上月刚出炉的NYU 和MIT的研究论文。认为中国股市经过过去的波折之后，市场有效性大为提高，已不是大家认为的赌场股市。中国投资者使用的投资分析方法与西方成熟市场也无太大差别。论文44页，太长，下面是摘要。
一家之言。
另外，投资有风险，入市要小心。^_^
Jennifer N. Carpenter， Robert F. Whitelaw, New York University
Fangzhou Lu, MIT
November 11, 2014
The Real Value of China’s Stock Market
Abstract
China is the world’s largest investor and greatest contributor to global economic growth by wide margins. The efficiency of its financial system in allocating capital to investment will be important to sustain this growth. This paper shows that China’s stock market has a crucial role to play. Since the reforms of the last decade, China’s stock market has become as informative about future corporate profits as in the US. Moreover, though it is a closed market, Chinese investors price risk and other stock characteristics remarkably like investors in other large economies. They pay up for large stocks, growth stocks, and long shots, and they discount for illiquidity and market risk. China’s stock market no longer deserves its reputation as a casino. In addition, the trend of stock price informativeness over the last two decades is highly correlated with that of corporate investment efficiency. China’s stock market appears to be aggregating diffuse information and generating useful signals for managers. Finally, because of its low correlation with other stock markets and high average returns, China’s stock market offers high alpha to diversified global investors who can access it. Yet this high alpha amounts to an inflated cost of equity capital, constraining the investment of China’s smaller, more profitable enterprises. Further reforms that open this market to global investors and improve stock price informativeness will be important to increase China’s investment efficiency and fuel its continued economic growth.
一家之言。
另外，投资有风险，入市要小心。^_^
Jennifer N. Carpenter， Robert F. Whitelaw, New York University
Fangzhou Lu, MIT
November 11, 2014
The Real Value of China’s Stock Market
Abstract
China is the world’s largest investor and greatest contributor to global economic growth by wide margins. The efficiency of its financial system in allocating capital to investment will be important to sustain this growth. This paper shows that China’s stock market has a crucial role to play. Since the reforms of the last decade, China’s stock market has become as informative about future corporate profits as in the US. Moreover, though it is a closed market, Chinese investors price risk and other stock characteristics remarkably like investors in other large economies. They pay up for large stocks, growth stocks, and long shots, and they discount for illiquidity and market risk. China’s stock market no longer deserves its reputation as a casino. In addition, the trend of stock price informativeness over the last two decades is highly correlated with that of corporate investment efficiency. China’s stock market appears to be aggregating diffuse information and generating useful signals for managers. Finally, because of its low correlation with other stock markets and high average returns, China’s stock market offers high alpha to diversified global investors who can access it. Yet this high alpha amounts to an inflated cost of equity capital, constraining the investment of China’s smaller, more profitable enterprises. Further reforms that open this market to global investors and improve stock price informativeness will be important to increase China’s investment efficiency and fuel its continued economic growth.
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