Pacific-Basin Finance Journal·Available online 26 June 2016

股票错误定价：来自中国股市的实证

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

摘要：本文考察了中国股市的股票错误定价，我们以基本的账面市值比为基础来衡量中国的股票错误定价。当我们将股市泡沫分为两部分——实际收益定价偏差（the earnings mispricing）和要求回报率定价偏差（the required-return mispricing），我们发现中国股市泡沫是源于投资者要求的回报率定价偏差。这一发现与GARCH-M模型估算的随时间变化的风险偏好一致。

关键词：股市泡沫，错误定价，资产定价，广义自回归条件异方差模型

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

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X16300853

翻译：何杉