股票定价动态演化方程的理论框架和实际应用

发布时间：2018-05-20 06:31

本文选题：市场估值泛函 + 动态演化方程　；参考：《上海交通大学》2013年硕士论文

【摘要】：本文首先通过主观效用预期理论和资本市场一致预期，在连续时间框架下得到市场估值泛函的现金流折现积分基本定理，这等价于折现现金流模型。利用市场估值泛函对时间求全微分，我们推导出股票定价的动态演化方程。基于各种形式的动态演化方程，我们从行为金融学角度详细讨论了其中的现金流项、折现率项、现金流变化项、折现率变化项在金额尺度、时间尺度上的变化特征。这些变化特征又可以分解为趋势项、波动项、跳跃项之和，在形式上这相当于列维随机过程的列维伊藤分解和列维欣钦表示。在资本市场完全预期的假设下，根据条件稳态演化方程，我们给出了折现率应当满足的完全约束，这等价于公司财务中加权平均资本成本的定义。针对不同的现金流范式，，我们给出不同的股价演化规律；尤其是对于成长股估值溢价现象，我们给出了成长风险溢价因子的分析框架；这有助于我们从超额增长率、超额折现率的角度理解估值溢价的来源。但我们认为，由于资本市场一致预期会随时发生改变，假设下的条件演化规律并不符合真实的资本市场。因此我们详细讨论了现金流变化项、折现率变化项在资本市场中表现出来的共变性、相关性和情绪传染特征。这些特征体现为总收益率的系统性变化和非系统性变化以及相应的风险，根据资本资产定价模型将最终反映在折现率之中。我们进一步讨论了alpha和beta的来源、特征和估计方法。最后，我们通过时间加权插值递归法估算现金流变化项、折现率变化项，进而得到全市场隐含折现率一致预期函数的时间序列。这些理论框架、实证研究、实践方法对于公司合理估值、预测个股和市场走势、理解股价动态演化方程具有重要而现实的意义。
[Abstract]:In this paper, through the theory of subjective utility expectation and the consistent expectation of capital market, the basic theorem of discounted cash flow integral of the market valuation functional is obtained under the continuous time frame, which is equivalent to the discounted cash flow model. Using the market valuation functional to solve the total differential of time, we derive the dynamic evolution equation of stock pricing. Based on various kinds of dynamic evolution equations, we discuss in detail the characteristics of cash flow, discount rate, cash flow change and discount rate change on the scale of amount and time scale from the point of view of behavioral finance. These characteristics can be decomposed into the sum of trend term, fluctuation term and jump term, which is equivalent to Levigne Ito decomposition and Levi Hsin Chin's expression in form. Under the assumption of complete expectation of capital market, according to the evolution equation of conditional steady-state, we give the complete constraint that the discount rate should satisfy, which is equivalent to the definition of weighted average capital cost in corporate finance. For different cash flow paradigms, we give different stock price evolution rules, especially for the growth stock valuation premium phenomenon, we give the growth risk premium factor analysis framework, which helps us from the excess growth rate. Understand the source of the valuation premium from the perspective of the excess discount rate. However, we believe that because the capital market is expected to change at any time, the conditional evolution law under the assumption does not accord with the real capital market. Therefore, we discuss in detail the covariance, correlation and emotional contagion characteristics of the cash flow change and discount rate change in the capital market. These characteristics are reflected in the systematic and non-systematic changes of the total return rate and the corresponding risks, which will eventually be reflected in the discount rate according to the capital asset pricing model. We further discuss the sources, characteristics and estimation methods of alpha and beta. Finally, we estimate the term of cash flow and discount rate by time weighted interpolation recursive method, and then obtain the time series of the uniform expected function of implicit discount rate in the whole market. These theoretical frameworks, empirical studies and practical methods have important and practical significance for the reasonable valuation of companies, the prediction of individual stocks and market trends, and the understanding of the dynamic evolution equations of stock prices.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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