| 中国股票市场的中值回归现象 |
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| 引用本文： | 彭永江,李志文.中国股票市场的中值回归现象[J].系统管理学报,2012,21(5):588-595. |
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| 作者姓名： | 彭永江 李志文 |
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| 作者单位： | 1. 清华大学经济管理学院,北京,100084
2. 浙江大学管理学院,杭州,310058 |
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| 摘 要： | 采用2000～2009年的A股市场数据,通过考察投资组合的动态特性,检验了中国上市公司的净资产收益率、市净率、市盈率、股票收益率及公司市值等主要指标的中值回归趋势,并比较了不同指标之间的回归强度。实证结果显示:A股上市公司的盈利能力、估值水平和公司规模都呈现出显著的中值回归特点。通过对指标的序位建立模型和进行参数拟合,将不同经济指标纳入一个可以互相比较的框架,并对中值回归现象背后的形成机制进行了分析。
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| 关 键 词： | 股票市场 中值回归 财务分析 |
Mean Reversion in Chinese Stock Market |
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| PENG Yong-jiang
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LI Zhi-wen.Mean Reversion in Chinese Stock Market[J].Systems Engineering Theory·Methodology·Applications,2012,21(5):588-595. |
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| Authors: | PENG Yong-jiang LI Zhi-wen |
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| Institution: | 1.School of Economics and Management,Tsinghua University,Beijing 100084,China; 2.School of Management,Zhejiang University,Hangzhou 310058,China) |
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| Abstract: | Using data from 2000 to 2009 in Chinese stock market,this paper aims to test the existence of mean reversion and compare the speed of reverting among several indices.It studies the dynamic characteristics of portfolios and verifies the mean reversion phenomena of ROE,PB ratio,PE ratio,stock return and market value.The empirical results show that the earning power,valuation level and market capitalization follow the obvious paths of mean reversion.By modeling the rank of different indices instead of indices themselves,this paper studies different indices under a comparative framework,and analyzes the formation mechanism underlying mean reversion phenomena. |
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| Keywords: | stock market mean reversion financial analysis |
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