全要素生产率与中国股票市场收益率预测研究
Journal: Economics DOI: 10.12238/ej.v8i9.2915
Abstract
对股票组合和股票市场整体收益率的预测是国外研究的热点问题,而国内大多数研究着眼于新的算法模型,忽视了全要素生产率等基本面变量作为技术进步的重要体现也应当能预测宏观股票收益率。为了检验中国宏观股票市场收益率能否由基本面指标预测,本文通过对新凯恩斯内生增长模型的中间品厂商生产函数的推导,引入全要素生产率波动率和全要素生产率水平作为预测变量,研究上述变量对股票市场收益率的预测效果。本文研究发现,全要素生产率波动率和全要素生产率水平对中国股票市场收益率的长期效果显著。进一步研究发现,股息分红比例和通货膨胀率对股票市场收益率预测效果随预测期限变动发生改变。
Keywords
全要素生产率；股息率；收益预测；IVX
Full Text
PDF - Viewed/Downloaded: 0 TimesReferences
[1] Bandi F M,Bretscher L, Tamoni A. Return predictability with endogenous growth[J].Journal of Financial Economics,2023, 150(3):103724.
[2] Fernald J G. A Quarterly, Utilization-Adjusted Series on Total Factor Productivity,Working Paper 2012-19[J].2014.
[3] 谭政勋,刘娟,郑尊信.全要素生产率、投资者外推预期与中国股票市场异象[J].经济研究,2024,59(02):97-115.
[4] Phillips P C B, Magdalinos T. Econometric inference in the vicinity of unity[J].Singapore Management University,CoF ie Working Paper,2009,7.
[5] Kostakis A,Magdalinos T,Stamatogiannis M P.Robust eco nometric inference for stock return predictability[J].The Review of Financial Studies,2015,28(5):1506-1553.
[6] Basu S,Pascali L,Schiantarelli F, et al. Productivity and the Welfare of Nations[R].National Bureau of Economic Resear ch,2012.
[2] Fernald J G. A Quarterly, Utilization-Adjusted Series on Total Factor Productivity,Working Paper 2012-19[J].2014.
[3] 谭政勋,刘娟,郑尊信.全要素生产率、投资者外推预期与中国股票市场异象[J].经济研究,2024,59(02):97-115.
[4] Phillips P C B, Magdalinos T. Econometric inference in the vicinity of unity[J].Singapore Management University,CoF ie Working Paper,2009,7.
[5] Kostakis A,Magdalinos T,Stamatogiannis M P.Robust eco nometric inference for stock return predictability[J].The Review of Financial Studies,2015,28(5):1506-1553.
[6] Basu S,Pascali L,Schiantarelli F, et al. Productivity and the Welfare of Nations[R].National Bureau of Economic Resear ch,2012.
Copyright © 2025 单美姣, 李可欣
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License