中国股票市场定价效率研究——基于个股特有信息含量的视角
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财经研究 2010 年 第 36 卷第 08 期, 页码：69 - 78
摘要
参考文献
摘要
文章以上证50指数成分股为研究样本,从个股特有信息含量的视角探讨了股票定价效率。研究发现,基于个股特有信息含量的指数成分股定价效率呈现逐年下降态势;成分股公开的基本面因素在股票定价过程中的影响力较弱,非系统因素内化到个股定价中的信息含量较低,从而导致个股基于特有信息含量的定价效率偏低。
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[3]施东晖.上海股票市场风险性实证研究[J].经济研究,1996,(10):44-48.
[4]宋颂兴,金伟根.上海股市市场有效实证研究[J].经济学家,1995,(4):107-113.
[5]吴世农.我国证券市场效率的分析[J].经济研究,1996,(4):13-19.
[6]游家兴.市场信息效率的提高会改善资源配置效率吗?——基于R2的研究视角[J].数量经济技术经济研究,2008,(2):110-121.
[7]张宗新,朱伟骅.中国证券市场系统性风险结构的实证分析[J].经济理论与经济管理,2005,(12):32-37.
[8]Chakravarty S.Stealth trading:Which traders’trades move stock price?[J].Journalof Financial Economics,2001,61:289-307.
[9]Defond ML,Hung M.Investor protection and corporation governance:Evidence fromworldwide CEOturnover[J].Journal of Accounting Research,2004,42:269-312.
[10]Durnew A,Morck R,Yeung B,Zarowin P.Does greater firm-specific return variationmean more or less informed stock pricing?[J].Journal of Accounting Research,2003,41:797-836.
[11]Fama E F.Efficient capital markets:Areviewof theory and empirical work[J].Jour-nal of Finance,1970,25:383-417.
[12]Gul F A,Ki m J B,Qiu A A.Ownership concentration,foreign shareholding,auditquality,and stock price synchronicity:Evidence from China[R].SSRN Working Pa-per,2009.
[13]Jin L,Myers.R2around the world:Newtheory and tests[J].Journal of Financial E-conomics,2006,79:257-292.
[14]King B F.Market andindustry factors in stock price behavior[J].Journal of Business1966,39:139-190.
[15]Morck R,Yeung B,Yu W.The information content of stock markets:Why do emer-ging markets have synchronous stock price movements?[J].Journal of Financial Eco-nomics,2000,58:215-260.
[16]Roll R.R2[J].Journal of Finance,1988,43:541-566.
引用本文
廖士光. 中国股票市场定价效率研究——基于个股特有信息含量的视角[J]. 财经研究, 2010, 36(8): 69–78.
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