中国A股市场过度波动之谜——基于日个股回报率的实证研究

本文首次基于方差差(Variance Difference)指标对股票回报率过度波动进行量化,并分别运用组合研究和Fama-Macbeth回归的方法,从过度波动与股票回报率之间关系的角度研究了中国A股市场的过度波动现象。基于1995-2010年A股日回报率的实证结果表明,A股市场日回报率波动中存在投资者过度反应导致的过度波动,过度波动带来的额外风险"驱逐"了风险回避的理性投资者,使得股市出现低估。通过每月买入过度波动最大的20%股票,同时卖出过度波动最小的20%股票,能获得显著为正的超额收益,并且该超额收益不能被市场风险所解释。     

股票收益率与通胀关系的实证研究

本文基于费雪理论,使用1991-2010年的月度数据对中国股市的收益率与通货膨胀率之间的关系进行实证分析,并进一步检验各行业股票对通胀风险的防御效果。研究结果表明,总体上股票收益率与通胀率显著负相关,即股票不是持续高通胀时期的有效保值工具,但是在材料、医药和消费等行业仍具有较好的通胀防御效果。     

Fama-French模型在我国股票市场中的实证研究--以上证50指数为例

随着我国证券市场的发展,对于股票回报率的研究也日渐深入,本文采用Fama-French模型,基于上证50指数,对股票回报率进行时间序列回归检验,分析了影响股票回报率的几个因子[1]。分析结果表明:Fama-French模型中的三个因子能较好的解释股票回报率的波动,股票回报率与市场资产组合的收益率呈正比,表现出规模效应和价值效应;股票回报率与公司市值成反比,较小规模的公司比较大规模的公司回报率的差越小,那么股票回报率就越大;股票回报率与公司账面价值和市场价值的比值呈正比,较高的账面价值和较低的市场价值会带来更高的股票回报率。     

对期权平价关系实证性研究和中国股票期权市场分析

期权平价公式反映了欧式看涨和看跌期权之间的一种平价关系,如果市场价格与这种平价关系不相符合,投资者就可能获得无风险套利的机会。在价格有效的证券市场上,这种无风险套利的机会是不存在的。本文将对中国证券市场上股票期权的价格及其相应股票价格之间的关系进行分析,检验现实数据是否符合期权平价关系,给出相应解释,以反映和分析中国股票期权市场的现状。     

壳溢价:错误定价还是管制风险？

IPO审核制下,上市公司凭借稀缺的上市资源获得真实价值以外的壳价值。本文检验了上市公司壳价值含量(ESV/MV)与股票横截面收益的关系。在控制了规模、账面市值比、盈利、投资等特征后,我们发现壳价值含量与股票回报率显著正相关。根据ESV/MV构造的对冲组合在时间序列上存在无法被现有风险因子模型所解释的超额收益(壳溢价)。进一步检验表明,壳溢价来源于与管制政策相关的系统性风险而不是股票市场的错误定价。     

中国股票市场流动性与回报率研究——基于AM模型的上证领先指数实证分析

流动性是进行金融资产定价的核心所在,缺乏流动性的金融资产,其价值必将贬值甚至失去存在的价值.文章借鉴国外学者对股票市场的流动性与回报率的研究成果,运用Amihud&Mcndelson模型原理,选取上海证券交易所1997年1月1日至2009年12月31日的交易资料,使用以价格冲击为主的流动性指标,实证检验了中国证券市场流动性风险与股票回报率的相关关系,并找出中国股票市场中流动性对股票定价的影响.     

资本回报率对美元汇率中长期周期性波动的影响研究——基于ARDL模型的实证分析

针对美元指数中长期的周期性波动现象,本文提出一种新的解释假说:美元指数的变化是由对美国国内资本回报率预期的变化引起的;对美国国内资本回报率预期的周期性波动引起了美元指数的周期性波动。本文针对这一假说,基于无约束误差修正模型对资本回报率预期与美元指数进行了边限检验,并通过建立长期动态关系方程ARDL及与此相联系的短期动态误差修正方程ARDL-ECM,进行了定量关系分析。实证研究结果表明:首先,美元指数与资本回报率预期之间存在稳定的长期关系;其次,资本回报率预期对美元指数走势存在单向的、稳定的影响力。资本回报率预期对美元指数中长期周期具有显著性的单向影响。这一发现显示,美元汇率波动并不主要是一种数量货币现象,而是一种真实经济活动状态的反映,是在市场经济条件下,资本逐利驱动技术创新与扩散引起的资本周期性流动的内生现象。     

CAPM模型在中国资本市场中的实证检验

本文采用中国上海资本市场的交易数据对资本资产定价模型(C A PM)的适用性进行了两个方面的检验:资产的风险和收益之间是否存在线性关系;资产的风险和收益是否正相关。结果发现:2010年1月1日至2016年1月1日期间,上海资本市场股票组合的平均超额收益率与其系统风险之间存在正相关关系,与非系统风险不存在显著的线性关系,基本符合标准形式的CAPM。     

市场轮动模型与资产配置问题初探——以股市、债市和大宗商品市场为例

金融市场是宏观经济的"晴雨表",其运行受到宏观经济的影响。通过对宏观经济和金融市场间轮动效应的研究,有利于投资者进行合理的资产配置。本文首先从理论上分析宏观经济及市场轮动的运行机制,通过相关数据对股票、债券和大宗商品等金融市场的价格之间存在的轮动关系进行了实证分析。结果表明,三个市场间存在轮动关系,并根据此关系给出资产配置建议。     

房价和房租

本文以国家出台多项房地产调控政策以来住房租金大幅上升为背景,首先,对衡量买房还是租房合算的购租比进行理论分析。其次,分析了住房真实投资回报率与名义投资回报率之间的关系。再次,着重分析了近期一线城市住房租金暴涨的原因。综合以上分析得出近期住房租金大幅上升具有必然性的结论。最后,提出了应对租金暴涨的对策建议。     

Common stock returns,real activity,money, and inflation: Some international evidence

This paper tests whether the negative relationship between real stock returns and inflation in the United States is in fact proxying for a positive relationship between stock returns and real activity variables in six major industrial countries over 1966–1979. Consistent with Fama's ‘proxy-effect’ hypothesis, we document a negative relationship between inflation and real activity and a positive one between real stock returns and real activity variables. Real activity variables dominate money growth rates and expected and unexpected inflation in explaining real stock returns. A puzzling result that still remains is the positive role of money and the negative role of expected inflation in explaining these real stock returns in all major industrial countries.     

实际股票收益率与通货膨胀率关系的实证研究

股票收益率与通货膨胀率之间的关系至今仍无定论.采用1991年1月到2011年8月的月度数据,运用VAR模型对我国的股票收益率与通货膨胀率之间的关系进行实证分析,结果发现不论是预期的通货膨胀还是非预期的通货膨胀与股票实际收益率都是负相关关系.表明费雪效应在我国不成立,股票并不是对冲通货膨胀风险的理想工具.     

Stock Market Returns and Inflation: Evidence from Other Countries

This paper investigates the relation between common stock returns and inflation in twenty-six countries for the postwar period. Our results do not support the Fisher Hypothesis, which states that real rates of return on common stocks and expected inflation rates are independent and that nominal stock returns vary in one-to-one correspondence with expected inflation. There is a consistent lack of positive relation between stock returns and inflation in most of the countries.     

Stock returns,inflation and interest rates in the United Kingdom

The Fisherian theory of interest asserts that a fully perceived change in inflation would be reflected in nominal interest rates and stock returns in the same direction in the long run. This paper examines the Fisherian hypothesis of asset returns using alternative techniques of linear regression, and vector error correction models to examine the nature of the relationship between stock returns and inflation in the UK. Consistent with the Fisherian hypothesis, empirical evidence in the linear regression model suggests a positive and statistically significant relationship between stock returns and inflation, which regards common stock as a good hedge against inflation. The results based on the unit root and cointegration tests indicate a long-run reliable relationship between price levels, share prices, and interest rates which could be interpreted as the long-run determinants of stock returns. The findings also suggest a bidirectional relationship between stock returns and inflation. The evidence of a significant Fisher effect is robust across model specifications.     

Expected Inflation, Interest Rates, and Stock Returns

This paper documents a long-lived asymmetrical relationship between interest rate changes and subsequent stock returns. Drops in interest rates are followed by twelve months of excess stock returns, while increases in interest rates have little effect. The results are robust to the choices of short-term interest rate and stock index. These findings cannot be explained by Geske and Roll's [10] reversed causality argument; nor do they appear to result from periods of unusual interest rates or stock returns. Since interest rate changes are generally used as proxies for changes in expected inflation, the results provide new insights into previous research on inflation and stock returns, and there are important implications for the literature on time-varying risk premia.     

Stock Prices and Inflation: New Evidence from the Pacific-Basin Countries

This paper investigates the statistical relationship between stock prices and inflation in nine countries in the Pacific-Basin. On balance, regression analysis on the nine markets shows negative relationships between stock returns in real terms and inflation in the short run, while co-integration tests on the same markets display a positive relationship between the same variables over the long run. The time path of the response of stock prices plotted against corresponding changes in consumer price indices validates this dichotomy in time-related response patterns of stock prices to inflation; namely, a blip of negative responses at the beginning changes to a positive response over a longer period of time. Stock prices in Asia, like those in the U.S. and Europe, appear to reflect a time-varying memory associated with inflation shocks that make stock portfolios a reasonably good hedge against inflation in the long run.     

STOCK MARKET SIGNALS OF CHANGES IN EXPECTED INFLATION

This paper examines the relationship between stock returns and several measures of expected inflation. The proxies include the inflation forecasts extracted from U.S. Treasury bill yields, the mean forecast of surveys conducted by the Institute for Social Research, and the predictions from a rolling time-series model. Unlike recent studies, there does not appear to be a significant negative relationship between stock returns and expected inflation at the beginning of the period. The results are consistent with the hypothesis that stock returns signal changes in expected inflation.     

对我国股票收益率与通货膨胀率关系的解释：1992-2007

股票收益率和通货膨胀率之间既可以正相关,也可以负相关。如果通货膨胀率的上升动力来自于供给冲击,那么两者负相关;如果来自于需求冲击则正相关。同一时期的正负相关关系取决于供给和需求冲击动力的相对重要性。对我国1992年5月至2007年8月实践的检验表明,整个样本期间内股票收益率和通货膨胀率相关性不明显。在1992年5月至1999年12月期间,供给冲击大于需求冲击的影响,导致股票收益率和通货膨胀率负相关,但2000年1月至2007年8月,同样是供给冲击大于需求冲击的影响,却导致两者正相关。其中的原因在于,2000年后国民经济中供需结构失衡,名义上的供给冲击转变成实际上的需求冲击,从而导致股票收益率和通货膨胀率正相关。政策当局在吸收过多流动性的同时,应加快经济结构调整,从根本上解决供需失衡问题。     

Stock returns,velocity dynamics and inflation volatility

ABSTRACT

Our model relates the variability of stock returns to the variability of consumption velocity and shows that real stock returns tend to co-vary negatively with expected inflation in a period (or regime) of low and stable inflation and to co-vary positively with expected inflation in a period (or regime) of high and volatile inflation. Long-run real stock returns are shown to be positively related to expected inflation. Our empirical results for 20 countries provide consistent support for our propositions, indicating that the standard deviation of the annual inflation rate roughly equal to 10% is the dividing line between negative and positive return-inflation relations.     

THE RELATIONSHIP BETWEEN THE VARIABILITY OF INFLATION AND STOCK RETURNS: AN EMPIRICAL INVESTIGATION

Several researchers find a negative correlation between the rate of inflation and stock returns. This phenomenon may be explained by the variability hypothesis, which posits that the negative correlation is caused by the combination of a positive relation between the rate of inflation and the variability of inflation and a negative relation between the variability of inflation and stock returns. An autoregressive conditional heteroscedastic model of inflation is used to measure the variability of inflation. Empirical results do not support the ability of the variability hypothesis to explain the negative correlation between stock returns and inflation.