Risk Measurement Of Security With Its Use In China Security Market Investment Value Analysis

Risk measurement is one of the most important issues in security investment. For a long time, there are two theoretical systems in risk measurement, they are full domain risk theory and asymmetric risk theory.In full domain risk theory, risk is defined as the uncertainty of returns. Variance and β based on random walk and Hurst Index, index C and parameter X based on returns' long-term correlation are common risk measurement indexes in full domain risk theory. The empirical results showed that the correlation of return series were very complicated, such as some returns series have only short-term correlation or long-term correlation, while others have both, which can not be described perfectly by the risk indexes above mentioned.In asymmetric risk theory, risk is investor's psychology feeling to return's uncertainty and shows asymmetry, for investor has different psychology feeling to different part of security return's uncertainty. There two kinds of risk theories in asymmetric risk theory framework, one is down-side risk theory, the other is compounded deviation risk theory. Down-side risk theory considers risk as the loss of investment, while compounded deviation risk theory thinks that both loss and gain should be included in risk measurement though they have different influence. Comparing compounded deviation risk theory with down-side risk theory, we find that the former can reflect investor's real psychology about risk more accurately. But, the default of existed compounded deviation risk indexes is that the fluctuation of loss and gain are not included in.The analysis of security(market) investment value is essentially some kind of comprehensive assessment about return and risk. The existed research analyzes the security(market) investment value from the viewpoint of pricing, that is, studying the relation of security(market) price and its fundamental value. Dividend discounted model, price earning ratio model and risk premium model are most used in empirical analysis, and also used in the research of investment value about China security market. The defaults of existed research are mainly in two sides: First, it cares about whether investors can profit from investment but neglects the efficiency of resource allocation which is a very important function of security market. Second, besides their own limits of the ways used, the fact that they ignore...