股票投资与股票价格行为分析
苏平贵


股票投资与股票价格行为分析
摘要:本文通过剖析资本资产定价模型CAPM的假设前提和逻辑推理过程,发现该模型得出的结论是在用它所定义的股票投资差价收益率R=[(Pt+1-Pt)]/Pt的波动性这一自变量,来解释投资者所获得的股票投资平均差价收益率这一因变量,存在着就股价论股价和用自己解释自己的逻辑缺陷,而没有深入分析引起股价波动背后的深层原因.针对CAPM的局限性,本文首次提出了一个基于股票内在价值,市盈率,预期,不确定性及供求关系的股票价格行为动态分析模型.本文认为,引起股票市场价格变动的主要原因是体现股票内在价值变动的每股收益的变动,二者存在着密切的内在联系,联系二者的途径是市盈率指标;其他因素是通过影响每股收益和股票内在价值,最终对市场价格产生影响作用的;股票的市场价格是在投资者对公司未来每股收益和股票内在价值的不断预期,对市盈率的不断判断及矫正的基础上,在由此导致的投资决策及供求力量的作用下,围绕大多数资者普遍认可的合理市盈率而上下波动的.
关键词:内在价格;市盈率;预期;不确定性;股票价格行为

On the Stock Investment and Stock Price Bihavior
Su Pinggui
Dongbei University of Finace and Economics
By analyzing the premise and logical reasoning of Capictal Asset Pricing Model (CAPM), the paper detects a default that the model of is using the independent varibale--the volitility of the return from stock price variation R=[(Pt+1-Pt)]/Pt to explain dependent varibale--the means return the investor obtained from stock price variation, there exists an logical defect in CAPM that is it explains the stock price variation by itself.Be directed at the shortcomings of CAPM , the paper put forward a dynamic model that is based on the internal value of stock ,the ratio of price-earnings, the expectation of investors, the uncertainty and the supply-demand laws. The paper arguese that the main reason that cause the stock price to vary is the variation of earnings per share that reflects the variation of the internal value of stock, and all other factors influence the variation of stock price by influencing the variation of earnings per share.There is an close relation betweenand,that is ,and the way to relate the two variables is ratio of price-earnings. The paper also discusses the relationship between the stock price behavior and the investors' expectation of earnings per share , and the investors' judgment of the difference between the actual and their held ratios of price-earnings. At the end, the paper conclude that the stock price fluctuate around all investors' held price-earnings ratios under the demand force and the supply force based on their expectation and their judgment mentioned above.

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