| Theoretical Explanation of Return Predictability Based on Stock Price Formulation |
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| 作者姓名： | 郭磊 吴冲锋 王欣荣 |
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| 作者单位： | [1]Henan Office of China Banking Regulatory Commission, Zhengzhou 450003, China [2]Financial Engineering Center, Shanghai Jiaotong University, Shanghai 200052, China |
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| 基金项目： | The National Natural Science Foundation of China （No. 70025303） |
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| 摘 要： | To find out which factors determine stock return and to give rational explanation of return predictability, according to the principle of stock price formulation, the trend of stock price is obtained by use of option pricing method. The trend of stock price is put into reconstructing CAPM （capital asset pricing model） beta; it is concluded that the firm-specific biases and the scale biases potentiaUy induce return predictabih＇ty. In addition, through the relation between the biases structure and the intrinsic value, an appropriate theoretic explanation is supplied for three-factor pricing model proposed by Fama and French.
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| 关 键 词： | 可预测性 弹力值 偏差 测量方法 |
| 文章编号： | 1005-2429（2006）01-0089-05 |
| 收稿时间： | 2005-01-10 |
Theoretical Explanation of Return Predictability Based on Stock Price Formulation |
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| Guo Lei,Wu Chongfeng,Wang Xinrong.Theoretical Explanation of Return Predictability Based on Stock Price Formulation[J].Journal of Southwest Jiaotong University,2006,14(1):89-93. |
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| Authors: | Guo Lei Wu Chongfeng Wang Xinrong |
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| Abstract: | To find out which factors determine stock return and to give rational explanation of return predictability, according to the principle of stock price formulation, the trend of stock price is obtained by use of option pricing method. The trend of stock price is put into reconstructing CAPM (capital asset pricing model) beta; it is concluded that the firm-specific biases and the scale biases potentially induce return predictability. In addition, through the relation between the biases structure and the intrinsic value, an appropriate theoretic explanation is supplied for three-factor pricing model proposed by Fama and French. |
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| Keywords: | Return predictability Value elasticity Scale bias Firm-spedfic bias |
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