价值评估的不确定性和异质性,因为卖空限制的存在,波动性高的股票的价格更多地反映了乐观投资者的看法,因而出现高估价值的错误定价。文章分析认为M iller的错误定价理论能够解释股价波动率与未来回报率之间的负相关关系。     

Neighborhood effect on stock price comovement

We investigate how the geographic distance between firms’ headquarters affects their stock price comovement. Our results show that a firm's stock return has stronger comovement with the returns of nearby firms than with those of distant firms. Being in the same state and/or in the same industry strengthens the return comovement, but does not substitute for the negative effect of geographic distance on price comovement. Firms of similar share price and size also show stronger return comovement, but these factors do not mitigate the negative distance impact. Consistent with investor home bias and neighborhood effect literature, our results suggest that investors’ preference for local stocks and their interactions lead to correlated trading in local stocks and therefore stronger local price comovement.     

Pricing unexpected illiquidity

The well documented positive relation between returns and lagged illiquidity suggests that illiquidity is a priced characteristic of stocks. Recent studies suggest that stock returns are inversely related to the contemporaneous unexpected illiquidity, which is consistent with price revisions to reflect realized illiquidity. This study analyzes the relations between stock returns and illiquidity innovations and finds that that the negative illiquidity shock premium persists beyond the contemporaneous interval. However, transaction costs overwhelm any potential profits from strategies that attempt to exploit the price adjustments to the shocks, suggesting the markets are efficient with respect to illiquidity information.     

<Emphasis Type="BoldItalic">Mad Money</Emphasis> stock recommendations: market reaction and performance

We examine the stock recommendations of Jim Cramer televised on CNBC’s Mad Money, and document significant market reactions (i.e., announcement returns and volume) to Cramer’s recommendations, particularly for small capitalization stocks. The following findings indicate that the announcement returns are primarily due to price pressure from uninformed trading as opposed to the recommendations providing new value related information: announcement returns reverse following buy recommendations; bid-ask spreads temporarily decline; and there is no evidence of positive longer-term abnormal returns. One implication, when considered in combination with other works, is that investors should be cautious in following stock recommendations announced in the mass-media.     

Individual stock sentiment beta and stock returns

Using the data in Chinese stock market, we measure the individual stock sentiment beta, which is defined as the sensitivity of individual stock returns to the individual stock sentiment changes. We demonstrate that stocks in the highest individual stock sentiment beta portfolio have significantly higher excess returns, CAPM alpha, Fama-French three-factor alpha and Fama-French five-factor alpha. Besides, we find that the high individual stock sentiment beta stocks are smaller, younger, more volatile stocks with higher price and higher market beta. After controlling for firm characteristic, the returns of High-Low individual stock sentiment beta portfolios are still significantly positive. Moreover, we show the effect of the individual stock sentiment beta on stock returns is positive and significant in different stock markets, in different sample periods, and in bull and bear market. Besides, the results of the Bayes-Stein individual stock sentiment beta are still stable.     

短期内机构投资者行为和股票价格的互作分析

研究短期内机构投资者行为与不同规模公司股价的相互影响.在机构投资者对股价的影响方面,阐释并论证了机构持股比例增量与当日股价的正相关关系,指出机构对大盘股的影响强于对小盘股的影响.机构资金流入(流出)的定性信息本身对股价上升(下降)有额外的促进作用;相对于撤资而言,股价对机构的注资行为更敏感;而对小盘股,该不对称性更加明显.此外,当日收益率和前三天内的机构资金流入存在负相关关系,且该种负关系在大盘股中的表现比在小盘股中更为明显.在股价对机构投资者行为的反馈作用方面,以实证结果阐明了股价上升(下降)的信息本身可对机构行为有缓冲作用,且该作用对小盘股影响大于对大盘股的影响.研究显示,在短期内机构更倾向于动量交易,这在小盘股中尤为明显.三天前收益率对当日机构行为的影响颇为明显,且与一天前的收益率的影响力相当;相对而言,两天前收益率对机构行为的影响不甚明显.     

Disagreements with noisy signals and asset pricing

We consider a Lucas-type exchange economy with two trees and two investors to analyze the effects of heterogeneous beliefs and signal quality on stock market equilibrium. Our model has the following implications. There are spillover effects, in that the investors’ heterogeneous beliefs and signal quality related to one stock not only affect its own price and pricing moments, but also affect those of the other. Contrary to the conventional wisdom, we show that the volatility of one stock decreases with both its own and the other stock’s disagreements. Additionally, we reveal a negative correlation between the stocks, which decreases as the investors’ dispersions raise but increases as the discrepancy in signal quality reduces. We also show that heterogeneous beliefs and signal quality impact stock market beta mainly through scale and volatility effects, respectively. Furthermore, our findings suggest that both heterogeneous beliefs and signal quality have significant influences on the investors’ optimal portfolio plans.     

媒体报道、会计稳健性与股价崩盘风险

新闻媒体的信息传播和监督治理功能在减少信息不对称、缓解管理者囤积坏消息等方面发挥着重要作用。以沪深A股上市公司2012—2018年非平衡面板数据为样本,通过OLS回归分析上市公司股价崩盘风险是否会受到媒体报道及会计稳健性的影响。实证结果表明,媒体报道和会计稳健性与股价崩盘风险呈显著负相关关系,会计稳健性可以强化媒体报道对股价崩盘风险的影响。进一步分析发现,媒体报道与股价崩盘风险之间的负相关主要集中在正面新闻报道较多的公司和诉讼或声誉风险较高的公司。     

The asymmetric effect of crude oil prices on stock prices in major international financial markets

The aim of this paper is to explore the potential asymmetric impacts of positive and negative shocks in crude oil prices on stock prices in six major international financial markets which include China, Hong Kong, America, Japan, Britain, and Germany. We test for these asymmetric effects on 8 major international financial markets indices over the 2007M01–2020M03 periods. Our independent measures include the prices of Brent crude oil futures and West Texas Intermediate (WTI) futures. We use the nonlinear ARDL (NARDL) model proposed by Shin et al. (2014), which can capture both short- and long-run nonlinearities through positive and negative partial sum decompositions of the explanatory variables. This research finds that positive and negative fluctuations of oil price have asymmetric effects on stock price index in four financial markets, but the performance of the asymmetry is different. Specifically, the impacts of volatility in oil prices on two indices of Chinese stock prices are different, and the asymmetric effects of oil price volatility on stock price indices in China and other financial markets are significantly different.