股价动态偏离程度、股价动态回归速度与投资收益研究  

Stock Price Dynamic Deviation,Convergence and Investment Yield

作　　者：李彦甫 Li Yanfu

机构地区：[1]成都工业学院经济与管理学院,四川成都611830

出　　处：《金融理论与实践》2021年第6期84-93,共10页Financial Theory and Practice

基　　金：2021年成都市哲学社会科学规划项目(YN2320210089);成都工业学院博士科研启动基金项目(2019RC024);四川省统计科学研究计划项目(2020SC20)的阶段性成果。

摘　　要：上市公司股价与内在价值之间出现的动态偏离与回归是一个在股票市场中普遍存在的情况。在现有文献中首创了全新方法,专注于对股价动态偏离程度与股价动态回归速度展开研究,并对投资收益进行探讨。得出了一系列结论:股价在牛市、熊市中均存在明显的向下偏离状况,周期性行业受市场行情影响明显且更易出现向上偏离,股价偏离程度受过去与未来预期基本面影响明显;在牛市与向上偏离期间股价回归速度更快,在上/下偏离期间基本面状况对股价回归速度具有负/正面影响,偏离程度越大,则股价回归速度越慢,且回归周期越长。The dynamic deviation and convergence between stock price and intrinsic value is a common phenomenon in stock market. This study concentrates on the degree of deviation and convergence speed of stock price through innovative method, and also analyze the investment yield. The research results show that: the stock price exhibit apparent negative deviation in both bull and bear market. Cyclical industries are highly sensitive to market condition and more likely to be positively deviated from intrinsic value. The degree of deviation is significantly influenced by the past and future fundamentals. The speed of convergence is higher in the bull market and when the stock price is positively deviated from intrinsic value. The fundamentals have both positive and negative influence on the speed of convergence. The higher the degree of deviation, the slower the speed of convergence.

关 键 词：股票市场 股价动态偏离程度 股价动态回归速度 投资收益 

分 类 号：F830.91[经济管理—金融学]