再售期权、通胀幻觉与中国股市泡沫的影响因素分析

Resale Option,Inflation Illusion and the Chinese Stock Market Bubbles

泡沫意味着股价偏离了其真实价值,而真实价值由其未来现金流和贴现率决定。再售期权与通胀幻觉两因素分别从投资者对股票未来现金流分布的信念差异和对贴现率估计的偏差的角度解释股价泡沫的形成和膨胀。本文以1997—2007年我国A股上市公司为样本,利用动态剩余收益估价模型估计我国股市的基本价值进而估计股市泡沫水平和波动性;在此基础上,检验再售期权和通胀幻觉对我国股市泡沫的解释作用。本文发现,再售期权和通胀幻觉都是影响我国股市泡沫的重要因素,但是再售期权具有更强解释作用。这一结论与我国股市存在严重异质信念和严格禁止卖空的特征相吻合,也为有效监控我国股市风险提供了新的视角。

The stock bubble is defined as the stock price deviation from its real value which is determined by its future cash flow and discount rate. Stock resale option induced by heterogeneous beliefs about future cash flow and inflation illusion whereby investors mistakenly use normal discounted rates can provide coherent explanations of the bubble theoretically. Using the Chinese A shares data from 1997 to 2007, based on the bubble estimated by dynamic residual income value model, we found that the resale option and the inflation illusion do provide explanation for Chinese stock market bubble, and the resale option has more explanation power. The results coincide with the two basic characteristics of China stock market heterogeneous beliefs and restricted short sales.