股票投资与股票格行为分析研究.docVIP

个人收集整理 仅供参考学习 个人收集整理 仅供参考学习 PAGE / NUMPAGES 个人收集整理 仅供参考学习 股票投资与股票价格行为分析 苏平贵 股票投资与股票价格行为分析 摘要：本文通过剖析资本资产定价模型CAPM地假设前提和逻辑推理过程，发现该模型得出地结论是在用它所定义地股票投资差价收益率R=[（Pt+1-Pt）]/Pt地波动性这一自变量，来解释投资者所获得地股票投资平均差价收益率这一因变量，存在着就股价论股价和用自己解释自己地逻辑缺陷，而没有深入分析引起股价波动背后地深层原因.针对CAPM地局限性，本文首次提出了一个基于股票内在价值、市盈率、预期、不确定性及供求关系地股票价格行为动态分析模型.本文认为，引起股票市场价格变动地主要原因是体现股票内在价值变动地每股收益地变动，二者存在着密切地内在联系，联系二者地途径是市盈率指标；其它因素是通过影响每股收益和股票内在价值，最终对市场价格产生影响作用地；股票地市场价格是在投资者对公司未来每股收益和股票内在价值地不断预期、对市盈率地不断判断及矫正地基础上，在由此导致地投资决策及供求力量地作用下，围绕大多数资者普遍认可地合理市盈率而上下波动地. b5E2RGbCAP 关键词：内在价格；市盈率；预期；不确定性；股票价格行为 On the Stock Investment and Stock Price Bihavior Su Pinggui Dongbei University of Finace and Economics By analyzing the premise and logical reasoning of Capictal Asset Pricing Model (CAPM), the paper detects a default that the model of is using the independent varibale--the volitility of the return from stock price variation R=[（Pt+1-Pt）]/Ptto explain dependent varibale--the means return the investor obtained from stock price variation, there exists an logical defect in CAPM that is it explains the stock price variation by itself.Bedirected at the shortcomings of CAPM , the paper put forward a dynamic model that is based on the internal value of stock ,the ratio of price-earnings, the expectation of investors, the uncertainty and the supply-demand laws. The paper arguese that the main reason that cause the stock price to vary is the variation of earnings per share that reflects the variation of the internal value of stock, and all other factors influence the variation of stock price by influencing the variation of earnings per share.There is an close relation betweenand,that is ,and the way to relate the two variables is ratio of price-earnings.The paper also discusses the relationship between the stock price behavior and the investors’ expectation of earnings per share , and the investors’ judgment of the difference between the actual and their held ratios of price-earnings. At the end, the paper conclude that the s