中国股票市场的风险溢价与泡沫度量

(EVA)11.1(EVA)1.1.1(ex-post)(ex-ante)11989P/E6010%1.1.2(C-CAPM)Kocherlakota(1996)(EMH)Lamont,1998Blanchard,1993MehraPrescott(1985)(7%)C-CAPM(1%)2ClausThomas(2001)3%FamaFrench(2002)1951-20002.55%4.32%7.43%(1)(2)1872-19491950-1999(3)1PastorStambaugh(2001)1.21.2.113(feedbacktrading)12FriedmanLaibman(1989)3Hardouvelis(1988)1987(P)(*P)(b)bPP+=*(R)(fr)(pr)(pb)(e)ebrrRppf+++=(1+tb)(tE)tbr)1(+tttbrbE)1()(1+=+r1.2.290(misspecifiedfundamental)(FloodGarber,1980)141Shiller,1981West,19872BlanchardWatson(1982)Evans(1986)McQueenThorley(1994)fadsMcQueenThorley(1994)(durationdependencetests)1.3RRREtt=+][1(1)tEttttttpdppR/)(111++++-≡RdpEptttt++=++1][11(2)(2)∑∞=++≡1*)1(][iiitttRdEp(3)Shiller(1978)BlanchardWatson(1982)West(1987)tttbpp+=*tttbRbE)1(][1+=+(4)tb(1)(2)51.41.4.1anomaliesbBanz1981Reinganum1981NYSENYSE-AMEXKeim198312342R0.06151.4.2B62001370%1994120006ABABBABABetaBABBDIS-1EPSMCAPATURNABTURNBBVRATIOILRATIOABABABmispricingB20013BB1.4.3SarnoTaylor19991997ttttPFBe=++tPttFttBttei.i.d.0tB=tPtF70tB≠Ahmed1999Kelleher2001VARMarkovVAR2VARM2CPISAVINGSFDI(ln(M2))(CPI)(ln(SAVINGS))VAR(2)BB(ln(M2))(ln(FDI))(CPI)VAR(1)VARB1.4.4?McQueenThorley(1994)durationdependencetests1993~2002McQueenThorley(1994)Chan(1998)68Chan(1998)(1)(2)22.11.anomaliesbBanz1981Reinganum1981NYSENYSE-AMEXKeim1983BhardwajBrooks1992FamaFrench1992BV/MVLoughran1997Reinganum1981Basu919832.3.AA19951995-2001A392945.123102.22.2.111Banz1981Banz1926-1975NYSEb252Reinganum1981Reinganum1963-1977NYSE-AMEX10ReinganumCAPMmisspecification3Keim1993Keim1963-1979NYSE-AMEX1050%4Tseng1988NYSE-AMEXF5Garza-Gomez,HodoshimaKunimura1998tb11b6Brown,Keim,KleidonMarsh1983Berges,McConnellSchlarbaum1984HerreraLockwood199421FamaFrench1992Fama-MacBeth19732FantPeterson19953Loughran1997LoughranFamaFrench19922-12microstructure31CookRozeff1984122Tseng1988NYSE-AMEXF3Aggarwal,RaoHiraki19904FamaFrench1992b41Tseng1988NYSE-AMEXF2BhardwajBrooks19921967-1988NYSE-AMEXS1-S5P1-P525F2.2.211StollWhaley1983market-maker13tbCAPM2BhardwajBrooks19921982-1986P1-P5201982-1986,1967-19761977-198621Keim1983KeimJanuary-Firm-Size-EffectTaxEffectHypothesisCapitalLossKeim2Reinganum1983potentialtax-losssellingPTSPTSPTSMV1-MV10PTS1-4PTSPTS14t3Brown,Keim,KleidonMarch19834%12-17-8l74Berges,McConnellSchlarbaurn198419732-12tPTSPTS3SiasStarks1997tF12l12ltF12l1512lF124ChanChen1991NYSE195BellerNofsinger1998GARCH2.2.312A1/22/3162.32.3.111Banz1981NYSE-AMEXKeim1983BarryBrown1984ChanChenl991FamaFrench1996H1Keim1983HaugenLakonishok1988172ChanChenl991FamaFrench1992involuntaryleverageeffectFamaFrench1992FantPeterson1996H23Basu1983Reinganum1981CookRozeff1984Ba111978H34BhardwajBrooks199218StollWhaley1983H42.3.211ACAPMA()1,1,,,R---=tmtmtmtmPPPtm,Rttm,P1,P-tmtt-12market-adjustedmarketmodelCAPMtmjjtjRbaR,,~×+=tm,Rt3()tmjjtjtjtjtjRbaRRR,,,,,~AR×+-=-=tj,ARjtjajbj192bitmtititReba++=itRitaitbbmovingb31MVGarza-Gomez,HodoshimaKunimura1998FamaFrench1992MVlMV2MV3itititQP×=MVitMVititPititQit2BV/MVFamaFrench1992t-l12BV/MVlBV/MV2BV/MV3=ititMVBVit-1/it-1itBVitMVt-1203E/PCookRozeff1212FamaFrench1992t-l12E/PlE/P1E/P2E/P3E/P4/t-1/t-14PBhardwajBrooks1992PlP2P32.3.3119951995-20012A1233CookRozeff1984withingroup212.3.411tptDaDaaRe+++=22110ptR1DMV2102DMV3101D1a2D1a2a2Reiganum1983Keim1983tptDaDaDaDaDaDaDaDaDaDaDaaRe++++++++++++=12121111101099887766554433220ptR2D2103D3102D2a21223D~12D3ti,etititi,1,,mree+=-11-r21CookRozeff1984withingroupTseng19882SpearmanPearson32.42.4.112.11996~20011a2aMV1Tseng198819951a2a232.1tptDaDaaRe+++=221100a1D2DAdj2RF1995-3.381(-6.976)***0.917(1.329)1.369(1.997)**0.00372.06919964.127(9.558)***-2.032(-3.301)***-3.450(-5.649)***0.26616.121***1997-0.295(-0.842)-0.614(-1.238)-4.007e-2(-0.081)0.0130.95919982.889(7.659)***-1.732(-3.246)***-3.715(-6.963)***0.19224.28***19992.521(8.394)***-1.594(-3.752)***-3.134(-7.377)***0.18927.213***2000-0.445(-1.282)-0.303(-0.613)0.179(0.362)0.010.4782001-7.061e-2(-0.225)0.144(0.324)-0.185(-0.416)0.0030.2761995~20010.401(2.662)***-0.578(-2.704)***-1.302(-6.097)***0.02218.658***t*10**5***1ptRD1MV210D2MV31022.21a2a1a2a1a2aBV/MV12.2tptDaDaaRe+++=221100a1D2DAdj2RF1995-3.5890.8132.0940.0874.873***24(-7.505)***(1.202)(3.096)***1996-3.45(-7.069)***3.432(4.973)***3.585(5.194)***0.21917.253***1997-1.254(-3.591)***0.961(1.947)*1.229(2.501)**0.0453.447***1998-0.376(-1.193)0.785(1.762)*0.166(0.374)0.021.72719996.104e-2(0.151)0.547(0.958)2.504(4.403)***0.09610.742***20000.350(1.058)0.416(0.890)1.348(2.891)***0.0364.39**2001-3.415(-8.934)***1.226(2.267)**0.957(1.775)*0.0232.8431995~2001-0.915(-6.017)***0.752(3.497)***1.338(6.242)***0.02319.572***t*10**5***1ptRD1BV/MV210D2BV/MV3103E/P1D1E/P210D2E/P310D3E/P410D11aD22.31a2a2.3tptDaDaDaaRe++++=33221100a1D2D3DAdj2RF1995-4.2831.4131.4723.0420.1084.11***25(-5.618)***(1.539)(1.594)(3.311)***1996-1.076(-1.752)*9.558e-4(0.001)-0.499(-0.561)0.488(0.548)0.0090.39219970.166(0.413)-0.913(-1.6)-1.133(-1.971)*-0.728(-1.275)0.031.4761998-0.248(-0.395)5.953e-2(0.084)0.794(1.120)-0.227(-0.320)0.0311.75319992.901(4.871)***-2.269(-3.058)***-2.868(-3.853)***-1.331(-1.794)*0.0785.7***20002.826(5.837