股票收益率

• After careful empirical research , we find that is the most dominating factor influencing the returns except one or two industries . we also find that and stock returns are negative linearity correlativity which is obviously in contradiction with traditional theoretical hypotheses
  经过详细的实证研究，发现除个别行业外，值是股票收益率的最主要的显著影响因素，且两者之间呈线性负相关，而两者之间呈线性负相关这一实证结果明显与传统的理论假设相违背。
• Thirdly , using thirty ( 30 ) samples stocks of shanghai thirty ( 30 ) indexes as the combination , the investment portfolio scale and the disperser risk degree , etc . , were examined , the strategy of investment portfolio in shanghai stock market was also put forward . the results indicate that : 1 ) the systematic risk proportion in the investment risk has obviously dropped , but the non - systematic risk proportion obviously has gone up . 2 ) the stock systematic risk is one but not the only fact affecting the stock income rate
  结果表明：系统风险在投资风险中所占比重已明显下降，非系统风险所占比重明显上升；股票的系统风险是影响股票收益的一个因素，但不是影响股票收益率的唯一因素，非系统风险和总风险是影响股票预期收益的重要因素；股票的平均收益率与股票的系统风险存在正相关关系；在样本时限内，对上海股市进行投资组合确实能有效地降低风险，上海股市适度的组合规模为15 20只。
• We find that fitness of returns on stocks to non - normal stable distributions in china stock market is very good by fitness test ; study measurements of return and risk of a portfolio conditional on non - normal stable distributions and put forward mean - scale parameter model ; find that mean - scale parameter model can explain asset allocation puzzle by empirical analysis
  通过拟合优度检验发现我国的股票收益率与非正态稳定分布的拟合效果非常好；研究了非正态稳定分布条件下投资组合收益和风险的度量，建立了均值尺度参数投资组合模型；通过实证分析发现均值尺度参数模型能够解释资产配置之谜。
• And analyze chinese stocks market to know the relationship betweem the stocks ' profit and the risk . through the analyzing , the conclusion is : chinese stocks market is far below maturity ; the stock ' s yield fluctuate frequently and being chaotic ; chinese stocks yields have no relation to their benefit or management degree , but based on the profit by capital transacting
  通过分析表明：我国股市尚处于很不规范的阶段，股市数据噪音相当大，股票收益率的波动很频繁，接近于随机序列，而成熟股市表现为一个收益率加强的趋势。我国股票的投资收益率和股票的利润及经营业绩的相关性不大，收益主要体现在资本利得上。
• Our research shows that when share prices are with downward tendency , financial indicators have impact on th stock returns as well . it also shows that " flock behaviours " exist in our stock market on the whole . however , in a couple of industries , stronger comprehensive financial information appear among these prominent factors
  分析还表明，当证券市场股票价格处于下降通道中，财务指标对股票收益率基本不产生影响，这也说明我国证券市场总体上存在一定程度的“羊群行为” ，但在个别行业显著影响因素中出现了财务信息综合性较强的指标，在某种意义上，又表明投资者已开始综合利用财务信息。
• We rank stocks and make portfolios according to various kinds of risk factors from 1997 to 2002 , and test in method of cross - sectional regression . we find that # and stock and portfolio returns lack significant relation , on the contrary , two easily measured variable , market equity and book - to - market equity , combine to capture the cross - sectional variation in stock returns . this conclusion proves that the size effect and value effect exist in shanghai stock market during the research period of this thesis
  通过将1997年到2002年股票收益率数据按各种风险因素进行排序、分组的讨论，以及横截面回归的检验，本文发现与股票组合收益之间缺乏显著的相关性，相反流通市值和账面市值比这两个易于测度的变量一起捕捉了股票收益横截面的变化，这一结论说明上海股市在本文的研究期间内存在规模效应和价值效应。
• The introduction black - scholes models still assumed , namely the introduction of modern process ( wiener process , also called brownian motion ) to save the stock yield random fluctuations , weak markets and the effectiveness of the use of consistent share of the techniques ( ( markov property ) to describe the stock price change random process , the use of risk - neutral pricing theory through the analysis of the nature of asset price process martingale , established european style to the value of stock options with mathematical models
  本文仍然引入black - scholes的模型假定,也即引入维纳过程( wienerprocess , alsocalledbrownianmotion )来刻画股票收益率的随机波动,采用与弱型市场有效性相一致的股价的马尔可夫性( markovproperty )来描述股票价格变化的随机过程,运用风险中性定价理论,通过分析资产价格过程鞅的性质,建立了欧式再装股票期权价值的数学模型。
• This paper attempts to discuss the idiosyncratic risk under the capm frame in the stock pricing reflection , involving general balanced analysis , the concept logic analysis , the model constructs , the empirical research and so on the many kinds of methods , closely centers on the risk concept , tries to prove that idiosyncratic risk should be priced
  本文尝试性地在capm框架下探讨非系统性风险在股票定价中的反映,运用一般均衡分析、概念的逻辑分析、模型构建、实证研究等多种方法,紧紧围绕风险概念,力图从理论和实证两方面为非系统性风险在股票收益率中有所反映提供有力说明。
• Chapter 3 introduces the basic models and algorithms of prevail used risk measurement method - value at risk ( var ) . also back - tests of the models are checked and comparisons between them are investigated . then chapter 3 provides evidences from china ' s stock market that estimating functions model and garch - m model are fitted and verified respectively
  第三章详细地介绍当今已有的各种var估计模型的方法、发展动态以及back - test检验，并比较了其优缺点，同时指出其各自的适用范围，重点应用估计函数模型和garch - m模型对我国股票收益率数据进行实证分析和模型检验。
• The emergence and development of the capital market will change the existing monetary policy framework , and monetary policy transmission channels will be more complex . the article analyzes the relationship between stock prices and inflation and gives a reason . test results reveals that there is a negative correlation between china ' s stock prices and inflation
  产生这种负效应的主要是原因是:首先,实际经济增长率与股票收益率呈负相关关系而与通货膨胀率的关系为正相关;其次,货币供给增长率与股票收益率呈正相关关系而与通货膨胀率的关系为负相关。