中国流通A股市场投资者实现回报率研究

The Research of Investors' Realized Rate of Return in Chinese Stock Markets

现实中的股票市场不可能完全符合资本市场有效性假设，因而把股票成交价格看作是股票的市场价值，并据此计算股票投资回报率的传统做法存在着明显的弊端。投资者实际实现的回报率对现实股票市场，特别是规范程度很低的我国股票市场的研究具有重要意义。本文提出了无需完全有效市场假设的现金概念及以此为基础的投资者实现回报率概念，并给出了现有条件下的投资者回报率计算公式和沪深两市的计算结果。

The actual stock markets are by no means the ideal ones in terms of the efficient market hypothesis, therefore it is apparently inappropriate to take the stock's price for its market value and then calculate the return of investment in the stock. In fact, the investors' realized return is of vital importance to the research of the actual stock markets, especially those nonstandard ones in China. The paper puts forward the investors' realized return based on the cash concept which doesn't need to rely on the terms of perfect efficient market, and gives out the formulae and contrastive results of the stocks in Shanghai and Shenzhen stock markets.