股票价格与公司盈利随机关系研究.docVIP

股票价格与公司盈利随机关系研究 　　摘 要：本文从公司未来盈利及其增长率的随机性出发，通过将公司盈利（及其增长率）与股票价格（及其变动率）看作是二维随机变量，借助于市盈率这个联系股价与公司盈利的桥梁与纽带的作用，运用概率论中的条件概率分析方法，研究了股票价格变动率与公司盈利增长率的随机关系，首次提出了一个反映股票市场价格随公司盈利的变动而变动的随机关系模型。 　　关键词：股票价格；公司盈利能力；随机关系 　　中图分类号：F830．91文献标识码：A 　　文章编号：1000-176X(2008)03-0068-08 　　 　　A discussion of the stochastic relation between Stock Price and earnings per share? 　　 　　SuPinggui? 　　Dongbei University of Finance and Economics? 　　 　　AbstractBe directed at the shortcomings of the existing theoretical and positive researches on the relationship between the stock price and earnings per share，the paper discuss stochastic relation between the stock pricewith earnings per shareand their variation rateswithby viewingwithas two-dimensional stochastic vector，andwithas two-dimensional stochastic vector ，and by using the ratio of price to earnings per share as a index of valuing stocks． Under the analyses of conditional probability and conditional variance， the paper put forward a stochastic model for the first time． The model reveal the internal relation between the variation of stock price and the variation of earnings per share， and it also uncover the way and size of the influence of structural factors such as the variance of earning per share， the variance of price itself， the coefficient of the two variablesthat cause the price to vary． Beside， the model is a stock valuing model that is based on earning ability of company， so it has special meanings to china stock market， because it is irrational． It can help the investors to invest with rational sense．? 　　Key wordsStock Price， earnings per share， stochastic relation? 　　 　　股票价格与上市公司盈利能力之间的关系既是一个事关虚拟资本与实体经济、股票市场与上市公司之间相互关系的重大的理论问题，也是一个涉及证券市场中股票估价与投资理念的实际问题，是证券市场研究中长盛不衰的课题之一。对于这一问题，虽然国内外许多研究分别从理论和实证分析的角度证实了：作为虚拟资本的股票，最终必然要受制于实体经济，其内在价值取决于公司未来的盈利能力，而其市场价格则要遵循“价格围绕内在价值上下波动”的价值规律；实际市场价格与公司盈利能力之间具有显著的相关关系。但是这些研究也存在着一定的局限性，主要表现在，大多数理论研究是一种确定性关系研究，这就使得这种研究的结论很难适用于存在很大不确定性的现实股票市场；而大多数实证研究本身则并不能揭示二者之间究竟存在怎样的随机关系，也不能给出二者之间明确具体的随机关系表达式，因