通货膨胀幻觉与中国股市估值

Inflation Illusion and the Valuation of China's Stock Market

上海A股市价格波动无法用红利与无风险利率的变化来解释。通过实证分析发现,跟传统理论相反,中国股价跟通货膨胀呈现反向关系。其原因在于Fed模型的拥护者将E/P跟名义利率进行比较来判断股市估值是否合理。文章证实了中国投资者中存在通货膨胀幻觉。通货膨胀幻觉假设在一定程度上能够解释上海A股市场价格变化,特别是该假设能解释1996—2001年的大牛市。

The paper has found the fact that the volatility of Shanghai A stock market can't be explained by the change of dividends and risk-free interest rate, which contradicts the conditional view. Through empirical work the paper suggests that there is a negative relationship between China's stock market prices and inflation. The cause is that the Fed model advocates compare the market E/P with the nominal interest rate to assert whether the stock market value is fair. The paper demonstrates that China's investors have inflation illusion. The inflation illusion can explain part of the changes of Shanghai A stock market, especially the bull market of 1996 to 2001.