我国A股股市零贝塔率估计值究竟说明了什么?

What do the Estimates of the Zero-beta Rate of China's A-share Market Tell Us?

本文通过分析认为,我国A股股市零贝塔率由我国A股上市公司的长期经营业绩和长期成长能力决定,并基于我国A股股票的月度收益数据计算出了我国A股股市零贝塔率的估计值。这个估计值不仅明显低于相同期限的定期存款和国债的收益,而且小于1(也就意味着我国A股股市净零贝塔率为负值),这充分表明了我国A股上市公司长期经营状况和长期成长能力的欠佳程度。本文还通过分析表明,在市场组合净收益期望值为零的条件下,只要我国A股股市净零贝塔率小于零,股价泡沫和股价同涨同落现象就能够自我形成。

This paper argues that the zero-beta rate of China＇s A-share market can function well as an indicator of A-share listed corporations＇ average long-run performance. Furthermore, we have eventually obtained the estimator of the zero-beta rate of China＇s A-share market by employing a computational method suggested by Guofu Zhou on the basis of monthly realized gross returns on all of the A-shares available in the sample period. The estimator mentioned is not only obviously less than the return both of the fixed deposit and the T-bill with the same time limit, but also implies the net zero-beta rate of A-share market being a negative value. Such unusually small value of the estimator indicates the poor performance of China＇s A-share listed corporations. The article also points out that under the condition of the presence of a negative net zero-beta rate of A-share market and a nearly-zero expected net return on the market portfolio, the widely shared co-movement of stock prices and stock price bubbles can be self-motivated.