Journal of Portfolio Management · spring 2018; Volume 44,Issue 2

预测中国股市崩盘

作者：S Lleo（NEOMA Business School in Reims, France.）

WT Ziemba（the University of British Columbia in Vancouver, BC, Canada；Systemic Risk Centre at the London School of Economics in London, U.K.）

摘要：预测股票市场崩盘对所有投资者都非常有价值的。一些有用的预测模型已经被开发出来，这些模型主要集中在北美，欧洲和日本的成熟金融市场。作者研究了传统的崩盘预测因子（市盈率(P/E)，周期性调整后的市盈率(CAPE)和债券-股票收益率差异模型(BSEYD)）是否能够预测中国内地上海证券交易所综合指数和深圳证券交易所综合指数的崩溃。作者利用20世纪90年代初至2016年年底的数据，发现在整个区间内，市盈率对两个交易所都有预测价值。对P/E、CAPE和BSEYD在较短的九年进行测试时，作者发现这些指标对深证综合指数的预测价值都比对上证指数的预测价值更高，深证综合指数反映的是较小的私有公司，而上证指数则往往是较大的国有企业。

Predicting Stock Market Crashes in China

S Lleo（NEOMA Business School in Reims, France.）；WT Ziemba（the University of British Columbia in Vancouver, BC, Canada；Systemic Risk Centre at the London School of Economics in London, U.K.）

ABSTRACT

Predicting stock market crashes is extremely valuable for all investors. Several useful prediction models have been developed, focusing on mature financial markets, in North America, Europe, and Japan. The authors investigate whether traditional crash predictors—the price-to-earnings ratio (P/E), the cyclically adjusted price-to-earnings ratio (CAPE), and the bond–stock earnings yield differential model (BSEYD)—predict crashes for the Shanghai Stock Exchange Composite Index and the Shenzhen Stock Exchange Composite Index in mainland China. Using data from the early 1990s to the end of 2016, the authors find that the P/E ratio has predictive value for both exchanges over the entire period. When testing the P/E, CAPE, and BSEYD over a shorter nine-year period, the authors find that all measures had a higher predictive value for the Shenzhen index, where smaller, privately owned companies are listed, than for the Shanghai index, where larger, often state-owned enterprises trade.

原文链接：

http://jpm.iijournals.com/content/early/2018/04/04/jpm.2018.1.078

翻译：黄涛