中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--资产定价
工作论文
2012-03-27 第4卷 第7期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

中国股票市场可预测性的实证研究

姜富伟 新加坡管理大学李光前商学院金融系
凃俊 新加坡管理大学李光前商学院金融系
David E. Rapach 圣路易斯大学经济系
Jack K. Strauss 圣路易斯大学经济系
周国富 华盛顿大学奥林商学院和CAFR

Portfolio Management During Epidemics: The Case of SARS in China

Terence Tai-Leung Chong The Chinese University of Hong KongDepartment of Economics
Shen Lu National University of SingaporeDepartment of Economics
Wing-Keung Wong Hong Kong Baptist UniversityDepartment of Economics

BOOMS AND BUSTS IN CHINA’S STOCK MARKET: ESTIMATES BASED ON FUNDAMENTALS

Gabe J. de Bondt EUROPEAN CENTRAL BANKResearch Department
Tuomas A. Peltronen BANCO DE ESPA?A AND EUROPEAN CENTRAL BANKResearch Department

An Examination of Price Integration between Stock Market and International Crude Oil indices: Evidence from China

Bruce Hearn University of LeicesterSchool of Management
Shuk Yin Man University of LeicesterSchool of Management

The Impact of Chinese Exchange Rate Policy on Global Stock Markets: Evidence from Firm-Level Data

Barry Eichengreen University of California at BerkeleyEconomics Department
Hui Tong International Monetary FundResearch Department


论文摘要

中国股票市场可预测性的实证研究

姜富伟 新加坡管理大学李光前商学院金融系
凃俊新加坡管理大学李光前商学院金融系
David E. Rapach 圣路易斯大学经济系
Jack K. Strauss 圣路易斯大学经济系
周国富 华盛顿大学奥林商学院和CAFR

我们研究了中国市场投资组合和根据公司行业、规模、面值市值比和股权集中度等划分的各种成分投资组合的股票收益的可预测性。选取各种经济变量作为预测变量,中国市场投资组合和各种成分投资组合都存在显著的样本内和样本外可预测性。不同成分投资组合的可预测性存在显著差异,其中金融与保险业、房地产业和制造业等行业投资组合的可预测性特别强,小市值、低面值市值比和低股权集中度的投资组合也非常容易预测。对于成分投资组合间的可预测性差异,我们给出了两个经济解释:(1)基于样本外可预测性分解,我们发现条件 CAPM 模型捕捉的时变系统性风险溢价可预测性可以解释成分投资组合的大部分样本外可预测性,高系统性风险暴露的投资组合有较高的样本外可预测性;(2)基于 Hong, Torous, and Valkanov(2007)的信息流动摩擦理论,我们发现行业集中度可以显著解释行业投资组合间的可预测性差异。

Portfolio Management During Epidemics: The Case of SARS in China

Terence Tai-Leung Chong The Chinese University of Hong KongDepartment of Economics
Shen Lu National University of SingaporeDepartment of Economics
Wing-Keung Wong Hong Kong Baptist UniversityDepartment of Economics

This paper assesses the impact of the severe acute respiratory syndrome (SARS) on the stock market of China. Our results indicate that the Chinese stock market reacts rapidly to the SARS epidemic. We provide strong empirical evidence that the epidemic has an immediate impact on the pharmaceutical and tourism industries. In particular, pharmaceutical companies are benefited from the outbreak of SARS, while the tourism sector is adversely affected. Our results imply the existence of a profitable trading rule during an epidemic.

BOOMS AND BUSTS IN CHINA’S STOCK MARKET: ESTIMATES BASED ON FUNDAMENTALS

Gabe J. de Bondt EUROPEAN CENTRAL BANKResearch Department
Tuomas A. Peltronen BANCO DE ESPA?A AND EUROPEAN CENTRAL BANKResearch Department

This paper empirically models China’s stock prices using conventional fundamentals: corporate earnings, risk-free interest rate, and a proxy for equity risk premium. It uses the estimated long-run stock price misalignments to date booms and busts, and analyses equity market reforms and excess liquidity as potential drivers of these stock price misalignments. Our results show that China’s equity prices can be reasonable well modelled using fundamentals, but that various booms and busts can be identified. Policy actions, either taking the form of deposit rate changes, equity market reforms or excess liquidity, seem to have significantly contributed to these misalignments.

An Examination of Price Integration between Stock Market and International Crude Oil indices: Evidence from China

Bruce Hearn University of LeicesterSchool of Management
Shuk Yin Man University of LeicesterSchool of Management

This study examines the degree of price-integration between aggregate equity market indices of Hong Kong, the Chinese Shanghai and Shenzhen A and B share markets, and the international Brent crude oil price. The application of Vector Autoregressive methods reveals that the regions markets are generally price-segmented with the prominent exception of Shanghai B market which is price-integrated with the domestic A share markets in both Shanghai and Shenzhen. The evidence would suggest that Chinese markets are more heavily influenced by domestic events in the long term than external influences.

The Impact of Chinese Exchange Rate Policy on Global Stock Markets: Evidence from Firm-Level Data

Barry Eichengreen University of California at BerkeleyEconomics Department
Hui Tong International Monetary FundResearch Department

This paper examines the impact of renminbi revaluation on foreign firm valuation and, by implication, firm prospects. To deal with the potential endogeneity of exchange rate movements, we consider not just official announcements of exchange rate policy but also 27 instances of market-perceived changes in China’s currency policy driven by domestic or foreign political pressure. Using information on 12,300 firms in 44 countries, we find that stock returns increased with renminbi revaluation expectations. This reaction was related as much to improved market sentiment as to specific trade channels, however. In terms of trade channels, we find that expectations of renminbi appreciation reduce the relative stock returns of firms providing components and raw materials to China as inputs for the country’s exports. There is also some evidence that expectations of renminbi appreciation reduce the stock prices of financiallyconstrained firms.


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