齐当别模型与股权溢价之谜

一、股权溢价之谜 股权溢价(The Equicy Premium)是指股票收益率大于无风险资产收益率的现象.由于股票的风险较大,市场上大量的风险厌恶型投资者必然会要求以高收益来补偿持有股票所带来的高风险,因此一定程度的股权溢价是正常的市场现象.然而,大量针对不同时期与地区的实证研究表明,股权溢价程度远远超出了标准经济学模型所能解释的范围,这一现象被称之为"股权溢价之谜".     

我国股票市场流动性风险度量指标研究

流动性风险作为可交易证券除了价格风险以外的另一项重要的风险,与市场风险一样都会导致市场价格的不确定性,因此与投资于价格风险比较大的股票能够获得市场风险溢价一样,投资于流动性风险比较大的股票也应该获得相应的流动性风险溢价,以对愿意承担高风险的投资者进行补偿并吸引高风险投资者的参与。随着我国证券市场规模的不断成熟与发展,市场流动性问题已经逐步演变为中国证券市场的系统性风险,流动性风险也成为风险管理与控制的核心问题。流动性风险日益成为证券市场面临的主要风险,研究证券市场的流动性风险如何正确地进行度量,设计符合…     

股权溢价研究

我国股票市场具有自己的独特性,是否存在股权溢价一直是国内研究学者争论的问题.本文选取我国股票市场1991年到2008年的数据进行股权溢价的计算,并以基于消费的资产定价模型为基础,考虑消费对股权风险溢价的影响,验证我国是否存在股权溢价,结果发现我国存在很高的风险溢价,而模型却不能对其进行解释,主要是消费和风险收益的相关性很低。通过对我国股权溢价的研究,提出研究风险溢价,对投资者和政府决策的意义重大.对投资者来说,关注分析股权溢价,能够作为合理分配资产进行投资的一种参考方式;对政府来说,监管股票市场需要首先了解股票市场的特性,在此基础上,合理调控股票市场,完善市场。     

境外投资者持股稳定性与股价波动风险——基于陆股通日频持仓数据的研究

本文以2016-2021年陆股通上市公司为样本，按照陆股通资金换手率将境外投资者分为长期投资者与短期机会主义者，探究境外投资者持股稳定性如何影响股价波动风险。研究发现，陆股通资金持股稳定性越高，股价异质性风险和股价暴涨暴跌风险越低。异质性研究发现，在机构投资者持股比例高、股权集中度高、分析师跟踪数量多的样本中，陆股通资金持股稳定性对股价波动风险的影响程度更大。在稳健性检验中，采用沪股通开通作为准自然实验，发现境外投资者持股稳定性越高，股价波动风险越低的结论依然显著。结论表明短期机会主义境外投资者交易加剧了市场波动，而长期境外机构投资者发挥了稳定市场的作用。     

中国股票市场流通性价值研究——基于非流通股协议转让与限售股转让的证据

文章利用股权分置改革前的非流通股协议转让样本与股权分置改革后的限售股票转让样本研究中国股票市场的流通性价值水平。研究结果表明,流通性存在价值,股权分置改革前,股票流通性价值水平均值约为66%,流通股市场的流动性显著影响股票流通性价值,但流通股的流动性与流通股价格波动率对股票流通性价值没有显著影响;股改后的股票流通性价值水平约为56%,流通股的流动性与波动性水平显著影响流通性价值。     

股权风险溢价与资产配置关系浅析

随着资产配置这一概念在全球日益深入人心,相应的资产配置研究已成为全球资产管理机构及研究机构的主流研究方向。从某种意义上来说,股权风险溢价之所以受到如此重视,是因为股权风险溢价的水平在很大程度上主导了投资者资产配置的结构与方向。     

股权风险溢价及其在中国股票市场上的应用

股票收益率与无风险债券收益率之间的差被称为股权风险溢价(Rm-Rf).近年来的研究发现,股权风险溢价非常大,标准的资本资产定价模型(CAPM)已经不能解释如此大的差异,股权风险溢价也就成了世界之谜.本文首先分析了股权风险溢价的产生以及理论解释,然后在此基础上讨论了测算中国股权风险溢价时应该注意的问题.     

春节文化下的一月价值溢价与小公司效应——基于中国内地、香港和台湾的比较分析

以2003年1月至2011年12月沪深两市所有A股、香港和台湾股票市场所有股票为研究样本,利用Fama-MacBeth时间序列横截面回归法发现,中国内地存在"一月价值溢价效应",而香港和台湾市场存在"一月小公司效应";根据股票收益率的标准差将三大新兴市场的股票分别分成5个组合发现,中国内地投资者偏好高BM的股票,而香港和台湾的投资者更加偏好小公司中的高风险股票;如通过选择息税前利润和GDP增长率作为年终奖金的代理变量发现春节文化背景下的年终奖金可以作为解释"一月价值溢价效应"和"一月小公司效应"的依据。     

“股票风险溢价之谜”的资源配置与社会福利意义

大量文献研究了"股票风险溢价之谜"的成因,但忽视了它的资源配置和社会福利意义。系统风险具有较大的社会福利成本,较高的风险溢价可能诱导投资者偏离最优的投资决策。因此,合理利用风险溢价可改善社保资金的配置效率。     

现代企业风险价值管理问题探讨

作为对利润最大化等传统目标的替代，企业价值最大化目标已经获得越来越多的认同。所谓风险价值，是指投资者因冒险进行投资所要求的超过无风险报酬率的那部分风险溢价。风险越大，风险价值也就越高。企业价值最大化是在风险系统的作用下和考虑货币时间价值的前提下，对企业价值的贡献的结果。现在，资本的风险价值管理已成为占主导地位的公司理财新理念和新模式。     

Incomplete Information, Trading Costs and Cross‐autocorrelations in Stock Returns

This paper provides an economic rationale for the cross‐autocorrelation patterns in stock returns in the context of a microstructure model in which investors have incomplete information. The paper shows that in a market in which investors are informed about only a sub‐set of stocks, the emergence of lead‐lag, cross‐autocorrelations is a function of the cost of trading in other stocks based on information about the sub‐set of stocks. If cross‐trading costs are high, informed investors will trade only in the sub‐set of stocks they are informed about; if cross‐trading costs are moderate, informed investors will randomize between trading and not trading in other stocks; and if cross‐trading costs are low, they will trade in all stocks. When informed investors trade only in a sub‐set of stocks, prices of stocks with more informed trading will adjust to common factor information faster than the prices of stocks with less informed trading giving rise to asymmetric lead‐lag cross‐autocorrelations. When informed investors trade in all stocks, asymmetric lead‐lag cross‐autocorrelations will disappear as a result of their cross‐market arbitrage trading. These results provide a number of testable implications for lead‐lag cross‐autocorrelation patterns. The data is consistent with the empirical predictions .
(J.E.L.G12, G14).     

The Role of Psychology in Analysts' Estimates

In October, 1991, there occurred off the coast of Massachusetts a "perfect storm," a tempest created by a rare coincidence of events. In the late '90s, there was another perfect storm, an also rare coincidence of forces which caused huge waves in our financial markets, as the NASDAQ index soared, collapsed, and bounced part way back. What had happened to the so-called "rational" investors, the smart money, whom economists have for decades said, would keep market prices in close touch with the underlying values? Despite the hundreds of papers on markets and their efficiency, it is a remarkable fact that no scholar, not one, has looked to see who are these rational, i.e., value, investors, how they operate, and with what results. I decided to see how a group of ten value funds, selected by a knowledgeable manager, performed in the turbulent boom-crash-rebound years of 1999-2003. Did they suffer the permanent loss of capital of so many who invested in the telecom, media and tech stocks? Did they, too, get caught up in the momentum-chasing frenzy of the day? For most managers, mimicking the index, it was difficult not to own Enron, Oracle and the like, but these ten value funds had stayed far away. Looking closer, these ten managers have a quite distinct profile, inner-directed, confident of their investment philosophy and content to swim against the crowd. They owned highly selective portfolios, mostly 34 stocks or less, vs. the 160 in the average equity fund. Reflecting their consistent and disciplined approach, they turned their portfolios at one-sixth the rate of the average fund. Bottom line: every one of the ten outperformed the index over the five year period, and as a group they did so by an average of 11% per year, the financial equivalent of back-to-back no-hitters. The article closes with a brief discussion of the distinctive temperament and attributes of this rare group of fund managers. As for those efficient market models, let the chips fall where they will.     

Herding on lottery-type stocks: evidence from the Chinese stock market

Previous studies have provided evidence that investors have gambling propensity in the stock market and exhibit a preference for lottery-type stocks. In this study, we use high total skewness and high maximum daily return (MAX) to measure lottery-type stocks and examine whether investors do exhibit distinct herding pattern in these stock types. Empirical results show that investors display stronger herding among lottery-type stocks, thereby indicating that such stocks induce correlated behaviour with the investors. In addition, we find that stocks with the highest skewness exhibit stronger herding under upmarkets, whereas stocks with the lowest skewness display stronger herding under downmarkets. Regarding the highest MAX portfolio, no significant herding asymmetry is seen between upmarket and downmarket. The results reported in this article demonstrate that comovement in stock returns may be partly attributed to the nonstandard preferences of investors in the stock market.     

A novel measure of liquidity premium: application to the Korean stock market

This study proposes a novel measure for an asset’s liquidity premium. Applying Brownian first-passage time distribution properties, we derive an explicit form of liquidity premium embedded in the asset price. Our liquidity premium measure is intuitive because it assesses the extent to which the value of the asset should be increased from the current market price if investors were allowed to retain the asset until they achieve an investment goal. This measure is readily available for assessing an asset’s liquidity because it does not require information on the asset’s transactional characteristics. Our empirical experiment using Korean stock market data suggests that the liquidity premium in this study is inversely related to Amihud’s (2002) illiquidity ratio, which is commonly used to measure stocks’ illiquidity.     

金融危机背景下银行类股票β值及其稳定性的实证检验

在金融研究中,风险和收益、个股与整个股市的波动一直是人们最为关注的问题。特别是在2007年8月美国次贷危机迅速蔓延后,各个公司更加重视股市波动的研究,以求最大限度地规避风险、获得最大收益。在金融研究中,人们通常用期望值表示收益,用方差和标准差来衡量风险。而在两者的关系研究中,资本资产定价模型反映了均衡状态下单个证券的预期回报与其相对市场风险值之间的关系,也描述了证券的风险溢价与市场组合风险溢价之间的关系。选择金融危机迅速传播后的2007年8月到2011年10月21日为研究时间段,选择上海证券交易所A股市场的浦发银行（600000）等14只银行类股票为研究对象,确定它们的值,研究银行类股票与整个股市波动的相关性,说明它们的风险溢价与市场组合风险溢价之间的变动关系。考虑到在所选时间段中,2010年3月开展的融资融券业务可能会对股票值的稳定性有所影响,因此,在求出这些股票的值后,还对这些股票值的稳定性进行了Chow检验。     

Privatisation and Stock Market Efficiency: The British Experience

We present evidence that with its emphasis on wide-share-ownership the British privatisation program created heavy involvement of small investors in privatised stocks. Using standard market efficiency tests and maximum likelihood estimates of stationary fractional ARIMA models, we show that the pricing of privatised stocks in the London Stock Exchange was indeed inefficient, unlike the rest of the market. Together, these two pieces of evidence suggest that small investors, behaving like noise-traders, may be generating this inefficiency. Yet, we cannot rule out alternative explanations.     

CSR,rationality and the ethical preferences of investors in a laboratory experiment

This experimental study aims to clarify to what extent and in which direction investors react to CSR (Corporate Social Responsibility) initiatives meant to upgrade the ethical standards of firms beyond the minimal requirements of law. Subjects in the laboratory were invited to invest their endowment in a portfolio of financial assets. We provided information on the expected returns of each stock and on its inclusion in an ethical index, or exclusion from it. Our findings show that subjects’ behavior appears to be a function not only of their individual pay-offs but also of the information on the ethical standards of the firms issuing stocks. Most of them, however, did not show a fully irrational behavior as they consistently correlated the share of stocks with their expected returns. We may conclude that the sizeable reaction of our investors to the inclusion of a stock in the ethical index, or its exclusion from it, is the fruit of a deliberate choice.     

Name-Based Behavioral Biases: Are Expert Investors Immune?

The market comprises investors with a broad range of expertise. As a result, investors may make decisions differently from one another. Research reveals that investors use name-based heuristics, or short-cuts, including alphabetical ordering (Itzkowitz, Itzkowitz, and Rothbort []), name fluency (Anderson and Larkin [], Green and Jame []), and name memorability (Grullon, Kanatas, and Weston []) when trading stocks, resulting in irrational decisions. Because experts and novices process information differently, name-based biases may not affect all investors equally. The authors test and confirm the hypothesis that, compared to novices, expert investors are relatively immune to name-based biases.     

A green winner's curse? Investor behavior in the market for eco-certified office buildings

This paper contributes to the growing literature on the economics of green buildings: by merging auction theory and hedonic regression analysis we investigate the relationship between market concentration and price premiums in the American market for eco-certified real estate assets. Auction theory is used to model price formation where eco-investors may differ in their valuation of assets. Controlling for a large number of features, the empirical results provide evidence of a significant and positive relationship between investors’ eco-certified market share and prices of eco-certified space. Contributing to the recent debate over the nature of the green premium, we find that eco-investors are creating clientele effects and that they may be subject to a green winner's curse.     

Dynamic Equilibrium with Overpriced Put Options

It is a well-known anomaly that prices of put options are too high when options are out-of-the-money. This paper presents a simple general equilibrium model of the market where European put options become substantially overpriced when they are out-of-the-money. Overpricing is due to the presence of short-sale constraints on trading stocks and derivatives, as well as the heterogeneity between investors. We confirm the predicting power of the model by comparing its implications with existing empirical results.