可交易价值与股票短期收益分析——基于不同市场环境的实证研究

Marketability Value and Stock's Short-term Return Analysis——The Empirical Study based on Different Market Environment

通过对股票可交易过程的分析,提出可交易价值的概念并指出价格、流动性和波动性是构成可交易价值的主要因素,并在CAPM模型的基础上建立考虑股票可交易价值的资本资产定价模型。运用横截面回归法分别对我国沪深A股市场处于熊市和牛市阶段的行业日交易数据进行实证分析,指出以日风险收益率为代表的股票短期预期收益率不仅与传统系统风险因子有关,还受可交易价值中价格因子、流动性因子和波动性因子影响。并且,在不同市场环境下,可交易价值各因子的表现形式也不同,既反映出市场及投资者不同的心理预期,也为市场预测和监管提供了一种新的途径。

After the analysis of stock＇s marketability process, the paper gives a definition of capital assets＇ mar- ketability value, points out that the price of stock, the liquidity and the volatility are the main factors which may af- feet the marketability value of stocks. Then, a capital assets pricing model with the marketability value is built based on CAPM and two sets daily data of Chinese Shanghai and Shenzhen Stock Markets which are selected from different market environment are used to test the model. The empirical analysis shows that the new model can ex- plain the daily return of Shanghai and Shenzhen Stock Market and the marketability value of stocks will show differ- ent characteristic under different market environment, which maybe help us to analyze the expectation of investors or monitor the trend of stock market.