分析师行为对房地产股票泡沫影响的量化分析

Quantitative Analysis to the Influence of Analysts' Performance on the Intensity of Stock Bubbles

从行为金融学角度实证分析了中国A股市场上的股票泡沫大小受股票分析师覆盖率及分析师权威性等因素的影响,并且对股票泡沫变化进行一系列探索性分析。首先提出了近似量化股票泡沫的几种方法,随后利用分析师覆盖率和股票评级等因素对股票泡沫做回归分析,检验其显著性。同时,将显著因素以外生变量信息冲击形式分别尝试带入GARCH衍生模型,并通过一系列的调整,建立以每日基准收益率为基础的修正GARCH模型,预测文中所定义的股票泡沫率。

The influence of the analysts＇ coverage on the intensity of stock bubbles on the Chinese A-share Market was analyzed from the perspective of behavioral finance. A series of explorative researches were also made on the ways to take advantage of stock bubbles. Two methods to adjust the existing models to quantifying the intensity of stock bubble were proposed, and regression analysis was made to test the influence of factors like analysts＇ coverage and ranks on the intensity of stock bubbles. We turned the significant factors into the form of exogenous variables that can be expressed in the GARCH-M model as the impact of new information. We also adjusted the daily log-premium to daily over-intensity log-premium.