资本定价理论及其在我国的应用研究
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摘要
本文是一篇关于资本定价理论介绍、评述及应用的文章。全文由三个部分组成,第一部分阐述资本定价的概念、内涵、意义和相关理论;第二部分对我国资本市场与资本定价有关的内容进行实证分析;第三部分对资本定价理论在我国应用所涉及的主要问题进行研究,为投资者资本定价提供实务指导和建议。
第一部分为理论综述。资本是经济发展到一定阶段的产物,资本来源于一般商品,又具有相对独立性。资本定价既包含了一般商品定价的基本原理,又与之有所区别。资本定价是一门科学,也是一门艺术,具有相对性、时效性、模糊性和主观性等特征,并受到反馈效应和制度性缺陷的影响。资本定价理论与应用清晰剖析了增加和毁损公司价值的因素,不仅可用于资本定价,而且对公司如何进行价值管理也具有积极的借鉴意义。在众多与资本定价相关的投资理论中,本文选择重要的有效市场假说、投资组合理论、MM理论、资本资产定价模型、套利定价模型和期权定价模型等理论进行了介绍,并分别进行了评述。
第二部分为实证分析。市场环境和投资者行为是影响资本定价的两个重要因素,因此本文从这两个方面对我国的证券市场进行了实证分析。由于制度性缺陷和制度变革的不确定性,我国证券市场尚处于弱式有效性向半强式有效性过渡阶段,具有信息收集和加工优势的投资者可以获得超额收益。随着机构投资者的不断壮大,我国投资者行为正逐步向价值投资理念转变,我们应顺应这种变化趋势,确立合理的投资策略。
第三部分为应用研究。资本定价的过程可分为公司分析、构建资本定价模型,以及定价决策三个步骤。公司分析分为定性分析和定量分析。最常用的资本定价模型主要有三种,折现现金流模型、相对定价模型和期权定价模型,投资者需要针对不同的公司特点选择不同定价模型。以定价模型得出的定价结果为重要参考,投资者还需要综合考虑和比较资本的控制权溢价、流动性和交易结构等因素,并在此基础上进行最后的定价决策。
This paper focused on the introduction, comment and application of capital pricing theory. It consists of three parts. In the first part, I explanied the concepts, connotation and theory of capital pricing, and it' s advices on company management. In the second part, I did empirical research on the domestic capital market to find out the environment and application of capital pricing. In the third part, I give my suggestion and resolution on how to apply the capital pricing theory to domestic market.The first part is a comprehensive survey on capital pricing theory. Capital evolved from common commodity as the result of economic development, while relatively independent. So there are both common and different principles between the pricing of them. Capital pricing is both scientific and artistic, with the characteristics of relativity, timeliness, opaque and subjective, and is influenced by feedback effect and institutional defect. The process of capital pricing clearly shows what add to or reduce the company value, so capital pricing theory is also beneficial to value-oriented management. In many of investment theories about capital pricing, this paper chooses to introduce efficient market hypothesis, portfolio investment theory, MM theory, capital and asset pricing model, arbitrage pricing model, option pricing model, and behavior finance theory, each theory I will show you my understanding.The second part is empirical analysis. The most two important factors that influence the capital pricing is the market environment and investor' s behavior, so this paper analyzed the domestic capital market from these two aspects. For institutional defects and the uncertainty of its transferring, china capital market is transferring from weak form efficiency to semi-strong efficiency, so the investor who has advantages of gathering and processing information can beat
第一部分为理论综述。资本是经济发展到一定阶段的产物,资本来源于一般商品,又具有相对独立性。资本定价既包含了一般商品定价的基本原理,又与之有所区别。资本定价是一门科学,也是一门艺术,具有相对性、时效性、模糊性和主观性等特征,并受到反馈效应和制度性缺陷的影响。资本定价理论与应用清晰剖析了增加和毁损公司价值的因素,不仅可用于资本定价,而且对公司如何进行价值管理也具有积极的借鉴意义。在众多与资本定价相关的投资理论中,本文选择重要的有效市场假说、投资组合理论、MM理论、资本资产定价模型、套利定价模型和期权定价模型等理论进行了介绍,并分别进行了评述。
第二部分为实证分析。市场环境和投资者行为是影响资本定价的两个重要因素,因此本文从这两个方面对我国的证券市场进行了实证分析。由于制度性缺陷和制度变革的不确定性,我国证券市场尚处于弱式有效性向半强式有效性过渡阶段,具有信息收集和加工优势的投资者可以获得超额收益。随着机构投资者的不断壮大,我国投资者行为正逐步向价值投资理念转变,我们应顺应这种变化趋势,确立合理的投资策略。
第三部分为应用研究。资本定价的过程可分为公司分析、构建资本定价模型,以及定价决策三个步骤。公司分析分为定性分析和定量分析。最常用的资本定价模型主要有三种,折现现金流模型、相对定价模型和期权定价模型,投资者需要针对不同的公司特点选择不同定价模型。以定价模型得出的定价结果为重要参考,投资者还需要综合考虑和比较资本的控制权溢价、流动性和交易结构等因素,并在此基础上进行最后的定价决策。
This paper focused on the introduction, comment and application of capital pricing theory. It consists of three parts. In the first part, I explanied the concepts, connotation and theory of capital pricing, and it' s advices on company management. In the second part, I did empirical research on the domestic capital market to find out the environment and application of capital pricing. In the third part, I give my suggestion and resolution on how to apply the capital pricing theory to domestic market.The first part is a comprehensive survey on capital pricing theory. Capital evolved from common commodity as the result of economic development, while relatively independent. So there are both common and different principles between the pricing of them. Capital pricing is both scientific and artistic, with the characteristics of relativity, timeliness, opaque and subjective, and is influenced by feedback effect and institutional defect. The process of capital pricing clearly shows what add to or reduce the company value, so capital pricing theory is also beneficial to value-oriented management. In many of investment theories about capital pricing, this paper chooses to introduce efficient market hypothesis, portfolio investment theory, MM theory, capital and asset pricing model, arbitrage pricing model, option pricing model, and behavior finance theory, each theory I will show you my understanding.The second part is empirical analysis. The most two important factors that influence the capital pricing is the market environment and investor' s behavior, so this paper analyzed the domestic capital market from these two aspects. For institutional defects and the uncertainty of its transferring, china capital market is transferring from weak form efficiency to semi-strong efficiency, so the investor who has advantages of gathering and processing information can beat
引文
1.Damodaran(美)著,林谦译,《投资估价:评估任何资产价值的工具和技术》第二版 清华大学出版社,2004,7月
2.小詹姆斯 L 法雷尔 沃尔特 J.哈雷特(美)著,齐寅峰等译,《投资组合管理理论与应用》(第二版) 机械工业出版社,2002
3.汤姆.科普兰等(美)著,郝绍伦等译,《价值评估—公司价值的衡量与管理》第三版,电子工业出版社,2002
4.《证券投资基金》中国证券业协会编,中国财政经济出版社,2004,6
5.周战强,《行为金融理论与应用》清华大学出版社,2004,7
6.Damodaran(美)著,朱武祥,邓海峰译《投资估价:评估任何资产价值的工具和技术》(第一版),清华大学出版社,1999,4
7.Markowitz,H.M.(美)著,军霞,张一驰泽,资产选择:投资的有效分散化》—2版,首都经济贸易大学出版社,2000,3
8.拉斯.特维德(挪威)著,周为群译,《金融心理学—掌握市场波动的真谛》,中国人民大学出版社,2003
9.程兵 吴卫星,“流动性溢价:一个理论分析”,《系统工程理论与实践》,2004,8
10.黄鹤、李凤吟,“从现金流角度构建财务困境预测模型”,《辽宁工程技术大学学报》(社会科学版),2003年11月
11.李华中,“上市公司经营失败的预警系统研究”,《财经研究》2001年10月
12.吴世农、卢贤义,“我国上市公司财务困境的预测模型研究”,《经济研究》2001年第6期
13.刘红霞、韩嫄,“对现金流财务预警警兆的理性分析”,《财经理论与实践》2004年7月
14.殷孟波、贺向明,“公司财务危机预警模型评介”,《经济学动态》2004年第3期
15.刘敬,略论资本资产定价模型及在我国证券市场中的应用》现代财经(天津财经学院学报)200308
16.胡继之 于华,《股市价格波动中若干因素的实证分析》深证综研字第0001号
17.张健 方先丽“略论投资组合管理的几个问题”,《经济经纬》(河南财经学院学报)2003年2月
18.瞿强,“资产价格泡沫与信用扩张—案例与模型”,《现代金融:理论探索与中国实践》,中国人民大学出版社,2004
19.Bernstein,P.L.(美)著,李繁康等译《投资革命:源自象牙塔的华尔街理论》,上海远东出版社,2001
20.保罗.巴伦(美)著 霍炜 宋文玉译,《怎样为盈利公司定价》—2版经济科学出版社,2001
21.胡继之、于华,“影响中国股市价格波动若干因素的实证分析”,《中国社会科学》 1999年第3期,68-87
22.鲁昌,“消费、利率与证券市场”,《上海财经大学学报》 2001年第4期,11-15。
23.刘仁和,《股权溢价与股市波动—中国股票市场的实证分析》,复旦大学经济学院博士论文 2004年5月。
24.刘仁和、陈柳钦,“通货膨胀幻觉、非理性估值与股市走向”,《金融教学与研究》2004年第4期,40-42。
25.彭文平、肖继辉,“股市政策与股市波动”,《上海经济研究》2002年第3期。
陈斌、李信民、杜要忠,《中国股市个人投资者状况调查报告》,深圳证券交易所研究 2002报告。
26.陈超、饶育蕾,“中困上市公司资本结构,企业特征与绩效”,《管理工程学报》2003年第1期。
27.陈良、张纪元,“欧美口企业的资本结构现状对我国上市公司融资决策的启示”,《金融与经济》2000年第5期。
28.陈稳进,“中外企业融资结构比较分析与启示”,《南开经济研究》2002年第3期。
29.陈小悦、陈晓、顾斌,“中国股市弱式效率的实证研究”,《会计研究》1999年第9期
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2.小詹姆斯 L 法雷尔 沃尔特 J.哈雷特(美)著,齐寅峰等译,《投资组合管理理论与应用》(第二版) 机械工业出版社,2002
3.汤姆.科普兰等(美)著,郝绍伦等译,《价值评估—公司价值的衡量与管理》第三版,电子工业出版社,2002
4.《证券投资基金》中国证券业协会编,中国财政经济出版社,2004,6
5.周战强,《行为金融理论与应用》清华大学出版社,2004,7
6.Damodaran(美)著,朱武祥,邓海峰译《投资估价:评估任何资产价值的工具和技术》(第一版),清华大学出版社,1999,4
7.Markowitz,H.M.(美)著,军霞,张一驰泽,资产选择:投资的有效分散化》—2版,首都经济贸易大学出版社,2000,3
8.拉斯.特维德(挪威)著,周为群译,《金融心理学—掌握市场波动的真谛》,中国人民大学出版社,2003
9.程兵 吴卫星,“流动性溢价:一个理论分析”,《系统工程理论与实践》,2004,8
10.黄鹤、李凤吟,“从现金流角度构建财务困境预测模型”,《辽宁工程技术大学学报》(社会科学版),2003年11月
11.李华中,“上市公司经营失败的预警系统研究”,《财经研究》2001年10月
12.吴世农、卢贤义,“我国上市公司财务困境的预测模型研究”,《经济研究》2001年第6期
13.刘红霞、韩嫄,“对现金流财务预警警兆的理性分析”,《财经理论与实践》2004年7月
14.殷孟波、贺向明,“公司财务危机预警模型评介”,《经济学动态》2004年第3期
15.刘敬,略论资本资产定价模型及在我国证券市场中的应用》现代财经(天津财经学院学报)200308
16.胡继之 于华,《股市价格波动中若干因素的实证分析》深证综研字第0001号
17.张健 方先丽“略论投资组合管理的几个问题”,《经济经纬》(河南财经学院学报)2003年2月
18.瞿强,“资产价格泡沫与信用扩张—案例与模型”,《现代金融:理论探索与中国实践》,中国人民大学出版社,2004
19.Bernstein,P.L.(美)著,李繁康等译《投资革命:源自象牙塔的华尔街理论》,上海远东出版社,2001
20.保罗.巴伦(美)著 霍炜 宋文玉译,《怎样为盈利公司定价》—2版经济科学出版社,2001
21.胡继之、于华,“影响中国股市价格波动若干因素的实证分析”,《中国社会科学》 1999年第3期,68-87
22.鲁昌,“消费、利率与证券市场”,《上海财经大学学报》 2001年第4期,11-15。
23.刘仁和,《股权溢价与股市波动—中国股票市场的实证分析》,复旦大学经济学院博士论文 2004年5月。
24.刘仁和、陈柳钦,“通货膨胀幻觉、非理性估值与股市走向”,《金融教学与研究》2004年第4期,40-42。
25.彭文平、肖继辉,“股市政策与股市波动”,《上海经济研究》2002年第3期。
陈斌、李信民、杜要忠,《中国股市个人投资者状况调查报告》,深圳证券交易所研究 2002报告。
26.陈超、饶育蕾,“中困上市公司资本结构,企业特征与绩效”,《管理工程学报》2003年第1期。
27.陈良、张纪元,“欧美口企业的资本结构现状对我国上市公司融资决策的启示”,《金融与经济》2000年第5期。
28.陈稳进,“中外企业融资结构比较分析与启示”,《南开经济研究》2002年第3期。
29.陈小悦、陈晓、顾斌,“中国股市弱式效率的实证研究”,《会计研究》1999年第9期
30.陈信元、原红旗,“上市公司资产重组财务会计问题研究”,《会计研究》1998年第10期
31.陈信元、张田余,“资产重组的市场反应”,《经济研究》1999年第9期。
32.戴国强、吴林祥,《金融市场微观结构理论》,上海财经大学出版社,1999
33.范龙振、张子刚,“深圳股票市场的弱有效性”,《管理工程学报》1998年第2期
34. Timethy P. Vick, Wall Street On Sale:How To Beat The Mrket AsA Value Investor》 by McGraw-Hill Companies, Inc.,1999
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