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通过对股票可交易过程的分析,提出可交易价值的概念并指出价格、流动性和波动性是构成可交易价值的主要因素,并在CAPM模型的基础上建立考虑股票可交易价值的资本资产定价模型。运用横截面回归法分别对我国沪深A股市场处于熊市和牛市阶段的行业日交易数据进行实证分析,指出以日风险收益率为代表的股票短期预期收益率不仅与传统系统风险因子有关,还受可交易价值中价格因子、流动性因子和波动性因子影响。并且,在不同市场环境下,可交易价值各因子的表现形式也不同,既反映出市场及投资者不同的心理预期,也为市场预测和监管提供了一种新的途径。
By analyzing the tradable shares, this paper puts forward the concept of tradable value and points out that price, liquidity and volatility are the main factors that constitute the tradable value. Based on the CAPM model, a capital asset pricing method that considers the tradable value of the stock is established model. Using cross-sectional regression method to analyze the daily trade data of China’s A-share market in the bear market and bull market separately, it is pointed out that the short-term expected rate of return represented by the daily risk return is not only related to the traditional system risk factor, Affected by price factor, liquidity factor and volatility factor in the tradable value. Moreover, under different market conditions, the factors of the tradable value also show different forms, which not only reflect the different psychological expectations of the market and investors, but also provide a new way for market forecasting and supervision.