The Blue-chip Stock Pricing Model For China's Stock Market

The full text is divided into three chapter, chapter 1 is part for priced theories in stock, chapter 2 is an our country priced substantial evidence in stock part. Chapter 3 is an all circulating analysis.Chpter 1 research result thinks, the stock pricing theories can be divided into the traditional stock pricing theories and the modern stock pricing theories. Traditional stock pricing theories is the pricing theories which have been presented before Markowitz's property combination pricing theories, it regards inside value or price sport trend of single a stock as the research object, the dividend discount model is the main representation. The main limitation in traditional stock pricing theories have no further elucidation between return and risk, and this problem is the main research of modern stock pricing theories. The modern stock pricing theories regard markowitz's property combination theories as the foundation, make complicated investment problem as income —— risk model. But at the time of explaining the stock income with the stock risk, the modern stock pricing theories are also what exsit dispute. The capital asset pricing model( CAPM) thinks, the rate of return of the stock(combination) only have something to do with the system risk β of the stock(combination),have nothing to do with none system risk. The single-factor model thinks, the rate of return of the stock can be explained with system risk and none system risk together, but it limits the system risk in a factor (such as market index). Multifactor model then uses many a macroscopic economic variables explaining the system risk. In a new-announced thesis of Fama and French, they discover the system risk β can't explain the different income between different stock through the proof,but company scale and benefit/value in none system risk is a main fator to explain return rate of stock.Chapter 2 is divided into two parts. One is pricing characteristic in our country's stock market,and another is our country's stock market characteristic factor model. Chapter 2 research result thinks, the relation of the return and the risk in China's stock market stock income is out of the conclusion of the capital asset pricing model, none system risk factor plays important role is in our country's stock pricing. This attributes to two reasons primarily: One is none usefulness of our country's stock market. Our country's stock market exsit the information dissymmetry, no criterion in management, small market scale,lack of investment institution, all these factors make our country's stock market far away from market availability. But CAPM is a balanced model, with precondition that the market is efficient, when the asset pricing lacks the information efficiency, the conclusion of CAPM is not suitable for the actual circumstance of the market. Two is none usefulness of portfolio. The participant of our country's stock market is mainly retail investors. Because suffering the restriction of financial power and individual ability, the dispersion degree of their portfolio will be inevitable limited.the premise assumption of CAPM concerning investor hold high degree scatter stock combine does not match our country's current actual circumstance in stock market, therefore none system risk will influence the rate of return of the stock too. At the same time, I established a characteristic factor model that based on the blue-chip stock successfully. The operating outstanding achievement of the listed companies express on the profit ability firstly. We can establish the main operating profit rate, total property profit rate, net property return rate and each share income these four index signs to reflect the profit ability of the listed company. The listed companies which have good operating outstanding achievement will be strong on repaying debt both with long-term and with short term. We adopt shareholder rights ratio(1 — property liabilities rate) this index sign to reflect the ability of repaying debt over a long period of time about a listed company; and we...