股市市盈率的评价与思考

在今春理论界进行的股市大辩论中,市盈率是争论的焦点问题。如何评价市盈率在股票投资分析中的作用？怎样看等当前我国股市的高市盈率？本文谈谈几点看法。     

关于市盈率的分析

市盈率是股票价格与其每股收益的比值。对于股票市盈率高低的看法 ,不同的人从不同的角度去理解 ,可能会得出不同甚至完全相反的结论。如当某支股票的市盈率高于市场平均市盈率时 ,一部分人可能会认为该股票此时定价偏高 ,已经失去了投资或继续持有的价值 ;而另一部分人则认为 ,市盈率高的股票往往是一些高成长性的股票 ,市盈率高本身就说明了投资者对其未来成长性的认同 ,愿意为公司的每元盈利付出较多的资金。笔者倾向于后一种观点 ,买股票就是买上市公司的未来。如果一家公司业绩较好 ,市盈率偏低 ,但没有成长性 ,也不会受到市场的追捧 ;…     

中国股市“市盈率偏高”问题之驳论

QFII制度是新兴证券市场绕开本国资本市场尚未完全开放难题而采取的、先行与国际资本市场接轨的具有可操作性的制度，是我国加大引进外资力度的创新举措，具有重大而深远的意义。然而这一制度实施两年来没有多大成效，原因是一些证券分析师劝说投资者“离场观望”，理由是“老外”追求“低市盈率”，而与发达国家股市相比，中国股市“市盈率偏高”，所以断言中国股市会“自由落体”到“与国际接轨水平”。笔者认为对困扰中国股市多年的“市盈率偏高”论，必须给以批驳，以维护中国股市稳定和健康地发展。     

β系数与市盈率关系的研究

随着经济的飞速发展,人们的生活水平在不断提高,收入也在不断增长。与过去相比,人们手中有了更多的闲钱。在满足家庭基本生活需求的情况下,为家     

净资产倍率、市盈率与公司的成长性——来自中国股市的经验证据

本文借助于Edwards Bell Ohlson模型阐述了P/B与P/E的涵义。P/B是预期超额报酬的函数 ,P/E决定于预期超额报酬与当期超额报酬的相对大小。预期超额报酬与当期超额报酬的大小不同 ,P/B与P/E存在不同的组合。由于P/B只与预期的超额报酬有关 ,而与当期的超额报酬无关 ,所以与P/E相比 ,P/B是一个能更好预示公司未来成长性的指标。由于当期ROE只传递了部分与预测未来ROE有关的信息 ,所以财务分析师需要获取与预测未来ROE有关的进一步信息 ,以提高预测的精度。来自中国股市的经验数据基本上支持这些结论 ,这表明中国股市已经具有一定的使用会计数据和作出理性预期的能力 ,但和成熟的证券市场相比 ,中国股市的上述能力还有待于进一步提高     

关于化州“工业立市”的探索与思考

文章对化州“工业立市”的发展战略作了分析,指出“工业立市”是发展化州的必由之路,同时对相关的保障措施进行了探讨。     

市盈率与增长率关系的探讨——兼论股票定价的有关问题

应用市盈率方法进行股票估价的一个关键因素是需要确定合适的市盈率。虽然人们普遍认同增长率是影响市盈率的最重要因素,并且增长率高市盈率就应该高,但至今还没有建立起增长率与市盈率之间确切的数量关系。借助传统的回收期概念,本文讨论了市盈率与增长率的关系,推导出求解合理市盈率的模型。借助这个市盈率模型,笔者进一步推导出股票定价的模型,并称之为回收期模型。经过与经典的Gordon模型比较发现,回收期模型在多方面优越于Gordon模型。     

Stock market reaction to dividend announcements: Evidence from the Greek stock market

This study investigates the market reaction to cash dividend announcements for the period 2000–2004 employing data from the Athens Stock Exchange (ASE). In particular, the paper examines both the stock price and trading volume response to dividend distribution announcements. Dividend distributions in Greece demonstrate noticeable differences to those of the US, the UK and other developed markets. First, dividends in Greece are paid annually rather than quarterly or semi-annually. Second, the Greek corporate laws 2190/1920 and 148/1967 specifically designate the minimum amount for distribution from the taxed corporate profits. Third, neither tax on dividends nor on capital gains was imposed during the period under examination. Fourth, Greek listed firms are characterized by high ownership concentration where major owners are usually involved in management and therefore have less need for dividend announcements as an information source. Despite this neutralized information and tax environment, we document significant market reaction to dividend change announcements, lending support to the “information content of dividends hypothesis”.     

The stock market and the vacancy rate

This paper analyzes the vacancy rate in competivive markets. It is shown that the competitive vacancy rate is suboptimal and that it can be higher or lower than the optimal rate.     

Stock market cycles and stock market development in Spain

In this paper we use Spanish stock market data to identify the bull and bear phases of the market and to analyze its characteristics during the period 1941-2002. We compare these characteristics with those of the US and of two other European countries (Germany and the UK). Our sample is divided in two subperiods in order to account for differences induced by the process of development undergone by Spanish capital markets in the late 1980s and early 1990s. We find that the Spanish stock market has become increasingly more similar to those of the more developed countries, although some differences still persist. Additionally, we show that concordance of the Spanish stock market with other developed markets has increased quite significantly.JEL Classification: C22, G15An earlier version of the paper circulated under the title Bulls and bears: lessons from some European countries. Comments from seminar participants at the Universidad de Navarra, at the IX Meeting of the Spanish Finance Association (Pamplona 2001) and at the Royal Econonomic Society Conference (Warwick 2002) are gratefully acknowledged. We are very grateful to J.M. Campa, G. Llorente and two anonymous referees for helpful comments and suggestions. We also thank D. Garcia and the Research Department of the Madrid Stock Exchange for generously providing the data of the Spanish case. Financial assistance from the Spanish Ministry of Science and Technology (SEC2002-01839) is gratefully acknowledged. The usual disclaimer applies.     

上海股市流动性和收益率的动态关系研究

研究流动性与收益率之间的关系是证券市场微观结构理论研究的一个重点。文章采用VAR（向量自回归）方法来考察上海股票市场上流动性与收益率之间的关系。先通过VAR的脉冲响应函数来分析两者之间的影响关系，接着从条件分布的角度探索彼此之间的因果联系。综合考虑实证结果，深入了解上海股市流动性与收益率的变动传递过程。     

Daily market news sentiment and stock prices

In recent years there has been a tremendous growth in readily available news related to traded assets in international financial markets. This financial news is now available through real-time online sources such as Internet news and social media sources. The increase in the availability of financial news and investor’s ease of access to it has a potentially significant impact on market stock price movement as these news items are swiftly transformed into investors sentiment which in turn drives prices. In this study, we use the Thomson Reuters News Analytics (TRNA) data set to construct a series of daily sentiment scores for Dow Jones Industrial Average (DJIA) stock index constituents. We use these daily DJIA market sentiment scores to study the influence of financial news sentiment scores on the stock returns of these constituents using a multi-factor model. We augment the Fama–French three-factor model with the day’s sentiment score along with lagged scores to evaluate the additional effects of financial news sentiment on stock prices in the context of this model using Ordinary Least Square (OLS) and Quantile Regression (QR) to analyse the effect around the tail of the return distribution. We also conduct the analysis using the seven-day simple moving average (SMA) of the scores to account for news released on non-trading days. Our results suggest that even when market factors are taken into account, sentiment scores have a significant effect on Dow Jones constituent returns and that lagged daily sentiment scores are often significant, suggesting that information compounded in these scores is not immediately reflected in security prices and related return series. The results also indicate that the SMA measure does not have a significant effect on the returns. The analysis using Quantile Regression provides evidence that the news has more impact on left tail compared to the right tail of the returns.     

Bond rating changes and stock returns: evidence from the Spanish stock market

This study analyzes the effect of corporate bond rating changes by international agencies on stock prices. This topic has not yet been analyzed for the Spanish stock market, despite the growing importance of ratings in Spanish financial markets. On an efficient market, rating changes will only have an effect if they contain some new information. The results from an event study indicate that rating actions cause significant negative abnormal returns in issuing firms around the date of the announcement. This evidence indicates an informational effect related to downgrades, which supports the hypothesis that credit rating agencies provide information that may reduce the asymmetric information problem between firms and investors. In the case of upgrades, our results are compatible with a redistribution of wealth between bondholders and owners or with the reputation hypothesis.      

Sentiment dynamics and stock returns: the case of the German stock market

We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors’ mood and subsequent stock price changes. In contrast to extant literature for other countries, a trivariate vector autoregression for short-run sentiment, medium-run sentiment, and stock index returns allows to reject exogeneity of returns. Depending on the chosen VAR specification, returns are found to either follow a feedback process caused by medium-run sentiment, or returns form a simultaneous systems together with the two sentiment measures. An out-of-sample forecasting experiment on the base of estimated subset VAR models shows significant exploitable linear structure. However, trading experiments do not yield convincing evidence of significant economic gains from the VAR forecasts, and it appears that predictability of returns from sentiment decreases during the recent market gyrations.     

Canadian stock market multiples and their predictive content

A substantial variation in the Canadian E/P ratio can be explained by a combination of the lagged level of the E/P along with variability in logical explanatory factors. Moreover E/P ratios have a predictable component, both in the short-term and longer-term. On the other hand, short-term stock market returns are unpredictable. But, consistent with U.S. evidence, longer-term returns are predictable, especially when one conditions on the dividend yield.     

Regulated absolute ruin problem with interest structure and linear dividend barrier

The uncontrolled surplus of an insurance company is a classical risk model. Now the risk model includes three features, namely debit interest, short-term and long-term invested interest, and linear dividend barrier. In this paper, the PDMP method and martingales are used for solvency studies in the risk model under regulation of minimum cash requirement. The integro-differential equations are derived for the expected discounted dividends under absolute ruin. In the case of exponential claim amounts, explicit expressions are obtained, as well as the numerical illustrations and their economic interpretation.