基于FCF模型的恒瑞医药价值评估

本文利用上交所上市公司数据，采用自由现金流折现（FCF）模型对恒瑞医药的股票每股价值进行了评估。研究表明：2012年度恒瑞医药的股票每股价值为38元左右，与实际每股价格相符合，采用FCF模型对上市公司进行估值具有可行性，对投资者理性投资也有一定指导作用。     

大城市房地产价格中短期趋势研究——以东部某市为例

目前,新建商品住宅价格的预测多采用时间序列分析等计量经济分析和基本面分析方法,预测效果通常并不理想。考虑到新建商品住宅与期货产品、股票等金融产品的相似性,本文采用金融研究领域中的供需基本面分析、波浪理论与技术指标分析相结合的方法,研究新建商品住宅价格的中、短期走势,为新建商品住宅价格的预测探索一条新的路径。     

基于注意力机制的LSTM股价趋势预测研究

针对中国股票市场,提出了一种基于注意力机制的LSTM股价趋势预测模型。选取42只中国上证50从2009年到2017年的股票数据为实验对象,根据股票市场普遍认可的经验规则,分别对每个技术指标进行量化处理得到股票涨跌的趋势数据,并和交易数据混合作为预测模型的输入,然后使用基于注意力机制的LSTM模型提取股价趋势特征进行预测。实验结果表明:引入股票离散型趋势数据到预测模型中,能够在已有交易数据和技术指标的基础上提升预测精确度,与传统的机器学习模型SVM和单一的LSTM模型相比,基于注意力机制的LSTM模型具有更好的预测能力。     

流动性的股票特征——基于中国证券市场的经验数据分析

在对流动性内涵认识的基础上,本文提出股票流动性的本质是股票与现金之间相互转化的能力,满足的是投资者正常的交易需求。从流动性的公司规模和成交金额特征、流动性与股价的关系和流动性水平的稳定性三个方面理论探讨和实证检验了流动性的股票特征,研究结果表明：（1）公司规模一定,可实现的成交金额越多,流动性越好;成交金额一定,公司规模越大,流动性越好;（2）股票的价格与股票流动性之间具有显著的正相关关系;（3）流动性水平在一定时期内具有稳定性。     

现金股利、股票股利、混合股利之比较研究

本文对中国上市公司三种股利分配方式进行了独立样本t检验与判别模型的分析.实证结果发现,现金股利公司与股票股利公司相比,盈利性较强而成长性较弱;混合股利公司的成长性居于二者之间,盈利性优于股票股利而与现金股利公司无异.判别模型对现金股利与股票股利的判别效率较高但对混合股利判别效率则相对较差,说明现金股利与股票股利的特征差异较为明显而混合股利的特征区分较为模糊.另外,三种股利分配方式均显示出显著的历史继承性,说明上市公司股利政策具有一定的稳定性.     

Black-Scholes模型在股票定价中的应用

传统的红利贴现模型在对股票定价的过程中,存在着不能精确地确定投资者的预期收益率和未来支付的现金股利的不足。公司的权益资本(股票)具有期权的特性,公司的股票实质上是基于公司价值的看涨期权,该期权的执行价格就是公司债券到期时的还本付息的金额。于是可以用期权定价模型来进行股票定价。该方法不需要估计未来的现金股利和投资者的预期收益率,在一定程度上克服了传统股票定价方法的缺陷。     

股票期权在我国的实践状况分析

<正> 一、股票期权的内涵与实施意义 股票期权是指企业所有者向企业经营者提供的一种在一定期限内按照某一既定价格购买一定数量的本公司的股票。股票期权是企业所有者赋予经营者的一种特权,这种权利不能转让;但所购的股票能在市场上出售,经营者可以获得行权当日股票市场价格和行权价格的差价。股票期     

浅析经营层股票期权会计问题

股票期权是指企业给予持有者在特定的时间内以事先确定的价格购买一定数量本企业股票的权利。事先确定好的购买价格叫行权价格,在实践操作中行权价格有可能与公司授予期权股票市场价格相等,也有可能不等,不等时行权价格一般比市场价格低。当企业的经营状况良好,股价上涨,经理人员就可以在规定的期限内以股票期权的行权价格购买本企业股票,成为本企业股东,并取得股票期权收益,收益金额为行权价与行权日的市场价格之差。如何对股票期权进行会计核算呢?股票期权会计主要解决股票期权是否应在表内核算,如果在表内核算,则涉及对期权费用进行确认…     

基于博弈的股票期权制的分析

一、股票期权激励机制的内涵及各利益主体的利益取向 股票期权本质上是一种金融衍生工具,是指买卖双方按约定的价格在特定的时间买进或卖出一定数量的某种股票的权利,当股票期权合约到期时,合约双方当事人就必须以事先约定的价格执行合约。将股票期权引用到企业管理中来激励公司高层管理人员就形成了股票期权激励制度,它是指企业公司管理者在与企业所有者约定的期限内（如5—10年）享有以某一预先确定的价格（行权价）购买一定数量本企业股票的权利。     

期权定价模型在企业股权计价中的应用

期权作为一种金融衍生工具,其产生和发展为企业套期保值、防范价格风险提供了可选择的工具,丰富了金融市场交易内容。传统股利折现模型在股票定价过程中不能精确确定投资者的预期收益率和未来现金股利,因而存在一定的缺陷和偏差。股票具有期权的特征,本质上是基于公司价值的看涨期权。因此,期权定价模型为公司股权计价提供了新思路。     

灰色GM(1,N)方法在股票预测中的应用

对股票价格的预测,直接影响投资者的投资决策,与投资者的经济利益密切相关。股票市场特有的的波动性和不确定性,给股票的预测带来困难。20世纪80年代兴起的灰色系统理论,应用于股市预测的探索已经取得一定成就,已经采用过GM(1,1)模型、灰色神经网络模型、以及灰色马尔可夫模型等预测方法。文中拟采用GM(1,N)模型对股票价格进行预测,并与GM(1,1)模型进行比较,证实了GM(1,N)拥有更好的精度。     

投资者信念异质性和适应性对股市价格的影响

考察了异质性信念、具有适应性的交易者相互作用下股市价格行为。通过数字模拟,分析实际市场上常用的价值分析和技术分析策略对价格动力学的作用,说明不同参数对价格行为的影响。     

Forecasting solar stock prices using tree-based machine learning classification: How important are silver prices?

Solar energy is one of the fastest growing sources of electricity generation. Forecasting solar stock prices is important for investors and venture capitalists interested in the renewable energy sector. This paper uses tree-based machine learning methods to forecast the direction of solar stock prices. The feature set used in prediction includes a selection of well-known technical indicators, silver prices, silver price volatility, and oil price volatility. The solar stock price direction prediction accuracy of random forests, bagging, support vector machines, and extremely randomized trees is much higher than that of logit. For a forecast horizon of between 8 and 20 days, random forests, bagging, support vector machines, and extremely randomized trees achieve a prediction accuracy greater than 85%. Although not as prominent as technical indicators like MA200, WAD, and MA20, oil price volatility and silver price volatility are also important predictors. An investment portfolio trading strategy based on trading signals generated from the extremely randomized trees stock price direction prediction outperforms a simple buy and hold strategy. These results demonstrate the accuracy of using tree-based machine learning methods to forecast the direction of solar stock prices and adds to the broader literature on using machine learning techniques to forecast stock prices.     

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。     

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.     

The lag structure of option price

The price of common stock warrants do not adjust immediately to changes in common stock prices. This lag is inconsistent with the ‘efficient market’ hypothesis. Based on daily closing prices this lag was measured and found to be a combination of the adjustment to stock price and to the adjustment of ‘other’ variables, i.e., positive serially correlated disturbance terms. A single equation model simultaneously estimating the parameters of the serial correlation and the coefficients of the lagged stock price indicate a substantial deviation from efficiency. Various simple strategies designed to exploit this lag are then tested.     

股票价格低于每股净资产的影响因素分析——来自中国A股上市公司的经验证据

破净指股票价格跌破每股净资产,是股票价格与每股净资产关系的一种极端表现。本文以1 059家A股上市公司为样本,采用修正的Ohlson模型,分组对股价破净的影响因素进行研究。结果发现:对于业绩为正的非ST企业而言,公司规模大、上市时间早、机构投资者持股比例低的国有企业容易破净;ST企业的股票价格虽下跌,但其重组捷径和壳资源改变了投资者的预期,使ST企业不破净或较少破净。     

Stock prices and monetary policy shocks: A general equilibrium approach

Empirical literature documents that unexpected changes in the nominal interest rates have a significant effect on real stock prices: a 100-basis point increase in the nominal interest rate is associated with an immediate decrease in broad real stock indices that may range from 2.2 to 9%, followed by a gradual decay as real stock prices revert towards their long-run expected value. We assess the ability of a general equilibrium New Keynesian asset-pricing model to account for these facts. We consider a production economy with elastic labor supply, staggered price and wage setting, as well as time-varying risk aversion through habit formation. We find that the model predicts a stock market response to policy shocks that matches empirical estimates, both qualitatively and quantitatively. Our findings are robust to a range of variations and parametrizations of the model.     

Price effects of steel commodities on worldwide stock market returns

We analyze the price effects of steel commodities on stock market returns in emerging and developed economies. These commodities have recently attained increased media exposure due to the rise in the U.S. steel import tariffs, which pose the threat of reducing global demand for steel products and, consequently, lowering prices abroad. However, little has been investigated on the impact of steel commodity prices on worldwide stock market returns. By performing structural VAR and GARCH techniques on a weekly-frequency time series from 2002 to 2015, we find positive and statistically significant effects of linear and non-linear steel commodity price shocks on real stock returns in the commodity markets. In the highly diversified financial markets such as U.S. and Germany, real stock returns do not significantly respond to steel commodity price shocks, although we find highly significant positive responses from developed economies such as Australia, Japan and South Korea. Results are robust to different model specifications. Our evidence suggests that higher tariffs on steel imports represent a larger disadvantage to commodity markets which are more largely impacted by steel commodity prices. We provide economic policy implications based on recent literature.     

中国城市土地市场存在“赢者诅咒”吗？

借鉴相关研究成果,构建一个综合性的时间窗口分析模型,利用我国境内房地产上市公司在20个城市购置的205宗土地作为样本,设置前向与后向共八个事件窗口,定量考察土地市场价格信号对股票市场的影响。实证结果表明：土地市场与股票市场是两个高度关联的市场,两个市场之间存在信号传递作用,短期内具有正向冲击效应,地价信号在土地出让后能够在短期内影响股票收益率,形成对股票价格的短期冲击效应;土地出让价格信号对股票市场的影响具有时间上的不对称性,地价信号对于股票收益率的影响主要发生在土地成交之后,股票市场对于土地竞拍以前的信息没有明显响应;土地市场所发现的价格信号是关联市场价格波动的信号源,改变竞价人的预期是市场稳定的关键。