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本文通过分析认为,我国A股股市零贝塔率由我国A股上市公司的长期经营业绩和长期成长能力决定,并基于我国A股股票的月度收益数据计算出了我国A股股市零贝塔率的估计值。这个估计值不仅明显低于相同期限的定期存款和国债的收益,而且小于1(也就意味着我国A股股市净零贝塔率为负值),这充分表明了我国A股上市公司长期经营状况和长期成长能力的欠佳程度。本文还通过分析表明,在市场组合净收益期望值为零的条件下,只要我国A股股市净零贝塔率小于零,股价泡沫和股价同涨同落现象就能够自我形成。
Based on the analysis, the zero-beta of A-share market in China is determined by the long-term business performance and long-term growth ability of A-share listed companies in China. Based on the monthly earnings data of A-share stocks in China, value. This estimate is not only significantly lower than the same period deposits and treasury bonds proceeds, and less than 1 (also means that China’s A-share market net negative beta) is negative, which fully demonstrates the long-term management of China’s A-share listed companies And poor long-term growth ability. This paper also shows that under the condition that the net return expectation of the market portfolio is zero, as long as the net zero beta rate of A-share market in China is less than zero, the stock price bubble and stock price can rise self-forming with the same falling stock price.