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有效市场就没有收益率的均值回复吗?——基于理性资产定价模型的研究

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摘要 通过构造理性定价模型,利用宏观经济状态的变化来反映市场风险,证明在有效市场中,股票收益率也能呈现出均值回复特征,其原因除了小样本的偏差外,还可能是理性经济人的风险厌恶和平滑消费意愿的结果。因此,均值回复现象不能作为拒绝我国股票市场弱势有效的证据。
作者 王美今 陈锐
机构地区 中山大学岭南学院
出处 《中山大学学报（社会科学版）》 CSSCI 北大核心 2010年第6期182-191,共10页 Journal of Sun Yat-sen University(Social Science Edition)
关键词 均值回复 市场有效 理性预期 状态转移 方差率
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献29

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二级参考文献42

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共引文献47

中山大学学报（社会科学版）
2010年 第6期

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