股票价格行为及投资组合模型的实证研究——基于上市公司盈余参数下财务状况分析  

Empirical analysis on stock price behavior and portfolios models——Based on the financial condition of listed companies' earnings parameter

作　　者：蔡宇欣[1] 任永平[1] 

机构地区：[1]上海大学管理学院

出　　处：《价格理论与实践》2017年第3期120-123,共4页Price:Theory & Practice

摘　　要：本文选取2006-2016年中国综合A股上市公司的年、月平均净资产收益率为测试及检验样本,基于Markowitz的均值-方差投资组合模型和Yamazaki的均值-绝对偏差模型,在有效资本市场的股票价格波动行为下,构建了适合现代投资理论的盈余参数下的均值-方差投资组合模型及盈余参数下的均值-绝对偏差模型,借以检验新建模型对投资组合选择问题的适用性。实证分析结果表明:考虑盈余参数下的投资组合模型更能有效避免存在财务问题的公司,挖掘高估值、更有投资价值的企业,投资组合的收益率在降低风险的同时能得到稳定提高。最后,对投资者投资和政府监管方面提出了建议。This paper selectaverage of annual, monthly income rate from the Chinese stock market for period of 2006-2015 as the test sample and check samples,based on mean-variance portfolios model from Markowitz and mean-absolute deviation portfolios model from Yamazaki, in the capital market of stock price behavior, the mean-variance- model and the mean-absolute deviation model considering earnings parameters are estab- lished in order to test the validity of these new models. The empirical results show that investment portfolios models considering earnings parameters can effectively avoid the financial problems of companies, and can discover more growth andmore investment value＇s firms, the return rate of the portfolios can be improved stably while reducing itsrisk. Finally, some suggestions are put forward to the investors＇ investment and government supervision.

关 键 词：股票市场 股票价格行为 投资组合 EPMV模型 EPMAD模型 盈余参数 

分 类 号：F832.51[经济管理—金融学]