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通过超额收益统计检验研究市场有效性和利用均值—方差投资组合理论间接研究金融资产定价的经典方法与范式正面临尖锐的质疑和挑战。本文从输入输出转换和相对比较的视角对股票定价机制进行了分析,提出了一个涵盖四类定价因素,综合反映股票内在价值和相对价值的定价模式,给出了各组成部分的测度模型。最后,利用9家多重上市公司股票论证了本文提出方法的有效性。
The classic method and paradigm of indirectly studying the pricing of financial assets through the statistical analysis of excess returns to study the effectiveness of the market and the mean-variance portfolio theory are facing sharp challenges and challenges. This paper analyzes the stock pricing mechanism from the perspectives of input-output transformation and relative comparison, and proposes a pricing model that covers four types of pricing factors and comprehensively reflects the intrinsic and relative value of the stock. The measurement model of each component is given. Finally, the validity of the proposed method is demonstrated by using the stocks of nine multiple listed companies.