Using Capital Asset Pricing Model Integrating both Firm and Market (CAPMIFM), we first decompose the asset return into two components. One is called the fundamental return, which is related to the intrinsic value of t...Using Capital Asset Pricing Model Integrating both Firm and Market (CAPMIFM), we first decompose the asset return into two components. One is called the fundamental return, which is related to the intrinsic value of the asset. The other is called bubble return, which is derived from the asset bubbles. Then a stock bubble return model based on cumulative return is proposed. The model exhibits characterizing log-periodic oscillations and a power law acceleration of the cumulative return. Empirical results suggest that the model has a good fit for the bubbles of China stock market.展开更多
基金Supported by National Natural Science Foundation of China(No.70331001)
文摘Using Capital Asset Pricing Model Integrating both Firm and Market (CAPMIFM), we first decompose the asset return into two components. One is called the fundamental return, which is related to the intrinsic value of the asset. The other is called bubble return, which is derived from the asset bubbles. Then a stock bubble return model based on cumulative return is proposed. The model exhibits characterizing log-periodic oscillations and a power law acceleration of the cumulative return. Empirical results suggest that the model has a good fit for the bubbles of China stock market.
