内容简介
《股票市场收益率的可预测性：基于中国股票市场的实证研究（英文版）》主要关注模型不稳定情况下中国股票市场表现的可预测性。书中考察了模型不稳定情况下中国股市（沪深两市）下行行为和股市收益率可预测性的统计和经济意义。研究发现具有统计上显著效应的预测变量在构建市场择机策略时并非能够产生超额回报，研究认为模型不稳定性是投资风险的重要来源，会显著影响收益的可预测性，从而影响投资者的长期财富。因此在进行资产配置时必须考虑模型存在不稳定的可能。
目录
Chapter 1 Introduction
1．0 Introduction
1．1 Research Motivation
1．2 Objectives of the Research Study
1．3 Structure of the Book
1．4 Conclusion
Chapter 2 The Chinese Equity Market： Historical Development and Characteristics
2．0 Introduction
2．1 Historical Development
2．2 General Data on the Market
2．3 Summary and Conclusion
Chapter 3 Academic Literature on the Chinese Equity Market
3．0 Introduction
3．1 Equity Pricing Factors
3．2 Dynamic Linkages among Equity Markets
3．3 Efficient Market Hypothesis
3．4 Summary
Chapter 4 Equity Market Returns and Predictor Variables： Theoretical Explanations and Empirical Evidence
4．0 Introduction
4．1 Standard Dividend Discount Model
4．2 Relationships between Predictor Variables and Equity Returns
4．3 Model Instability
4．4 Summary
Chapter 5 Data and Methodology
5．0 Introduction
5．1 Data Description
5．2 Methodological Background on the Empirical Research Presented
