股票收益

文章利用深圳证券市场的股价指数信息，建立股票收益的GARCH模型，并对该模型的参数、阶数进行估计，分析了股票收益的变化趋势。

In this paper , a GARCH model of stock yield is set up based on the information of the share index in Shenzhen Securities Business . Based on the estimate of the parameters and orders in this GARCH model , the changing trend of stock yield is analyzed .

股票收益率的可预测性是资产定价研究中的核心问题。

Forecasting stock yield is the kernel problem in researching asset price-making .

GP分布模型与股票收益率分析

Generalized Pareto Distribution and Analysis of Stock Price Returns

最后，利用MonteCarlo方法对股票收益序列进行了模拟和分析，进一步证实了这一结论。

Finally , these conclusions are further verified by using the Monte Carlo method to simulate and analyze the stock revenue series .

相似的，发行价格因子（PRC）与初始投资收益率因子（IR）与长期股票收益率之间呈现出负的相关性。

Similarly , there is a negative relation between the buy-and-hold return and the offering price factor and the initial return factor .

2）尽管BETA始终没有对股票收益表现出显著的解释能力，但当采用Scholes和William（1977）的方法估计BETA时，BETA的预测能力有了明显的提高；

And 2 ) Scholes and William ( 1997 ) method can help us increase the predicting ability of BETA ;

首次尝试采用稳健的R估计法建立电力行业股票收益率与经营业绩指标的数学模型。

Initially applying robust R estimator method , a more significant multivariate regression model among stock profit ratio and business ( achievement ) index such as earnings per share is established .

依据深圳市场9只股票收益率数据，采用matlab进行优化计算，并验证模型的有效性。

For the data of nine stock profit rate in Shenzhen stock market , MATLAB is adopted to wage the optimization calculation and to verify the effectiveness of the model .

S分析在短程相关存在的情形下，可能会导致有偏的检测结果，因此使用RS分析来检测股票收益率的长程相关引起了许多学者们的争议。

The findings of longrange dependence in stock returns using R / S analysis have been disputed because this type of analysis might be biased due to the presence of shortterm dependence .

IPO新股询价制对电力行业股票收益率的影响询价制与承销风险实证研究

The influence on stock profit ratio of electric power industry by different IPO systems An Empirical Study on the Relationship between Quotation and Underwriting Risk

近年来许多国外学者通过对汇率、股票收益率、黄金价格等金融市场实证数据的分析，发现了这些数据所具有的另一种重要的非线性特征&多标度分形（Multifractal）特征。

Many recent researches with empirical data have demonstrated that financial data has another important nonlinear feature - multifractal .

其次探讨股票收益率采用的两个模型：传统的资本资产定价模型和多要素套利定价理论，并介绍如何计算股票的VaR；

Secondly we discuss the two models of stock returns rate , CAPM and APT , and then we introduce how to calculate VaR of stock .

早期实证研究表明预期股票收益由系统风险BETA决定，可用CAPM模型进行预测。

Early empirical studies showed that expected stock returns can be decided by beta and can be forecast by the CAPM model .

对于股票收益在交易时刻波动明显大于非交易时刻波动的现象，French与Roll提出了三个可能的原因：&在正常的工作日产生的公有信息导致高的交易时刻波动；

French and Roll consider three possible explanations for the observed variance pattern . & high trading-time volatility is caused by public information which is more likely to be observed during normal business hours ;

本文研究沪深A股市场股票收益率的截面性质，并检验FamaFrench三因素资产定价模型在中国A股市场的适用性。

We study the cross-sectional expected stock returns and test the Fama-French three factors model in A shares of Shanghai and Shenzhen Stock Exchange .

由于本文的收益率分布拟合检验表明我国的股票收益率服从非正态稳定分布，所以在我国股票市场上ES是比VaR更好的风险度量。

Because the distribution of rate of return on China Stock Market is non-normal stable , ES is a better risk measurement than VaR on China Stock Market .

股票收益率呈现出厚尾特性，VaR及其压力测试模型能很好的计量投资组合的尾部收益及风险，因而结合了VaR的方差模型是适合于我国证券投资市场风险计量的有效模型。

VaR and stress testing model can measure this tail risk , therefore , combined with Delta-Method , VaR is the efficient model that can be applied to measure Chinese security portfolio market risk .

为了更好地刻画出股票收益波动随时间变化的特征，在三因素模型基础上加入广义自回归GARCH（1,1）模型。

To describe the feature better that stock income fluctuation changes with time , GARCH ( 1,1 ) model is added based on the three factors model .

通过对股票收益率进行逐步回归和相关性分析，实证结果表明EVA指标能较好地解释股价波动和衡量公司业绩。

According to the stepwise regression to stock return rate and the correlated analysis , it is proved that the EVA index can well explain the volatility of stock price and evaluate the achievement of companies .

然而最近20多年的研究发现预期股票收益并不能由BETA单独决定，其它基础变量也有解释作用，如规模和账面市值比。

However , in the last 20 years studies found that expected stock returns cannot be decided by beta alone and other characteristic variables can be added to explain expected stock returns , such as size and B / M.

此外，研究发现将Fama-French三因素作为影响行业股票收益风险因素的一般统计量，具有一定经济含义。

In addition , studies found that three Fama-French factor model can be seen as a general statistic that affects the risk of stock returns .

第四部分采用自相关分析方法、GARCH族模型来研究上市商业银行股票收益与波动的相关性、聚集性、杠杆效应及股票价格波动风险与收益之间的关系。

The fourth part is a auto-correlation method using GARCH family model to a listed commercial bank stock returns and volatility correlation , aggregation , leverage and stock price volatility of the relationship between risk and return .

本文主要讨论了度量金融风险的VaR方法，并且在股票收益随机游动的假设下计算了深圳股市在不同置信水平下的风险值，并与实际投资收益做了对比。

This paper discusses the VaR methodology for measuring financial risk . Based on the random walk hypothesis of stock return , the VaRs of stock in Shenzhen market under different confidence level are investigated , and the comparisons with actual investment return are also presented .

EVA-MVA及会计指标对股票收益解释能力的比较研究

Comparative Study on the Explanatory Power to Stock Return by the EVA , MVA and Accounting Indicators

我们将查看一年当中的股票收益的表现（使用虚构数据），然后在Flickr相册中发布该图表，这个相册展示了过去的性能图表。

We 'll look at the performance of stock gains over a year ( using fake data ), and then we 'll post the chart in a Flickr album that shows past performance charts as well .

股票收益率的可预测性重点表现在股票价格的惯性效应与反转效应，它们作为股票市场的异常现象与有效市场假说相矛盾，不能用资本资产定价模型（CAPM）和Fama-French三因素模型进行解释。

Stock return predictability is mainly reflected in the momentum effect and contrarian effect , which , as an anomaly in stock market , cannot be explained by CAPM and Fama-French Three Factor Model and are inconsistent with Efficient Market Hypothesis ( EMH ) .

Kaul（1987）假设股票收益与通货膨胀的关系是由货币部门的平衡过程决定的，而且这种关系会随货币需求和货币供给因素的影响变化而变动。

Kaul ( 1987 ) hypothesized that the relations between stock returns and inflation are caused by the equilibrium process in the monetary sector , and moreover , these relations vary over time in a systematic manner depending on the influence of money demand and supply factors .

而使用Geweke和Porter-Hudak（1983）提出的分数差分检验，检验结果却支持股票收益存在长期记忆的假设。

In order to test the long memory in stock return in Chinese stock market , we employ the fractional differencing test devised by Geweke and Porter-Hudak ( 1983 ) . We find evidence of long memory of returns .

换手率与股票收益：流动性溢价还是投机性泡沫？

Turnovers and Stock Returns : Liquidity Premium or Speculative Bubbles ?

盈余质量对股票收益的影响研究

A Research on the Effect of Earnings Quality to Stock Returns