Stock valuation is fundamentally important to finance. The current absolute and relative valuations do not wok in some common circumstances. This paper finds a new valuation method with the criterion of required payback period. The new method is a brand new way in valuation paralleling to the discounted cash flow method. This paper further derives the models of theoretical P/E, P/B and P/S based on the new method. These new valuation models are theoretical sound and flexible for valuing various stocks and market bubbles. They can also bridge the gap between the relative and absolute valuations.

In this paper, we extend the long-run risks model of Bansal and Yaron (BY, 2004) to allow both a long- and a short-run volatility component in consumption growth, long-run risks, and dividend growth. Our two volatility model better captures macroeconomic volatility than a single volatility model, and can reconcile simultaneously the large negative market variance risk premium, di?ering predictability in excess returns, consumption, dividends, and stock market volatility, all of which are di±cult to explain previously by the BY model.

This study examines the effect of corporate asset growth on stock returns using data on nine equity markets in Asia. For the period from 1981 to 2007, we find a pervasive negative relation between asset growth and subsequent stock returns. We further examine the determinants of this asset growth effect across markets. The negative relation between asset growth and stock returns is weaker in markets where firms’ assets growth rates are more homogeneous, and in markets where firms rely more on internal financing and bank financing for growth. On the other hand, corporate governance, investor protection, and legal origin do not influence the magnitude of the asset growth effect in the Asian markets.

We analyze return predictability for the Chinese stock market, including the aggregate market portfolio and the components of the aggregate market, such as portfolios sorted on industry, size, book-to-market and ownership concentration. Considering a variety of economic variables as predictors, both in-sample and out-of-sample tests highlight significant predictability in the aggregate market portfolio of the Chinese stock market and substantial differences in return predictability across components. Among industry portfolios, Finance and insurance, Real estate, and Service exhibit the most predictability, while portfolios of small-cap and low ownership concentration firms also display considerable predictability. Two key findings provide economic explanations for component predictability: (i) based on a novel out-of-sample decomposition, time-varying macroeconomic risk premiums captured by the conditional CAPM model largely account for component predictability; (ii) industry concentration and market capitalization significantly explain differences in return predictability across industries, consistent with the information-flow frictions emphasized by Hong, Torous, and Valkanov (2007).

We find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets (Wu 2001, and Bae, Kim and Nelson 2007). Further examination of this phenomenon reveals that the positive impact of good news on volatility is driven by return chasing behaviour of investors in large stocks during bull markets. We also find that volatility increases after stock price declines in bear markets especially for small stocks. This increase in volatility of small stocks after bad news in bear markets is partly driven by liquidity. After controlling for liquidity shifts, there are no significant patterns in the volatility of small stocks during bear markets. We posit that institutional and behavioural factors are the major driving forces of observed volatility patterns in Chinese stock market.

自１９９９年我国首批指数基金出现以来，我国的指数基金开始稳步发展。本文以我 国的指数基金为对象，对我国指数化投资的绩效展开研究。通过对跟踪误差进行分析，从总 体上反映出，样本指数基金的跟踪误差表现尚可。进而对跟踪误差方差进行分解，发现样本 指数基金的风险结构符合有关指数化投资的金融理论。虽然，样本基金中华安ＭＳＣＩ中国 Ａ股表现异常，但可以认为整体上我国的指数基金运行良好。

We compare the effects of futures market margin policy on trading activity and volatility between the China margin system and the U.S. margin system. In China margin levels are set as a fixed percentage of the underlying futures contract value and change daily as futures prices change over time. In contrast, margin is set at a fixed dollar amount for most contracts in the United States and is infrequently adjusted at the discretion of the exchange’s clearinghouse. We provide a theoretic model on how the changing margin cost between market-up days and market-down days would affect the demand and supply of short term speculators and long term hedgers in the Chinese futures market and their different effects on market volatility. The model shows that the futures price shocks should have an asymmetric effect on trading volume and volatility in the Chinese market but symmetric effect in the U.S. market and futures price should have a return dynamics that is more stable in the Chinese market than in the U.S. market. Using Soybean futures data from the Chinese and U.S. markets, we compare price and volatility dynamics between the two markets and find empirical support for our theoretic model and hypothesis.

本文以富豪榜上榜事件为研究对象，探讨了媒体关注度高的股票收益反而低于低关注股票这一“媒体效应”的产生原因，通过实证研究检验了基于传统金融理论的“风险补偿假说”和基于行为金融学中投资者有限关注的“过度关注弱势假说”。研究结果显示被报道股票在事件期内产生了直接的负的超额收益， 而通过倾向得分匹配算法构建的控制组股票收益并不显著，说明“风险补偿假说”不成立， “媒体效应”的来源并不是低关注股票的正收益。事件期内被关注股票的交易量显著放大，并且日历时间组合方法在事件日前得到了显著的正收益，在事件日后则转为显著的负收益，基本符合“过度关注弱势假说” 。

在2004年到2006年美联储不断上调联邦基金利率的过程中，美国的长期利率不降反升，此现象被时任美联储主席的格林斯潘称之为长期利率之谜。同期中国人民银行的美国国债持有量也快速增长。本文利用计量经济学的方法，分别在参数不变和参数可变的假设下对此二者的相关性进行了动态分析，发现中国持有美国国债绝对数量以及相对比例的不断增加，显著地压低了美国的长期利率，中国因素是造成美国长期利率之谜的一个重要原因。