股票非预期收益理论与实证研究——基于中国股票市场的检验

发布时间：2018-05-16 02:31

本文选题：股票非预期收益 + 总风险　；参考：《投资研究》2014年07期

【摘要】：本文建立了基于Williams(1938)的股票非预期收益定价模型,本文提出了两个新的度量变量,即表示股票每股收益增长的理性预期相联系的变量δEepst/Pt-1以及市场情绪变量URM,在此基础上,本文建立了多变量回归模型,并采用2002年1月至2008年12月间中国股票市场的有关交易数据、机构收益预测数据和财务数据,来检验理论模型和实证模型的预测,发现:(1)总风险与系统风险不能解释股票非预期收益,和Chambers等(2005)的结论相反,与非预期收益有关的总风险与系统风险也不能解释股票非预期收益。(2)当期非预期会计收益期初价格比epst/Pt-1、表示每股收益增长的理性预期相联系的变量δEepst/Pt-1以及市场情绪变量URM构成的三因素变量定价模型可以解释股票的非预期收益。
[Abstract]:In this paper, we establish a pricing model of stock unanticipated income based on William's 1938. We propose two new variables, 未 Eepst/Pt-1, which are the rational expected variables associated with the growth of stock earnings per share, and urm, which is the market sentiment variable. In this paper, a multivariate regression model is established to test the theoretical model and empirical model by using the relevant trading data, institutional income forecast data and financial data from January 2002 to December 2008 in China stock market. It is found that the total risk and the system risk cannot explain the unexpected return on the stock, which is contrary to the conclusion of Chambers et al. 2005. The total risk and system risk associated with unanticipated earnings also cannot explain the unanticipated return of stocks. 2) the current unanticipated accounting earnings start price ratio to epst / Pt-1, the variable 未 Eepst/Pt-1 associated with rational expectations of earnings per share growth, and market conditions. The three-factor variable pricing model composed of URM can explain the unexpected return of stock.
【作者单位】：贵州财经大学科研处;
【基金】：国家自然基金重点项目(71232004) 贵州省科学技术基金(黔科合J字[2013]2088号)的资助
【分类号】：F224;F832.51

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