中国股市收益波动性过程的长期记忆性实证分析 摘 要 本文介绍了如何利用长期记忆性的理论对中国股市收益波动性进行实证分析。股票市场充满不确定性。股价波动是股票市场的常态，适度的股价波动有益于提高市场的流动性与活跃度，但是剧烈的波动则会破坏市场的稳定性与投资者的信心。我国股票市场是一个新兴的市场，市场波动的高风险特征尤为突出。因此对我国股票市场的波动特征进行分析有助于稳定我国金融市场，促进经济发展。 本文从研究背景与意义出发，回顾了长记忆性理论的发展以及前辈研究的成果。在第二章中阐释了全文的理论基础，如：股票市场波动性理论，长记忆方面的研究成果包括其发展过程，主要包括长期记忆性的定义、特征、检验方法、长记忆性产生的原因分析及长记忆性的理论基础，包括介绍了分形市场理论与有效市场理论。而后着重介绍了本文使用的分析方法：R/S分析法。在论文的最后选取了04年到12年上证综指收益率和深证成指收益率进行实证分析。实证结果显示：Hurst指数均大于随即游走时的0.5，分别为0.66和0.65。这表明选取的序列存在长期记忆性，因此基于实证结论得出我国股票市场并不是有效的。由此政府应该为减小金融市场波动，促进市场有效和稳定而加强规范信息的披露，对市场参与者教育，政府的监管等。
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Basing on this ground and reinforced with stellar performance of the U.S. Active as well as Pelican Fund during 1980s to 1990s, GMO strongly believe that a portfolio of securities that sells below is inherent worth or that may be worth more after fundamental changes can consistently provide above average returns relative to the total market. 2.
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a thorough statistical study of the movements of investment prices Fama concluded that “such movements were essentially random and unpredictable” (Shefrin p.75). Fama pointed out that “in an efficient market, prices correspond to intrinsic (or fundamental) value” (Shefrin p.75). In short, what the theory concludes is that it is impossible to beat the market; that no investor can ever purchase undervalued stocks or sell stocks at inflated prices. The market will always correct itself by incorporating
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CQR ISSUE 5 | August 2012 GLOBAL VALUE: BUILDING TRADING MODELS WITH THE 10-YEAR CAPE ABSTRACT Over seventy years ago Benjamin Graham and David Dodd proposed valuing securities with earnings smoothed across multiple years. Robert Shiller popularized this method with his version of the cyclically adjusted price-to-earnings ratio (CAPE) in the late 1990s, and issued a timely warning of poor stock returns to follow in the coming years. We apply this valuation metric across more than thirty foreign
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6- 1 6- 2 Topics Covered Stocks and the Stock Market Book Values, Liquidation Values and Market Values Valuing Common Stocks Simplifying the Dividend Discount Model Growth Stocks and Income Stocks Market Efficiency (i.e., no free lunches on Wall Street) Market Anomalies and Behavioral Finance McGraw-Hill/Irwin Copyright © 2007 by The McGraw-Hill Companies, Inc. All rights reserved Terminology of Stocks Public Common Stock - Ownership shares in a publicly held corporation. Primary
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Chapters 6 – Valuing Stocks Slide 1 Stock Valuation Book Value • Equity = Assets less Liabilities Liquidation • Sale value of assets less payment of outstanding liabilities • May represent amount greater or less than book value of equity Going Concern (A firm likely to continue in business) • Extraordinary earning power of assets (ROA/ROE) - Book value represents only cost less financing plus past undistributed earnings
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1) The dual-track process used by Ford to initiate “consideration of strategic alternatives” affects the bidding process for Hertz by giving Hertz another plan of attack if other viable sale opportunities fall through. By obtaining an IPO price as a base for the value of the company, Ford’s strategy would give Hertz other options to retrieve necessary capital, thus reducing the amount of risk. This strategy would then give Hertz a base bid that would be either equal to or above the amount of what
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QUESTIONNAIRE ON VALUING STOCKS By: Bahae eddine Boussouf Nadezda Vovk 1) Common stock: a share of ownership in the corporation, which confers rights to any common dividends as well as rights to vote on election of directors, mergers, or other major events. Preferred stock: A class of ownership in a corporation that has a higher claim on the assets and earnings than common stock. Preferred stock generally has a dividend that must be paid out before dividends to common stockholders and the
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Bill Miller and Value Trust Case Analysis Case Facts: 1 By middle 2005, Leg Mason Value Trust managed by Bill had outperformed S&P 500 index for 14 years in a row. This was longest successful run by any fund manager. The average return on the fund was 14.6% which surpassed the S&P by 3.67% per year. The value trust only had 36 holdings, 10 of which accounted for 50% of the fund’s assets. No manager had matched Miller’s consistent index beating record. Miller’s results were in contradiction
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Calaveras Vineyards Case The appropriate TBV equations to calculate the firm’s WACC and FCF are: * R(after tax, wacc) = (E0/V0)rE + (D0/V0)rD (1-T) * FCF = TCF – corporate tax savings from deductable interest expense or * FCF = -NCPFA + Debt interest payment – corporate tax savings from deductible interest expense Below are the calculations for Calaveras Vineyards: * V1/1/1994 = (2,500)/1.126 + 357,000/1.126^2 + 463,000/1.126^3 + 590,000/1.126^4 + 780,000/1.126^5
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