Pacific-Basin Finance Journal·Available online 26 June 2016

股票錯誤定價：來自中國股市的實證

作者：Dehong Liu (Beijing Jiaotong University), Hongmei Gu (Nanjing University), Peter Lung (Queensland University of Technology)

摘要：本文考察了中國股市的股票錯誤定價，我們以基本的賬面市值比為基礎來衡量中國的股票錯誤定價。當我們将股市泡沫分為兩部分——實際收益定價偏差（the earnings mispricing）和要求回報率定價偏差（the required-return mispricing），我們發現中國股市泡沫是源于投資者要求的回報率定價偏差。這一發現與GARCH-M模型估算的随時間變化的風險偏好一緻。

關鍵詞：股市泡沫，錯誤定價，資産定價，廣義自回歸條件異方差模型

The equity mispricing: Evidence from China's stock market

Dehong Liu (Beijing Jiaotong University), Hongmei Gu (Nanjing University), Peter Lung (Queensland University of Technology)

ABSTRACT

This paper examines the equity mispricing in China's stock market. We measure China's equity mispricing based on the fundamental market-to-book value ratio. As we break down the equity bubble into two components—the earnings mispricing and the required-return mispricing—we find that the Chinese stock bubble is attributed to investors' required-return mispricing. This finding is consistent with the time-varying risk preference estimated by a GARCH-M model.

Keywords: Equity bubbles, Mispricing, Asset pricing. GARCH-M

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927538X16300853

翻譯：何杉