| 价值股超额收益原因初探 |
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| 引用本文： | 朱海鹏,程丹.价值股超额收益原因初探[J].韶关学院学报,2008,29(8):77-81. |
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| 作者姓名： | 朱海鹏 程丹 |
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| 作者单位： | 广东外语外贸大学南国商学院,广东广州,510450 |
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| 摘 要： | 学术界对价值股表现优于成长股的超额收益率的解释一直存在极大的争议。对国外已有的学术文献进行了系统的综述．总结了两个主要解释理论：一种是以资本资产定价模型（CAPM，Capital Asset Pricing Model）和“效率市场假说”（EMH，Efficiency Market Hypothesis）为基础的风险补偿理论；另一种解释是以行为金融学说为基础的解释。价值股被市场错误定价（Mispricing），其获得的超额收益是由于投资者的反应不足而后过度反应的结果。而更难以解释的是，无论基于哪一种理论，这些超额收益极有可能长期持续。对国内外研究的现状进行了评析，并提出正确导向媒体以确保我国股票市场健康发展的建议。
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| 关 键 词： | 价值股 超额收益 风险补偿 非理性行为 |
Studies on Hypothesis of Abnormal Returns of Value Stocks |
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| ZHU Hai-peng,CHENG Dan.Studies on Hypothesis of Abnormal Returns of Value Stocks[J].Journal of Shaoguan University(Social Science Edition),2008,29(8):77-81. |
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| Authors: | ZHU Hai-peng CHENG Dan |
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| Institution: | ZHU Hai-peng CHENG Dan (Nanguo Business College,Guangdong University of Foreign Studies,Guangzhou 510450,Guangdong,China) |
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| Abstract: | Value stocks with lower prices to historical prices,earnings,dividends,book assets,or sales outper- form growth stocks in international equity markets.Two explanations for value premium have been thoroughly re- viewed according to extant literatures.One is compensation for bearing extra risks based on CAPM and EMH. The other is mispricing theory which creates opportunities for realized returns in excess of what is required to compensate investors for risk.Current statuses of researches on these two theories... |
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| Keywords: | value stocks premium risk compensation mispricing |
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