价值理论、价值投资与市场稳定
阅读全文
下载全文 |
| Title | Value Theory, Value Investment and Market Stabilization
|
| 作者 | 高强 邹恒甫 |
| Author | Gao Qiang and Zou Hengfu |
| 作者单位 | 中央财经大学 |
| Organization | China Economics and Management Academy, Central University of Finance and Economics |
| 作者Email | mutecamel@gmail.com；hzoucema@gmail.com |
| 中文关键词 | 规范经济学 投资组合 资产定价 三因子模型 金融危机 |
| Key Words | Normative Economics; Portfolio; Asset Pricing; Three Factors Model; Financial Crisis |
| 内容提要 | 流动性问题、股市巨幅震荡、股灾及经济的周期性衰退令各国监管层和投资者头疼已久，但这些问题并非无解。本文摒弃造成上述问题的新古典主义均衡价格理论，采用规范经济学的研究方法，建立起一个全新的基于公理的价值理论。以本文理论为指导的价值投资能够取得 Fama-French 三因子模型完全无法解释的巨额超额回报，从经验上支持了本文的理论。以本文理论为指导，将从根本上避免股市的暴涨暴跌，使经济持续稳健地高速发展成为可能。 |
| Abstract | Liquidity problem, turbulence in the stock market, financial crisis, and periodical recessions in the economy have long frustrated regulators and investors all over the world, but in fact can be eliminated. This paper abandoned the neoclassical equilibrium price theory, which actually caused above problems, employed the methodology of normative economics, and built a brand new axiomatic value theory from ground up. The value investment strategy based on our theory gained a huge exess return that is totally unexplainable by the Fama-French 3-factors model, which in turn empirically supported our theory. Futhermore, guided by our theory, stock market turbulence can be eliminated, and an economy with sustainably stable high speed growth is possible. |
| 文章编号 | WP1068 |
| 登载时间 | 2016-06-21 |
|