资产链、可交易价值与股票短期收益分析

Capital Chain,Marketability Value and Stock's Short-term Return Analysis

根据资产链的思想提出股票可交易价值的概念,并从股票可交易过程中归纳出价格因子、流动性因子和波动性因子是股票可交易价值的主要构成因素。进而建立考虑可交易价值的单因素和多因素股票定价模型,选取中国沪深A股市场的周交易数据进行实证。结果显示:模型对中国沪深A股的短期收益具有良好的解释能力,并且在一定程度上优于Fama-French三因子模型。

After a new definition of stock＇ s marketability value was given through the thought of capital chain the paper pointed out that the price of stock, the liquidity and the volatility were the main factors which might affer the marketability value of stocks. Then, pricing models of stock＇ s marketability value with single factor and muhifactors were built and the weekly data of Shanghai and Shenzhen Stock Markets was selected to test the model. The empirical analysis shows that the new model can explain the short-term return of Shanghai and Shenzhen Stock Market and it is better than Fama -French Three Factor Model in a certain degree.