中国A股市场存在理性泡沫吗?——基于供给方法的直接检验

Is There a Rational Bubble in A-Share Market?——A Direct Test from Supply Approach

本文提出一种直接检验股票市场理性泡沫的供给方法:基于企业经理人的生产性投资行为来确定企业的基本面价值。根据投资的欧拉方程,由企业当期投资率推断其投资的边际成本进而得到边际价值,再构造代表企业资产基本面价值的估计平均q和代表企业市场价值的平均q,通过检验两者差额是否显著为0来判断企业市场价值中是否存在泡沫。检验结果表明:我们没有发现支持1998—2016年A股市场总体存在泡沫的证据,但是不能排除在2014—2015年可能存在正向泡沫。

We propose a method which can directly test rational bubble from supply approach:the fundamental value of the firm is determined by the manager’s productive investment behavior.According to the Euler equation of investment,the marginal cost of investment can be inferred from the current investment rate of the firm,and then the margin q can be obtained.Further,by testing whether the difference between the average q and the estimated average q which represent the market value and the fundamental value of the firm is significantly zero,we can judge whether there is a bubble in the market value of the firm.