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| 通货膨胀幻觉与中国股市估值 |
| Inflation Il lusion and the Valuation of China' s Stock Market |
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| DOI： |
| 中文关键词: 股市 通货膨胀幻觉 Fed 模型 |
| 英文关键词: Stock market Inflatio n illusion Fed model |
| 基金项目: |
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| 中文摘要: |
| 上海A 股市价格波动无法用红利与无风险利率的变化来解释。通过实证分析发现, 跟传统理论相反,
中国股价跟通货膨胀呈现反向关系。其原因在于Fed 模型的拥护者将E/P 跟名义利率进行比较来判断股市估值
是否合理。文章证实了中国投资者中存在通货膨胀幻觉。通货膨胀幻觉假设在一定程度上能够解释上海A 股市
场价格变化, 特别是该假设能解释1996— 2001 年的大牛市。 |
| 英文摘要: |
| The paper has found the fact that the volatility of Shang hai A stock market can' t be ex plained by the change of dividends
and risk-free interest rate, w hich contradicts the conditional view .Through empirical wo rk the paper suggests tha t there is a neg ative
relationship between China' s stock market prices and inflation .The cause is that the Fed model advocates compare the market E/P
w ith the nominal interest rate to assert w he ther the stock market value is fair .The paper demo nstra tes that China' s investo rs have inflation
illusion .The inflation illusion can explain part of the changes of Shang hai A sto ck market , especially the bull market of 1996
to 2001. |
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