Frontier of Modern Securities Finance Theory and Chinese Empirical Research

Author: Yang Zhaojun Cai Mingchao Yang Yiwen
Publisher:
Publish Date: 2004-09-01
Features: This book systematically introduces core theories such as the Capital Asset Pricing Theory, Modern Portfolio Performance Evaluation and Decomposition Theory, Market Efficiency, and Stock Market Liquidity. It also conducts corresponding empirical research using a large amount of data from the Chinese securities market, drawing meaningful conclusions. Professor Yang Zhaojun has been dedicated to researching modern securities and finance theory since the 1980s. To date, he has published nearly 100 papers in this field, seven books, and has led four national scientific research projects, making him one of the leading scholars in China's securities and finance theory. This book is a part of the crystallization of his recent national scientific research projects, systematically introducing core theories such as the Capital Asset Pricing Theory, Modern Portfolio Performance Evaluation and Decomposition Theory, Market Efficiency, and Stock Market Liquidity, and conducting corresponding empirical research using a large amount of data from the Chinese securities market to draw meaningful conclusions. The content of this book emphasizes scientific rigor and empirical evidence. I believe the publication of this book will have significant value in advancing theoretical and practical research in modern securities and finance in China, making it a valuable reference for academics and industry professionals. The book adopts a combination of theoretical research and empirical testing methods to study issues in four key areas of modern securities and finance theory: Capital Asset Pricing, Efficient Market Hypothesis, Portfolio Investment Management Evaluation, and Stock Market Liquidity. The book is divided into nine chapters. After theoretically exploring and empirically studying methods for testing the normal distribution of stock returns in Chapter 1, Chapter 2 provides a detailed introduction to the theoretical development of the Capital Asset Pricing Model (CAPM), using the Shanghai stock market as a sample to study the relationship between returns and risk. Chapter 3 delves into various forms of market efficiency and their quantitative expressions. Chapter 4 explores non-rational financial theories represented by behavioral finance, introducing quantitative research methods for overreaction and underreaction of information. Chapters 5 to 7 focus on portfolio investment management evaluation methods represented by fund investment management. Due to differences in trading systems, the price formation mechanisms of stock markets in China and abroad are different. The research in Chapters 8 and 9 of this book shows that the Shanghai stock market, which adopts limit order instructions, has leading liquidity levels, with the frequency of bid-ask spreads reaching the smallest quoted units highly negatively correlated with their price levels. After the market opens, market depth gradually increases, while it starts to gradually decrease as the trading session nears its end. The book follows the entire framework of modern securities and finance investment theory, incorporating both cutting-edge Western theoretical research and models pioneered by the authors in China during their research on the Chinese capital market. It serves as a reference for theoretical researchers in the field of finance, doctoral and master's students, as well as senior securities analysts.