股票收益率均值回归理论及数量方法研究

Research on Mean-Reversion Theory and Quantity Method in Stock Yield

随着我国股票市场日趋完善,均值回归理论在股票收益预测中的应用也日益显现。均值回归理论不仅是证券投资理论的一个历史性跨跃,亦是股票市场可预测理论的一个突破性进展。针对股票长期收益的预测问题,本文从证券投资理论的发展历程入手,对均值回归相关理论进行了梳理,评述了多种经典或前沿的数量方法,从理论和实证两个角度对股票收益率的均值回归进行了分析,找寻到了股票收益率可预测的确定性证据,并揭示了股票市场价格发现功能的实现过程,以期对均值回归理论的发展现状作出总结,旨在为其今后进一步发展提供参考。

In China, the stock market becomes more and more perfect, which makes the value of mean - reversion theory be increasingly significant. Mean - reversion theory is not only a historical leap for portfolio theory but also a break- through for predictable theory of stock market. Referring to many foreign classical literatures solving the core problem of mean - reversion, this paper forecasts the long - term stock profit by starting from the development history of portfolio theory, combs the correlation theory of mean - reversion, comments on several classical or frontier quantity methods, and analyzes the mean - reversion theory from theoretical and empirical points of view, finding the definitive evidence of fore- casting the long - term stock profit, at the same time, this paper reveals the realization process of price discovery for stock market. All above are expected to be a summary for development status of mean - reversion theory to indicate direc- tions for the future development.