Fundamental and nonfundamental components in stock prices of Pacific-Rim countries
Fundamental and nonfundamental components in stock prices of Pacific-Rim countries
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环太平洋国家股票价格的基本面和非基本面组成部分
DOI：
10.1016/s0927-538x(98)00016-x
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发表时间：
1998
期刊：
影响因子：
--
通讯作者：
Bong‐Soo Lee
中科院分区：
文献类型：
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作者：
Heetaik Chung;Bong‐Soo Lee
本文通过分析股价、股息和收益在应对三种类型冲击（基本面的永久性和暂时性变化以及非基本面因素）时的表现，考察了香港、新加坡、韩国和日本等环太平洋国家的股价与其基本面的偏差。总体而言，研究结果表明，香港和新加坡市场相当有效，其股价几乎没有显着偏离基本面，而韩国和日本市场则受到非基本面、非金融因素的强烈影响。这种影响在韩国是负面的，而在日本则是正面的。这些发现有助于我们了解在大部分样本期内韩国股票的市盈率相对较低，而日本股票的市盈率较高。这就要求在理解韩国和日本的股价行为时更多地关注政治事件和其他经济事件等非基本面因素。我们还发现，在相当长的一段时间内，这些国家的普通股并不能很好地对冲通胀。韩国市场尤其如此。
This paper examines the deviation of stock prices of the Pacific-Rim countries – Hong Kong, Singapore, Korea, and Japan – from their fundamentals by analyzing how stock prices, dividends, and earnings behave in response to three types of shocks: permanent and temporary changes in fundamentals, and nonfundamental factors. Overall, the findings imply that Hong Kong and Singapore markets have been quite efficient in that their stock prices hardly deviate significantly from their fundamentals, whereas Korean and Japanese markets have been strongly influenced by nonfundamental, non-financial factors. That effect was negative in Korea while it was positive in Japan. These findings help us understand relatively low p/e ratios of Korean stocks and high p/e ratios of Japanese stocks for much of sample periods. This calls for more attention to such nonfundamental factors as political events and other economic events in understanding the stock price behavior of Korea and Japan. We have also found that for a substantial period of time, common stocks of these countries were not a good hedge against inflation. This was, in particular, the case with Korean market.