经济周期、货币供给周期动态影响下上市公司盈利波动和估值变动——A股市场周期波动的一个解释框架
发布时间：2018-09-11 06:20
【摘要】：采用2006～2011年的数据,对A股加权平均净资产收益率(ROE)与实际GDP同比增长率、通货膨胀率之间的相关关系,以及A股平均滚动市盈率与M1同比增长率、居民储蓄存款余额同比增长率之间的相关关系进行了实证检验。研究结果表明,上市公司的盈利周期由经济周期决定,估值波动周期由货币供给周期决定,"经济周期——货币政策——货币供给周期"三者之间形成的动态循环是A股市场周期波动的内在驱动力。利用经济周期各个阶段中经济增长、通货膨胀、货币政策、货币供应量变化分别对上市公司盈利、估值的影响,构建了一个A股市场周期波动的解释框架,并运用该框架较好地解释了2006～2011年A股市场两轮牛熊市的形成机理。
[Abstract]:Based on the data from 2006 to 2011, the correlation between the weighted average net asset return rate (ROE) of A shares and the annual growth rate of real GDP, inflation rate, and the average rolling P / E ratio of A shares and the growth rate of M1 year on year are analyzed. The correlation between the growth rate of household savings balance and the growth rate is tested empirically. The results show that the profit cycle of listed companies is determined by the economic cycle. The cycle of valuation fluctuation is determined by the cycle of money supply, and the dynamic cycle formed between "economic cycle-monetary policy-money supply cycle" is the internal driving force of the cycle fluctuation of A share market. Based on the effects of economic growth, inflation, monetary policy and money supply changes on the earnings and valuation of listed companies in various stages of the economic cycle, this paper constructs an explanatory framework for cyclical fluctuations in the A-share market. By using this framework, the formation mechanism of two bull bear markets in A share market from 2006 to 2011 is well explained.
【作者单位】： 复旦大学管理学院;中国人民大学劳动人事学院;
【分类号】：F832.51;F822;F275;F224
[Abstract]:Based on the data from 2006 to 2011, the correlation between the weighted average net asset return rate (ROE) of A shares and the annual growth rate of real GDP, inflation rate, and the average rolling P / E ratio of A shares and the growth rate of M1 year on year are analyzed. The correlation between the growth rate of household savings balance and the growth rate is tested empirically. The results show that the profit cycle of listed companies is determined by the economic cycle. The cycle of valuation fluctuation is determined by the cycle of money supply, and the dynamic cycle formed between "economic cycle-monetary policy-money supply cycle" is the internal driving force of the cycle fluctuation of A share market. Based on the effects of economic growth, inflation, monetary policy and money supply changes on the earnings and valuation of listed companies in various stages of the economic cycle, this paper constructs an explanatory framework for cyclical fluctuations in the A-share market. By using this framework, the formation mechanism of two bull bear markets in A share market from 2006 to 2011 is well explained.
【作者单位】： 复旦大学管理学院;中国人民大学劳动人事学院;
【分类号】：F832.51;F822;F275;F224
【参考文献】
相关期刊论文 前8条
1 杨高宇;;中国股市周期与经济周期的动态关联研究[J];工业技术经济;2011年10期
2 刘q，
本文编号：2235865
本文链接：https://www.wllwen.com/jingjilunwen/guojijinrong/2235865.html
