Fama非理性泡沫在中国股票市场的检验及预测

Research on the Test and Prediction of Fama Irrational Bubble in China’s Stock Market

2014年,Fama提出了非理性泡沫理论,即股票或投资组合的价格大幅度上涨,并不意味着其在未来一定具有异常低的平均收益率。为了验证Fama非理性泡沫理论在中国股票市场的适用性,本文选取2000~2019年中国行业相关数据对Fama非理性泡沫进行检验,同时选择8个特征变量对未来股票发生崩盘事件的可能性以及股票未来收益率进行预测。研究结果表明,Fama的观点是正确的,未来的收益率在很大程度上是不可预测的,行业投资组合的价格大幅上涨并不意味着未来异常低的收益率,而预示着股票未来崩盘事件发生的可能性会大幅增加。同时,与价格上涨后股票未发生崩盘的事件相比,发生崩盘事件对应的行业股票往往具有较小的涨跌幅、较高的换手率、较大的成交量、较低的市净率、较低的市盈率以及较快的收益率下降速度。此外,利用这些变量可以实现对未来收益率的联合预测,从而帮助投资者在一定程度上有效地避免股票崩盘。

In 2014,Fama proposed the irrational bubble theory,that is,if one looks at stocks or portfolios that have gone up substantially in price,then,going forward,the rate of return on average is not unusually low.In order to verify the applicability of Fama’s conclusion in China’s stock market,this paper selected relevant data of China’s industry from 2000 to 2019,and then selected eight characteristic variables to predict the possibility of future stock crash events and future rate of stock return.The results show that Fama is right that future rate of stock return is largely unpredictable,and such sharp price increases predictes a substantially heightened pro-bability of a stock crash but not of further low rate of stock return.At the same time,compared with the event that did not happen stock crash after the price rose,the industries’stock of event that happened stock crash often had smaller fluctuations,higher turnover rate,higher turnover,lower P/B ratio,lower P/E ratio and faster decline in rate of reture.In addition,these attributes also can predict future return,which can help investors effectively avoid a stock crash to some extent.