摘要
针对目前我国股市是否存在泡沫、有多少泡沫和泡沫现在是否会破灭等一系列问题,笔者基于目前最前沿的剩余收益模型,提出更具实用价值的股票内在投资价值模型,并用其测算中国股市泡沫的规模。其次,采用Monte Carlo模拟法,通过模拟得到股票价格对数的整体分布情况,并按股市泡沫破灭的概率区分泡沫的性质。研究表明,2007年5月我国股市的泡沫规模惊人,大量股票价格面临调整。
There is a growing concern over the bubble of China＇s stock market recently. The paper puts forward the more applicable model of the stock intrinsic value, which is used to measure the bubble volume of China＇s stock market, based on the residual income model. Moreover, the paper classifies the stock market bubble based on the logarithm distribution of the stock price by Monte-Carlo simulation. The study shows that the bubble volume of China＇s stock market is astonishing and the price of many stocks is to be adjusted.
出处
《金融研究》
CSSCI
北大核心
2007年第12A期186-197,共12页
Journal of Financial Research
基金
贵州省优秀科技教育人才省长专项资金项目"股市泡沫测量及性质区分研究"资助(合同编号:黔省专合字(2005)269号)。
关键词
股市泡沫
股票内在价值
性质区分
stock bubble
stock intrinsic value, the nature classification
