摘要
本文研究本币升值对股票价格的影响。我们发现:本币升值预期对股票市场的影响存在一个上限,该上限由本币预期升值幅度决定,而且股票价格的变化对本币升值速度的提高不敏感。在完美的资本市场上,升值预期会使得股票的市盈率一次性上涨,之后将逐步开始下降,并在升值预期结束时回到长期均衡水平。进而,可从本文理论分析得到两个推断:第一,由于本币被低估的幅度有限,本币升值不能为股票市场的大幅增长提供坚实的价值基础;第二,股票价格会在本币升值结束之前进入下降阶段。
We analyze the effect of exchange appreciation on stock prices in Chinese. Stock price dynamics rational expectation continuous time asset pricing model. It is shown that the effect of anticipated exchange is studied rate rising on asset price is bounded by a positive number. The bound is determined by the expected amount of exchange rate appre- ciation and is a small number in empirical literature. Taking the stable fundamental factors into consideration, we con- clude that the high price earning ratio from 2006 to 2007 can not be supported by the story of RMB appreciation. Stock price will fall before the appreciation goes to termination in our setting.
出处
《经济与管理研究》
CSSCI
北大核心
2010年第8期97-105,共9页
Research on Economics and Management
关键词
本币升值
股票定价
市盈率
热钱
RMB Appreciation
A - Share Pricing
P/E Ratio
Hot Money
