OALib Journal期刊
基于DEA的行业相对估值效率测度——理论与实证
, PP. 79-85
Keywords: DEA ,综合估值要素 ,相对估值效率 ,市场估值无效指数
Abstract:
？本文从综合估值要素和相对动态估值的视角,基于有效市场中的每一只股票都应被合理估值的思想,提出了一个体现综合、相对和动态评估思想的DEA估值效率模型和市场估值无效指数,据此可以计量分析市场估值效率、市场估值偏好等市场运行特征和演变规律。以深交所行业分类指数为样本的实证分析结果显示,它比市盈率等传统指标更全面地反映出市场及内部各行业相对估值效率的特征和变化趋势。
References
[1] Ito M, Sugiyama S. Measuring the degree of time varying market inefficiency [J].Economics Letters, 2009, 103: 62-64. [2] Fama E.Efficient capital market:Ⅱ[J].Journal of Finance, 1991, 46: 1575-1617. [3] Fama E.Market efficiency,long-term returns,and behavioral finance [J].Journal of Finance Economics, 1998, 49: 283-306. [4] Campbell J Y, Lo A W, MacKinlay A C.The Econometrics of Financial Markets[M].Princeton: Princeton University Press, 1997. [5] Harvey C R. Predictable risk and returns in emerging markets [J]. Review of Financial Studies,1995,8(3):773-816. [6] Allen D E,Yang Wenling. Do UK stock prices deviate from fundamentals? [J]. Mathematics and Computers in Simulation, 2004, 64: 373-383. [7] Aretz K, Bartram S M, Pope P F.Macroeconomic risks and characteristic-based factor models [J].Journal of Banking & Finance, 2010, 34: 1383-1399. [8] Chan Y C, Wu Congsheng, Kwok C C Y.Valuation of global IPOs:a stochastic frontier approach[J].Rev Quant Finan Acc, 2007, 29: 267-284. [9] Aretz K, Bartram S M, Pope P F.Macroeconomic risks and characteristic-based factor models[J].Journal of Banking & Finance, 2010, 34: 1383-1399. [10] Tobin J.On the efficiency of the financial system [J].Lloyds Bank Review, 1984, 153: 1-15. [11] Li Kai.What explains the growth of global equity markets [J].Canadian Investment Review, 2002, 15(3):23-27. [12] 易荣华, 达庆利.基于DEA的股票相对投资价值评价与投资策略研究 [J].东南大学学报, 2004, 6(5): 46-51. [13] Edirisinghe N C P, Zhang X. Generalized DEA model of fundamental analysis and its application to portfolio optimization [J]. Journal of Banking & Finance, 2007, 31: 3311-3335. [14] Dia M. A portfolio selection methodology based on data envelopment analysis [J].Information Systens and Operatinal Research, 2009, 47(1): 71-79. [15] Charnes A, Cooper W W, Rhodes E.Measuring the efficiency of decision making units [J]. European Journal of Operational Research, 1978, 2(6): 429-444. [16] Murthi B P S, Choi Y K, Desai P. Efficiency of mutual funds and portfolio performance measurement:a non-parametric approach [J]. European Journal of Operational Research, 1998, 2: 408-418. [17] 易荣华, 李必静.股票定价模式及股价分解测度方法研究——基于输入输出转换及相对比较的视角 [J].中国管理科学, 2010, 18(5): 14-20. 浏览 [18] Fama E,Eugene F.Efficient capital markets:a review of theory and empirical work [J].Journal of Finance, 1970, 2: 383-423.
Full-Text
Contact Us
service@oalib.com
QQ:3279437679
WhatsApp +8615387084133
