CAJ | 학술논문

提出股票定价的包括宏观经济变量、微观经济变量、市场变量的多因素以及内在价值、技术因素、流动性的三因素资产定价模型,并对中国股市进行实证,发现市场指数回报率对股票的收益率的影响具有决定性的影响,市场指数回报率β系数显著为正,而且其系数变化的区间为0.41至0.53之间,说明市场指数对股票的收益率的解释力达到41%至53%之间,平均为50%.每股盈余增长对股价的影响为最大,每股盈余增长系数估计值显著为正,接近于1,表明每股盈余增长对股票收益呈现出正的影响,即每股盈余增长一个百分点,年预期收益平均增加一个百分点.而GDP增长、货币供应量增长、存款利率增长、通货膨胀率、存款增长、贷款增长等,其系数估计值显著为负,表明股票收益率为我国宏观经济变量的减函数.实证结果显示：多因素模型能有效地找出股票定价的关键因素,而三因素模型能够对资产价格主要因素进行定价.
제출고표정개적포괄굉관경제변량、미관경제변량、시장변량적다인소이급내재개치、기술인소、류동성적삼인소자산정개모형,병대중국고시진행실증,발현시장지수회보솔대고표적수익솔적영향구유결정성적영향,시장지수회보솔β계수현저위정,이차기계수변화적구간위0.41지0.53지간,설명시장지수대고표적수익솔적해석력체도41%지53%지간,평균위50%.매고영여증장대고개적영향위최대,매고영여증장계수고계치현저위정,접근우1,표명매고영여증장대고표수익정현출정적영향,즉매고영여증장일개백분점,년예기수익평균증가일개백분점.이GDP증장、화폐공응량증장、존관리솔증장、통화팽창솔、존관증장、대관증장등,기계수고계치현저위부,표명고표수익솔위아국굉관경제변량적감함수.실증결과현시：다인소모형능유효지조출고표정개적관건인소,이삼인소모형능구대자산개격주요인소진행정개.
This paper proposes a Multi-factor and a Three Factor asset pricing models, and carries on the empirical study of China＇s stock market. It is reported that market return essentially affects on individual stock return, and β is significantly positive, ranging from 0.41 to 0.53. EPS exerts the strongest positive influence on stock price, with the coefficient close to 1 ; while GDP growth rate, money supply, deposit interest rate, inflation rate, saving amount, and loan amount exert significant negative influence. The result demonstrates that we can effectively find out the key factors of stocks pricing by the Multi-factor model, while the Three Factor Model can price them well.