中国股票市场泡沫测度及其合理性研究

基于剩余收益模型对1993～2006年年初A股市场泡沫进行了测度,并根据对美国股票市场泡沫分析结果,研究了中国A股市场泡沫合理性问题.结果表明,长期以来中国A股市场的内在价值保持相对稳定,而股票价格却频繁大幅波动,且股票价格严重偏离内在价值,市场中的泡沫成分较多;股价指数及市盈率指标对股价泡沫大小的揭示能力非常有限;中国A股市场的泡沫多数属于超常泡沫,但自2001年开始的股市调整使市场中的泡沫得到有效释放,至2006年年初,市场泡沫已经回落到正常水平,2006年大牛市行情的启动在很大程度上应归因于市场调整后投资价值的显现.     

中国股票市场股利政策(英文)

本文解释了鼓励政策的定义和现今中国企业通常使用的股利政策方法。文中将对中国与西方的股利政策的异同进行对比,同时分析了具有中国特色股利政策形成的原因,并且提出了一些改善现状的意见和建议。     

中国股市行业泡沫问题研究

本文基于内在价值的研究,用泡沫度作为衡量股市泡沫的标准对中国股市进行泡沫方面的研究。在关于泡沫研究文献中,一般都是以股票的市场指数作为研究对象,从而考察整个市场是否存在泡沫状况,但实际情况中,带动股市泡沫形成和发展的,并不是整个市场中所有的股票,而往往只是某只股票或某个板块。本文将行业分为不同的类别作为研究对象,试图将市场细化,从而对股市泡沫有更理性和更完全的了解。     

理性看待蓝筹股泡沫

进入2021年,A股市场随着"抱团"股的松动,蓝筹股泡沫被推到了投资者的面前,成为2021年股市绕不开的话题.尤其是国泰君安的研究报告称,A股史上第一次蓝筹股泡沫来了,更是受到了市场的广泛关注. 就"蓝筹股泡沫来了"的说法来看,还是比较符合"抱团"股的现状."抱团"股基本上是一些白马蓝筹股、行业龙头股之类.而就当下的"...     

“高送转” 送的不是股票而是泡沫

一个股票的能否填权,不在于它的高送转,而在于这个公司的成长能力。一个缺乏成长性的公司,无论它如何的高送转最后的结果只能是贴权而已。     

O-F模型与合理市盈率研究--中国股市泡沫的实证分析

市盈率是被广泛用来测量股市泡沫风险的一个重要指标。本文根据O-F模型（基于账面价值和未来剩余收益的定价模型），导出衡量股市泡沫的合理市盈率计算公式，并以此考察了中国的股市泡沫。通过分析发现市盈率的合理值是一个动态值，主要由企业各期的净资产、收益、净资产收益率、持续盈利能力等内生变量决定，不存在一个固定的合理市盈率来测量股市的泡沫程度。计算表明中国的股市泡沫白1993年以来呈明显下降趋势，且2001逐步形成以来，我国股市基本上不存在投机性泡沫，股市运行处于比较理性的阶段。     

蓝筹泡沫谁之过？

“神话”之二：“好公司”等同于“好股票”“我们知道,深深套住的是散户和小股东。公司持股前十名的不到A股发行总额的3％,深感对不起大家……我们非常同情大家,但这不是公司可以左右的事。将来发展中我们会以业绩和其他方式,对小股东进行回报。如作一个长期的投资,我相信,人们投资中石油不会有、不会犯更大的错误。”     

量化宽松政策影响中国房产泡沫传导机制研究(英文)

美联储在2010年11月4日实施了第二轮量化宽松政策,这使得中国境内货币流动性大大增加。激增的美元数量给人民币升值带来了巨大压力。本文基于对后续连锁效应的分析,探索并总结了其影响中国房价泡沫的可能传到机制。最后给出了相关政策建议。     

挤泡沫!

破发大潮的打击、新股申购中签率节节攀升、八菱科技因申购不足创下A股历史的"首发"失败,都从不同侧面表明,新股发行市盈率泡沫正在受到狠狠地挤压。     

CROSS-AUTOCORRELATION BETWEEN A SHARES AND B SHARES IN THE CHINESE STOCK MARKET

Listed companies in China, upon meeting certain requirements, can issue two types of shares: A shares and B shares. Local investors in China can only buy and sell A shares, while foreign investors can only buy and sell B shares. We argue that foreign investors may receive news about China faster than domestic Chinese investors because of information barriers in China. Since foreigners participate in the B-share market, the price movements of B shares should reflect the common information that the foreigners have. Rational A-share investors can therefore condition their trading decisions on the previous price movements of B shares. As a result, returns on B shares should lead the returns on A shares. Using daily prices of A and B shares, we demonstrate that returns of B shares are correlated with those of A shares and that this correlation depends on the information transmission mechanism at work. The pattern of the asymmetric cross-autocorrelation is robust to the inclusion of lagged realized returns and trading volumes.     

中国股市需要“停车修理”

A股为何会回到"1时代"?导致当前中国股市信心不足的原因:其一,800多家等待IPO的企业和再融资让市场异常恐惧,这些等待IPO的企业继续在发审委排队,按照目前的发行速度,至少需要5年,如此下去不但给市场带来巨大的扩容压力,也会让市场的资源配置功能彻底丧失。如果资本市场不能有效支持实体经济,真正的优质企业无法上市融资,投资者买不到好股票,市场必然会进入恶性调整。其二,限售股解禁、减持的压力让股市资金供需严重失衡,因为股权分置改革带来的"成本分置"后遗症需要很多资金来填补"全流通",来缓解大小非、大小限的套现压     

“转融通”引来的资金活水：有效对接货币市场与证券市场

在过去,证券公司只是单纯地凭经纪业务取胜,靠天吃饭,而转融通业务的推出标志着—个全新的金融创新时代的到来。     

MODELS OF STOCK MARKET PREDICTABILITY

I briefly review the success of past studies purporting to explain equity valuations and predict future equity returns. The Campbell‐Shiller mean reversion models are contrasted with an expanded version of the so‐called Federal Reserve model. At least from 1970 to 2003, Federal Reserve–type models did somewhat better at predicting long‐horizon returns than did a mean reversion model based on dividend yields and price‐earnings multiples. However, timing investment strategies based on any of these prediction models do no better than a buy‐and‐hold strategy. Although some predictability of returns exists, there is no evidence of any systematic inefficiency that would enable investors to earn excess returns.     

STOCK SPLITS AND MARKET ANOMALIES

Previous studies of market efficiency have reported conflicting results when examining stock splits. Recent studies reporting market inefficiencies have made several methodological improvements, but have failed to control for the possible confounding effects of “unexpected” changes in corporate earnings announced near the stock split event. Stock splits are often issued around the time that firms experience large increases in corporate earnings. Therefore, an explicit treatment of earnings announcements in an event study of stock splits may yield further insights. This study found no market inefficiencies associated with splitting securities that experienced moderate changes in corporate earnings. However, anomalies were associated with splitting securities that experienced large increases in corporate earnings. These results suggest that previous findings of market inefficiencies, attributable solely to the stock split event, may be due in part to unexpected changes in corporate earnings.