本文關(guān)鍵詞：證券市場(chǎng)股票收益率季節(jié)效應(yīng)的實(shí)證研究，由筆耕文化傳播整理發(fā)布。

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stock return

    Historical Highest Price, Investor Behavior and Stock Return: the Empirical Study on Chinese Stock Market

    股價(jià)前期高點(diǎn)、投資者行為與股票收益——中國(guó)股票市場(chǎng)的經(jīng)驗(yàn)研究

短句來(lái)源

    From 1970s, the scholars in western country have done lots research on whether Fisher Effect holds in capital market as well as the relation between inflation rate and stock return.

    自20世紀(jì)70年代以來(lái),西方對(duì)股票市場(chǎng)費(fèi)雪效應(yīng)是否成立以及通貨膨脹率與股票收益之間的關(guān)系進(jìn)行了大量的研究。

短句來(lái)源

    The conclusions are identical: Fisher Effect does not hold in stock market, and there is negative correlation between stock return and inflation rate.

    研究結(jié)果基本是一致的:股票市場(chǎng)費(fèi)雪效應(yīng)不存在,股票收益與通貨膨脹率之間存在負(fù)的相關(guān)關(guān)系。

短句來(lái)源

    An Empirical Study on the Stock Return Seasonal Effect in Security Market

    證券市場(chǎng)股票收益率季節(jié)效應(yīng)的實(shí)證研究

短句來(lái)源

    Study of Chinese Stock Return and It's Volatility

    中國(guó)股票市場(chǎng)股指收益率及波動(dòng)性研究

短句來(lái)源

    International Comparison Between Return and Risk of Stock Market

    證券市場(chǎng)回報(bào)與風(fēng)險(xiǎn)的國(guó)際比較

短句來(lái)源

    from the stock market to the real economy.

    股票市場(chǎng)波動(dòng)對(duì)實(shí)體經(jīng)濟(jì)的影響。

短句來(lái)源

    Anomalies in Shanghai Stock Market

    上海股票市場(chǎng)異象

短句來(lái)源

    Industry Characteristic,Market Sentiment and Return Volatility

    行業(yè)特征、市場(chǎng)情緒與收益波動(dòng)

短句來(lái)源

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  stock return

We also provide evidence that stock return behavior differed between large and small S>amp;amp;Ls.

Our results suggest that there is almost no relationship between stock return levels and trading volume in either direction.

Further analysis shows that VAR is positively and significantly associated with future stock return volatility.

This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility.

In our analysis, we consider some distributional forms characterized by capturing the excess kurtosis characteristic of stock return distributions and we compare their performance using some international stock indices.

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This paper focuses on the stock return of those listed companies whose dividend varied during the allotment plan.The empirical study shows the market does not absolutely react to the allotment plan dividend vary,which is different from the western mature capital market.It tells us our security market has some distance from the mature market,and the information enclosure system is not regulated.

對(duì)公司分配方案中股票股利發(fā)生變化時(shí)股票收益率的研究,顯示證券市場(chǎng)對(duì)股票股利分配方案發(fā)生變化時(shí)有一定反應(yīng),但與國(guó)外成熟資本市場(chǎng)的反應(yīng)并不一致,說(shuō)明我國(guó)證券市場(chǎng)距離國(guó)外成熟資本市場(chǎng)還有一定差距,證券市場(chǎng)信息披露制度尚不規(guī)范。

In this paper, by sampling A - share firms listed in Shanghai and Shenzhen Stock Exchanges from 1998 to 2002, the author examines the impact on next year's earnings and next two years' stock returns measured by accruals as a standard of earnings quality. The empirical results show that: (1) Companies with high earnings but low cash flows will experience a decrease of earnings in next year, while companies with low earnings but high cash flows will experience a increase of earnings in next year; (2)...

In this paper, by sampling A - share firms listed in Shanghai and Shenzhen Stock Exchanges from 1998 to 2002, the author examines the impact on next year's earnings and next two years' stock returns measured by accruals as a standard of earnings quality. The empirical results show that: (1) Companies with high earnings but low cash flows will experience a decrease of earnings in next year, while companies with low earnings but high cash flows will experience a increase of earnings in next year; (2) Investors overvalue companies of high earnings with low cash flows and undervalue companies of low earnings with high cash flows. So, investors can construct investing strategies to gain abnormal returns. After adjusting risks by CAPM model, Fama - French three - factors model and four - factors model, these abnormal returns still exist significantly.

本文以1998-2000年滬深兩市A股為樣本,以應(yīng)計(jì)項(xiàng)目作為會(huì)計(jì)盈余質(zhì)量標(biāo)準(zhǔn), 研究其對(duì)公司下一年度會(huì)計(jì)盈余及未來(lái)兩年內(nèi)股票收益的影響。研究結(jié)果發(fā)現(xiàn):(1)第t年度會(huì)計(jì)盈余高而經(jīng)營(yíng)現(xiàn)金流量低的公司在第t+1年度的會(huì)計(jì)盈余會(huì)降低,而第t年度會(huì)計(jì)盈余低而經(jīng)營(yíng)現(xiàn)金流量高的公司在第t+1年度的會(huì)計(jì)盈余則會(huì)升高;(2)投資者會(huì)高估那些會(huì)計(jì)盈余高但經(jīng)營(yíng)現(xiàn)金流量低的股票,而低估那些會(huì)計(jì)盈余低但經(jīng)營(yíng)現(xiàn)金流量高的股票,據(jù)此構(gòu)造的投資策略可獲得顯著超常收益。并且這些超常收益在經(jīng)過(guò)CAPM模型、Fama-French三因素和四因素模型風(fēng)險(xiǎn)調(diào)整后依然顯著存在。

Chinese stock market provides an environment for deeply understanding of influence of historical stock prices on future (intermediate horizon) cross-sectional stock return. We find that the momentum strategy based on 52 - week high is significantly profitable with an average monthly retum of 0.84% in Chinese stock market, which is more significant than US market. There is no apparent seasonal pattern, and it cannot be explained by market model, Kama and French three - factor model or characteristic...

Chinese stock market provides an environment for deeply understanding of influence of historical stock prices on future (intermediate horizon) cross-sectional stock return. We find that the momentum strategy based on 52 - week high is significantly profitable with an average monthly retum of 0.84% in Chinese stock market, which is more significant than US market. There is no apparent seasonal pattern, and it cannot be explained by market model, Kama and French three - factor model or characteristic model. We also provide further evidences that investors' behavioral bias could be the explanation for this phenomenon.

中國(guó)股市為研究歷史股價(jià)對(duì)未來(lái)(中期)橫截面股票收益的影響提供了一個(gè)深入考察的環(huán)境。本文發(fā)現(xiàn)基于52周前期股價(jià)高點(diǎn)構(gòu)造的慣性策略在中國(guó)股市具有顯著的盈利性,其月平均收益為0．84％,這一結(jié)果比美國(guó)市場(chǎng)更加明顯。該現(xiàn)象沒(méi)有明顯的季節(jié)性,并不能由市場(chǎng)模型、Fama and French三因素模型以及特征模型所解釋。本文提供了用投資者的行為偏差來(lái)解釋該現(xiàn)象的進(jìn)一步證據(jù)。

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  本文關(guān)鍵詞：證券市場(chǎng)股票收益率季節(jié)效應(yīng)的實(shí)證研究，由筆耕文化傳播整理發(fā)布。