上海证券交易所基本面的市场定价:基于自适应预期的股利贴现模型的证据

Mingyang Li, Linlin Niu, Andrew Pua
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引用次数: 0

摘要

我们研究了上海证券交易所的市场基本面的定价,将可能的非理性定价行为与适应性预期结合起来。利用上市公司的面板数据,克服了时间序列数据信息的有限性,在线性动态面板数据模型的基础上,对股利价格弹性的关键参数进行了估计和期望调整。我们使用具有固定实际价格和现金流量的股票的主要子集,并应用校正附带参数偏差的方法。根据年度(季度)数据,由此产生的股息价格弹性约为0.46(0.35),考虑到市场上的高市盈率,这是相当可观的。我们的研究结果表明,缓慢的预期调整有助于“泡沫样”的价格模式。我们还展示了价格对与贴现率相关的宏观信息的显著反应,但这些影响对所使用的信息集非常敏感。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Market Pricing of Fundamentals at the Shanghai Stock Exchange: Evidence from a Dividend Discount Model with Adaptive Expectations
We study market pricing of fundamentals at the Shanghai Stock Exchange, incorporating possible irrational pricing behavior with adaptive expectation. Using panel data of listed stocks to overcome the limited information in aggregate time series data, we estimated key parameters of the price elasticity of dividends and the expectation adjustment based on a linear dynamic panel data model. We use a major subset of stocks with stationary real prices and cash flows and apply methods that correct for incidental parameter bias. The resulting price elasticity of dividends is about 0.46 (0.35) based on annual (quarterly) data, which is sizable given high PD (PE) ratios in the market. Our results imply that slow expectation adjustment contributes to “bubble-like” price patterns. We also show prices significantly react to macro information related to the discount rate, but these effects are very sensitive to the information set used.
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