国企分红制度中的资本成本估算研究
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摘要
在当前国有企业即将告别不分红的时代,重启利润分红的背景下,本文基于资本成本这一理财学的核心概念,指出政府股东财富最大化为国有企业合理的理财目标。这一目标的实现,必然要求国有企业向政府股东进行利润分红,即满足政府股东的资本成本要求。因而对政府股东的投资要求报酬率,即国有企业的资本成本进行估算,便成为确定国企分红比例的重要参考。基于以上分析,本文为我国构建国企分红制度体系提供了理论上的依据与实践中的指导,使其符合企业目标并具有可操作性。
本文首先分析了国有企业的理财目标,这是国企改革的重要指引。事实证明,基于资本成本的政府股东财富最大化目标是国有企业合理的理财目标。资本成本反映了股东的要求报酬率水平,从政府股东的角度来说,只有超过该报酬率的收益水平的投资项目方能够采纳;而对于国有企业来说,则是通过利润分红以及价值增加的方式来满足政府股东的报酬率要求,从而实现政府股东财富最大化这一理财目标。从解决我国社会经济问题的角度来看,国有企业向政府股东分红具有必要性和必然性,而且目前我国国有企业已经具备了向政府股东分红的能力。
在接下来的研究中,我们在对资本成本估算技术进行回顾与评价的基础上,基于CAPM模型与WACC方法分别估算出了样本上市公司的权益资本成本与综合资本成本,并通过类比法得出了样本国有企业的权益资本成本与综合资本成本。科学的确定国有企业权益资本成本,即政府股东的要求报酬率,直接关系到国企利润分红的质量,同时也是国企分红的依据。而加权平均资本成本可以很好的反映企业融资结构的合理性,从而体现企业股东财富最大化目标的实现程度。
最后,我们指出,权益资本成本作为投资者的要求报酬率,是国有企业确定利润分红比例的一个很好的参照标准。以权益资本成本估算结果为基础,我们分别对不同前提假设条件下的国有企业分红比例进行了计算。在对我国国有企业利润分配改革历史进行回顾与分析之后,我们对建立国有资本经营预算管理制度以及国企利润分红体系提供了政策建议。一般来说,在以政府股东要求报酬作为重要参考的基础上,国企分红还应考虑所在行业的投资机会、企业发展阶段等因素,综合权衡以确定分红比例。此外,由于我国国有企业十几年以来习惯了不交利润,在分红改革初期可以考虑步子放慢一点,从低征收,适度分红。等到各方面条件成熟之后,国有企业需要与其他企业一样,根据政府股东的资本成本,提供满足其报酬率要求的利润分红,真正实现股东财富最大化目标。
On the background that China's State-owned Enterprises (hereinafter called SOEs) are going to say goodbye to the history of not paying dividends and restart distributing profits in dividend, this text indicates that the government shareholder wealth maximization is the rational financial management objective for the SOEs basing on Cost of Capital, the key concept in finance. In order to realize that objective, the SOEs have to make profits distribution to their government shareholder, that is, to satisfy the cost of capital required by the government shareholder. So it is the important reference for making the dividend payout ratio decision for the SOEs to estimate the required rate of return of the government shareholder, that is, the cost of capital of SOEs. On the basis of the above analysis, this text provides the theoretical principle and practical guidance for constructing a SOEs dividend system in our country, to make it in accordance with the enterprises' objective and possible to be used in practice.
Firstly, this text makes an analysis on the financial management objectives of the SOEs, which is the important guidance for the SOEs reform. It is proved by the fact that the government shareholder wealth maximization based on the cost of capital is the rational financial management objective for the SOEs. The cost of capital indicates the required rate of return of the shareholders. On one hand, the government shareholders can only accept those projects which can offer the higher rate of return than what they required. On the other hand, the SOEs have to satisfy the rate of return required by the government shareholders via the profit distribution in dividends and value increment, to realize the financial management objective of government shareholder wealth maximization. From the angle of solving problems existing in our society and economy, it's necessary and inevitable for the SOEs to offer dividends to the government shareholder. And now the SOEs in our country have been able to distribute profits to the government shareholder.
In the following research, on the basis of reviewing and appraising the estimation skills of the cost of capital, we estimate the cost of equity and whole capital of the listed companies in the sample separately by CAPM model and WACC method, and then get the estimation of the cost of equity and whole capital of SOEs in the sample by analogy. It directly relates to the quality of SOEs' profits distribution and is the principle of paying dividends to make sure scientifically the cost of equity of SOEs, that is, the rate of return required by government shareholder. And the weighted average cost of capital can well reflect the rationality of the financing structure of enterprises, and the extent to which enterprises realize the object of shareholder wealth maximization.
Finally, we point out that the cost of equity, as the rate of return required by investors, is a very good reference standard for SOEs to make sure its payout ratio. Based on the estimation results of the cost of equity, we calculate the payout ratio of SOEs in different premises separately. After reviewing and analyzing the history of profits distribution of SOEs in our country, we provide policy suggestions on establishing the state-owned capital management budget system and the SOEs dividend system. In general, on the basis of having the rate of return required by government shareholders as the important reference, SOEs should also consider the investment opportunity of the industry, the development stage of the enterprise and other factors, to make tradeoff between them and then make sure the payout ratio. Furthermore, due to the reason that the SOEs of our country have been used to not distributing profits for decades, we should consider that and slow down the steps of dividend reform at the beginning, setting a properly low payout ratio. But when the necessary conditions are all there, the SOEs should offer the dividends according to the cost of capital of government shareholder to satisfy its required rate of return, so as to realize the shareholder wealth maximization objective in deed.
本文首先分析了国有企业的理财目标,这是国企改革的重要指引。事实证明,基于资本成本的政府股东财富最大化目标是国有企业合理的理财目标。资本成本反映了股东的要求报酬率水平,从政府股东的角度来说,只有超过该报酬率的收益水平的投资项目方能够采纳;而对于国有企业来说,则是通过利润分红以及价值增加的方式来满足政府股东的报酬率要求,从而实现政府股东财富最大化这一理财目标。从解决我国社会经济问题的角度来看,国有企业向政府股东分红具有必要性和必然性,而且目前我国国有企业已经具备了向政府股东分红的能力。
在接下来的研究中,我们在对资本成本估算技术进行回顾与评价的基础上,基于CAPM模型与WACC方法分别估算出了样本上市公司的权益资本成本与综合资本成本,并通过类比法得出了样本国有企业的权益资本成本与综合资本成本。科学的确定国有企业权益资本成本,即政府股东的要求报酬率,直接关系到国企利润分红的质量,同时也是国企分红的依据。而加权平均资本成本可以很好的反映企业融资结构的合理性,从而体现企业股东财富最大化目标的实现程度。
最后,我们指出,权益资本成本作为投资者的要求报酬率,是国有企业确定利润分红比例的一个很好的参照标准。以权益资本成本估算结果为基础,我们分别对不同前提假设条件下的国有企业分红比例进行了计算。在对我国国有企业利润分配改革历史进行回顾与分析之后,我们对建立国有资本经营预算管理制度以及国企利润分红体系提供了政策建议。一般来说,在以政府股东要求报酬作为重要参考的基础上,国企分红还应考虑所在行业的投资机会、企业发展阶段等因素,综合权衡以确定分红比例。此外,由于我国国有企业十几年以来习惯了不交利润,在分红改革初期可以考虑步子放慢一点,从低征收,适度分红。等到各方面条件成熟之后,国有企业需要与其他企业一样,根据政府股东的资本成本,提供满足其报酬率要求的利润分红,真正实现股东财富最大化目标。
On the background that China's State-owned Enterprises (hereinafter called SOEs) are going to say goodbye to the history of not paying dividends and restart distributing profits in dividend, this text indicates that the government shareholder wealth maximization is the rational financial management objective for the SOEs basing on Cost of Capital, the key concept in finance. In order to realize that objective, the SOEs have to make profits distribution to their government shareholder, that is, to satisfy the cost of capital required by the government shareholder. So it is the important reference for making the dividend payout ratio decision for the SOEs to estimate the required rate of return of the government shareholder, that is, the cost of capital of SOEs. On the basis of the above analysis, this text provides the theoretical principle and practical guidance for constructing a SOEs dividend system in our country, to make it in accordance with the enterprises' objective and possible to be used in practice.
Firstly, this text makes an analysis on the financial management objectives of the SOEs, which is the important guidance for the SOEs reform. It is proved by the fact that the government shareholder wealth maximization based on the cost of capital is the rational financial management objective for the SOEs. The cost of capital indicates the required rate of return of the shareholders. On one hand, the government shareholders can only accept those projects which can offer the higher rate of return than what they required. On the other hand, the SOEs have to satisfy the rate of return required by the government shareholders via the profit distribution in dividends and value increment, to realize the financial management objective of government shareholder wealth maximization. From the angle of solving problems existing in our society and economy, it's necessary and inevitable for the SOEs to offer dividends to the government shareholder. And now the SOEs in our country have been able to distribute profits to the government shareholder.
In the following research, on the basis of reviewing and appraising the estimation skills of the cost of capital, we estimate the cost of equity and whole capital of the listed companies in the sample separately by CAPM model and WACC method, and then get the estimation of the cost of equity and whole capital of SOEs in the sample by analogy. It directly relates to the quality of SOEs' profits distribution and is the principle of paying dividends to make sure scientifically the cost of equity of SOEs, that is, the rate of return required by government shareholder. And the weighted average cost of capital can well reflect the rationality of the financing structure of enterprises, and the extent to which enterprises realize the object of shareholder wealth maximization.
Finally, we point out that the cost of equity, as the rate of return required by investors, is a very good reference standard for SOEs to make sure its payout ratio. Based on the estimation results of the cost of equity, we calculate the payout ratio of SOEs in different premises separately. After reviewing and analyzing the history of profits distribution of SOEs in our country, we provide policy suggestions on establishing the state-owned capital management budget system and the SOEs dividend system. In general, on the basis of having the rate of return required by government shareholders as the important reference, SOEs should also consider the investment opportunity of the industry, the development stage of the enterprise and other factors, to make tradeoff between them and then make sure the payout ratio. Furthermore, due to the reason that the SOEs of our country have been used to not distributing profits for decades, we should consider that and slow down the steps of dividend reform at the beginning, setting a properly low payout ratio. But when the necessary conditions are all there, the SOEs should offer the dividends according to the cost of capital of government shareholder to satisfy its required rate of return, so as to realize the shareholder wealth maximization objective in deed.
引文
1 由于上市国企的性质与一般上市公司类同,而关于上市公司分红已有诸多研究,故本文将非上市国有企业作为研究对象。为了简化估算研究并突出国有企业的特质,如无特殊说明,均为国有独资企业。
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5 “隧道行为”是指上市公司的控股股东利用金字塔式的股权结构,把底层企业的资会转移到高层企业,从而使中小股东利益受到侵害的行为。隧道行为通常发生在股权相对集中或高度集中的上公司。
6 柠檬市场也称次品市场,阿克罗夫在其1970年发表的《柠檬市场:产品质量的不确定性与市场机制》中举了一个二手车市场的案例。指出在二手车市场,显然卖家比买家拥有更多的信息,两者之间的信息是非对称的。买者肯定不会相信卖者的话,即使卖家说得天花乱坠。买者唯一的办法就是压低价格以避免信息不对称带来的风险损失。买者过低的价格也使得卖者不愿意提供高质量的产品,导致低质品充斥市场,高质品被逐,最后导致二手车市场畏缩。
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39 股利集中度的取值为1到2,仅以股票回购方式进行支付的公司的股利集中度为1,仅支付股利的公司的股利集中度为2。
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84 Buhattacharya,U.,Daouk,H.,The world price of insider trading,Journal of finance,2002,57(1):75-108.
85 沈艺峰,肖珉,黄娟娟,中小投资者法律保护与权益资本成本,经济研究,2005(6):115-124。
86 王华,张程睿,信息不对称与IPO筹资成本--来自中国一级市场的经验数据,经济管理,2005(6):13-20。
87 Mark J.Garmaise and Jun Liu,Corruption,Firm Governance,and the Cost of Capital,Working Paper,UCLA,2005.
88 La Porta,Rafael,Florencio Lopez-de-Silanes,Andrei Shleifer,and Robert Vishny,Law and Finance,Journal of Political Economy,1998(106):1113-1155.
89 Shleifer,Andrei,and Daniel Wolfenzon,Investor protection and equity markets,Journal of Financial Economics,2002(66):3-27.
90 La Porta,Rafael,Florencio Lopez-de-Silanes,Andrei Shleifer,and Robert Vishny,Investor Protection and Corporate Governance,Journal of Financial Economics,2000(58):3-27.
91 European Corporate Governance Network(ECGN),The Separation of Ownership and control:A Survey of 7European Countries Preliminary Report to the European Commission,1997,Vol.1-4,Brussels:European Corporate Governance Network.
92 La Porta,R.,Lopez-de-Silanes,E,Shleifer,A.,Corporate ownership around the world,Journal of Finance,1999(54):471-517.
93 Claessens,S.,Djankov,S.,Lang,L.,The separation of ownership and control in East Asian corporations,Journal of Financial Economics,2000(58):81-112.
94 Wurgler,J.,Financial markets and the allocation o capital,Journal of Financial Economics,2000(58):187-214.
95 Shleifer,Andrei,and Robert Vishny,Politicians and Firms,Quarterly Journal of Economics,1994,109:995-1025.
96 Mauro,Paolo,Corruption and Growth,Quarterly Journal of Economics,1995(110):681-712.
97 Wei,Shang-Jin,How Taxing is Corruption on International Investors?,NBER working paper,1997.
98 Kaufmann,Daniel,and Shang-Jin Wei,Does "Grease Money" Speed Up the Wheels of Commerce,NBER working paper,1999.
99 Ashbaugh-Skaife,Hollis,Collins,Daniel W.and LaFond,Ryan,Corporate Governance and the Cost of Equity Capital,working paper,SSRN,2004.
100 Bushman,R.,and A.Smith,Financial Accounting Information and Corporate Governance,Journal of Accounting and Economics,2001(32):237-333.
101 Shleifer,A.and R.Vishny,A Survey of Corporate Governance,Journal of Finance,1997(52):737-783.
102 Jensen,M.and W.Meckling,Theory of the Firm:Managerial Behavior,Agency Costs and Ownership Structure,Journal of Financial Economics,1976(3):305-360.
103 Garmaise,M.and J.Liu,Corruption,Firm Governance and the Cost of Capital,Working paper,UCLA,2004.
104 Bai,Chongen,Oiao Liu and Frank Song,Value of corporate control:evidence from China's distressed Firms,working paper,University of Hong Kong,2002.
105 钱颖一,市场与法治,经济社会体制比较,2000(3):1-11.
106 孙铮、刘凤委、李增泉,市场化程度、政府干预与企业债务期限结构--来自我国上市公司的经验证据,经济研究,2005(5):52-63.
107 徐浩萍,政府角色、所有权性质与权益资本成本,working paper,复旦大学,2005。
108 Fisman Raymaond,Estimating the value of political connection,The American Economic Review,2001(91):1095-1102.
109 Eric Friedman,Simon Johnson and Todd Mitton,Propping and Tunneling,Journal of Comparative Economies,2003,31(4):732-750.
110 夏立军、方轶强,政府控制、治理环境与公司价值--来自中国证券市场的经验证据,经济研究,2005(5):40-51.
111 徐浩萍、吕长江,政府角色、所有权性质与权益资本成本,会计研究,2007(6):61-96.
112 Ohlson J.and B.Juettner-Nauroth,Expected EPS and EPS Growth as Determinantsof Value,Review of Accounting Studies,2005(10):349-365.
113 吴天宝等,国有企业改革比较法律研究,北京:人民法院出版社,2002。
114 Stephen A.Ross,Randolph W.Westerfield and Bradford D.Jordan,Fundamentals of Corporate Finance,3rd edition,IRWIN,1995.
115 汤姆·卡普兰等,《价值评估--公司价值的衡量与管理》,北京:中国大百科全书出版社,1997年7月,第3-31页。
116 在大量的西方文献中,通常是视“企业价值”与“股东财富”或者“股东价值”为同义词。
117 Haim Levy,Marshall Sarnat,Capital Investment & Financial Decisions,Fourth Edition,Prentice Hall,1990.
118 汪平,基于现代财务理论的我国国有企业利润分红问题研究,首都经济贸易大学学报,2008(2)。
119 王红茹,国企将向政府分红,政府12年未从国企分红将改变,中国经济周刊,2006年2月20日。
120 魏明海、柳建华,国企分红、治理因素与过度投资,管理世界,2007(4):88-95。
121 世界银行,中国:深化事业单位改革,改善公共服务提供,中信出版社,2005,第142页。
122 高伟彦、张春霖,在国有集团中行使所有权:中国可以从国际经验中学到什么,世界银行报告,2002年12月。
123 中国不良贷款市场与企业重组,摩根斯坦利报告,2004年6月22日。
124 “国企分红:分多少?分给谁?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
125 张立伟,“国企分红有更为紧迫的理由,公共事业是最佳之选”,21世纪经济报道,2006年9月23日。
126 La Porta,R.,Lopez-de-Silanes,F.,Shleifer,A.and R.Vishny,Investor Protection and Corporate Valuation,Journal of Finance,2002(57):1147-1170.
127 Botosan,C.A.,Plumlee,M.A.,Assessing Alternative Proxies for the Expected Risk Premium,the Accounting Review,2005,80(1):21-53.
128 John R.Graham and Campbell R.Harvey,The Theory and Practice of Corporate Finance:Evidence from the Field,Journal of Financial Economics,2001(60):187-243.
129 有学者对这种确定股权资本的资本成本的思路提出了质疑,比如罗伯特.A.哈根(Robert A.Haugen)的观点。请参阅罗伯特.A.哈根著,赵冬青译,《新金融学--有效市场的反例》,第136-137页,北京:清华大学出版社,2002年3月。
130 Jose A.Lopez,Federal Reserve Banks' Imputed Cost of Equity Capital,Federal Reserve Bank of San Francisco Economic Letter,2001.
131 Sharp,William F.,Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk,Journal of Finance,1964(19):425-442.
132 Lintner,John,The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,Review of Economics and Statistics,1965(47):13-37.
133 Markowitaz,Harry,portfolio selection:Efficient Diversification of Investments,John Weley&Sons,New York,1959.
134 Eugene F.Brigham and Louis C.Gapenski,Intermediate Financial Management(fifth edition),The Dryden Press,1996.
135 朱武祥、蒋殿春、张新,中国公司金融学,上海:上海三联书店,2005。
136 Rene M.Stulz,Globalization and the Cost of Capital:the Case of Nestle,European Financial Management,1995(8).
137 Rene M.Stulz,Globalization of equity markets and the Cost of Capital,working paper for the SBF/NYSE Conference on Global Equity Markets,http://papers.ssrn.com/sol3/papers.cfm?abstract_id=153669,1999.
138 Davis,J.,The cross-section of realized stock returns:The pre-COMPUSTAT evidence,Journal of Finance,1994(49):1579-93.
139 He,J.& Ng,L.,Economic forces,fundamental variables and equity returns,Journal of Business,1994(67):599-639.
140 Fama E,French K.,Common risk factors in the returns on stocks and bonds,Journal of Financial Economics,1993(33):3-56.
141 Fama E,French K.,Size and book-to-market factors in earnings and returns,Journal of Finance,1995(50):131-155.
142 Fama E,French K.,Multifactor explanation of asset pricing anomalies,Journal of Finance,1996(5):55-84.
143 Fama,E.& French,K.,Value versus growth:The international evidence,Journal of Finance,1998(53):1975-99.
144 Merton,R.C.,Theory of Rational Option Pricing,Bell Journal of Economics and Management Science,1973(4):141-183.
145 Ross S.,The Arbitrage Theory of Capital Asset Pricing,Journal of Economic Theory,1976(13):341-360.
146 陈小悦、孙爱军,CAPM在中国股市的有效性检验,北京大学学报(哲学社会科学版),2000(4):28-37。
147 陈浪南、屈文洲,资本资产定价模型的实证研究,经济研究,2000(4):26-34。
148 靳云汇、刘霖,中国股票市场CAPM的实证研究,金融研究,2001(7):106-115。
149 薛华、周宏,上海证券市场CAPM的实证检验,财经问题研究,2001(11):33-37。
150 靳云汇、刘霖,中国股票市场的双因子定价模型,经济科学,2000(5):92-99。
151 陈信元、张余田、陈东华,预期股票收益的横截面多因子分析:来自中国证券市场的经验证据,金融研究,2000(6)。
152 Elton,J.,Edwin,Expected Return,Realized Return and Asset Pricing Tests,Journal of Finance,1999,Vol.54,No.4:1199-1220.
153 Gebhardt,William,Charles M.C.Lee and Bhaskaran Swaminathan,Toward an Implied Cost of Capital.Journal of Accounting Research,2001,forthcoming.
154 Lee,Charles,David Ng,Bhaskaran Swaminathan,International asset pricing:Evidence.from the cross section of implied cost of capital,Working paper,SSRN,2004.
155 Eugene F.Fama and Kenneth R.French,The Equity Premium,Journal of Finance,American Finance Association,2002,vol.57(2):637-659.
156 Gordon,J.and M.Gordon,The Finite Horizon Expected Return Model,Financial Analysts Journal,1997,(May/June):52-61.
157 William R.Gebhardt,Charles M.C.Lee and Bhaskaran Swaminathan,Toward an Implied Cost of Capital,Journal of Accounting Research,2001(39):135-176.
158 Botosan,C.A.,Plumlee,M.A.,A re-examination of disclosure level and the expectd cost of equity capital,Journal of Accounting Research,2002,40(1):21-40.
159 Ohlson,J.A.and B.Juettner-Nauroth,Expected EPS and EPS growth as determinants of value,Review of Accounting Studies,2005(10):349-365.
160 Botosan,C.A.,Plumlee,M.A.,Assessing Alternative Proxies for the Expected Risk Premium,the Accounting Review,2005,80(1):21-53.
161 陈晓、单鑫,债务融资是否会增加上市企业的融资成本,经济研究,1999(9):39-48。
162 高晓红,产权效率与市场效率:我国上市公司股权融资偏好分析,投资研究,2000(8)。
163 黄少安、张岗,中国上市公司股权融资偏好分析,经济研究,2001(11):12-20。
164 汪炜、蒋高峰,信息披露、透明度与资本成本,经济研究,2004(7):107-114。
165 陆正飞、叶康涛,中国上市公司股权融资偏好解析--偏好股权融资就是缘于融资成本低吗,经济研究,2004(4):50-59。
166 曾颖、陆正飞,信息披露质量与股权融资成本,经济研究,2006(2):69-79。
167 汪平,财务理论,北京:经济管理出版社,2003。
168 陈小悦,孙爱军,CAPM在中国股市的有效性检验,北京大学学报(哲学社会科学版),2000(4):28-37。
169 Brennan,Michael and Jihong Xia,Assessing asset pricing anomalies,Review of Financial Studies,2001(14):905-942.
170 Black,F.& M.Scholes,The Pricing of Options and Corporate Liabilities,Journal of Political Economy,1973(81):637-659.
171 张晓艳,关于CAPM适应性的论述,价值工程,2007(2)。
172 同上。
173 施东辉,上海股票市场风险性实证研究,经济研究,1996(10):44-48。
174 杨朝军、刑靖,上海证券市场CAPM实证检验,上海交通大学学报,1998(3):59-64。
175 陈小悦、孙爱军,CAPM在中国股市的有效性检验,北京大学学报:哲学社会科学版,2000(4)。
176 靳云汇、刘霖,中国股票市场CAPM的实证研究,金融研究,2001(7):106-114。
177 Brennan,Michael and Jihong Xia,Assessing asset pricing anomalies,Review of Financial Studies,2001(14):905-942.
178 Hersh,Shefrin,Meir,Statman,Behavioral Capital Asset Pricing Theory,Journal of Financial and Quantitative Analysis,1994,29(3):323-349.
179 哈尔蓬、韦斯藤和布里汉,《加拿大管理财务》,加拿大豪特、林勒哈特和温斯顿有限公司,1998。
180 Solomon,E.,The Theory of Financial Management,New York:Columbia University Press,1963.
181 沈艺峰、田静,我国上市公司资本成本的定量研究,经济研究,1999(11)。
182 即在第i年相对于第i-1年的税盾折现率为Φi,Φi并非在第i年对于整个期间的第n年的税盾累积折现率。
183 Ruback,R.,Capital Cash Flows:A Simple Approach to Valuing Risky Cash Flows,Working Paper,SSRN,2000.
184 王宁,我国上市公司资本成本的比较,中国工业经济,2000(11):59-64。
185 Fama,Eugene F.And Kenneth R.French,The corporate cost of capital and the return on corporate investment,Journal of Finance,1999,Vol.54,No.6:1939-67.
186 Wu Xueping,Piet Sercu,and Charles J.P.Chen,Does Corporate Governance Affect Returns on Value and Cost? The case of Japan,Working Paper,2000.
187 William R.Gebhardt,Charles M.C.Lee and Bhaskaran Swaminathan,Toward an Implied Cost of Capital,Journal of Accounting Research,2000,forthcoming.
188 有两本知名著作是关于这个主题的,即 Copeland,Koller and Murrin(1994)和Damodaran(1994),他们提议在估算权益资本成本时使用市场资本化数值。
189 Pitabas Mohanty,A Practical Approach to Solving the Circularity Problem in Estimating the Cost of Capital,Unpublished Paper,X L R I,Jamshedpur,India,2003.
190 沈艺峰、田静,我国上市公司资本成本的定量研究,经济研究,1999(11):62-68。
191 王宁,我国上市公司资本成本的比较,中国工业经济,2000(11)。
192 朱武祥、蒋殿春、张新,中国公司金融学,上海:上海三联书店,2005。
193 吴少新,储蓄转化投资的金融机制分析,中国经济出版社1998年版,第105页。
194 林毅夫等,中国的奇迹:发展战略与经济改革,上海人民出版社,上海三联书店,1995年版。
195 “物”由行政确定,资金供应自然也是由行政或计划确定。
196 数据来源:《中国统计年(1998)》,中国统计出版社。
197 国家经贸委,关于中国国有企业债务问题的情况介绍,国企改革与债务,外文出版社,1998年版,第7-8页。
198 青木昌彦、钱颖一,转轨经济中的公司治理结构内部人控制和银行的作用,中国经济出版社,1995,第17-21页。
199 朱武祥、蒋殿春、张新,中国公司金融学,上海:上海三联书店,2005。
200 Copcland,T.E.and Weston,J.F.,Financial Theory and Corporate Policy,1988,Addison-Wesley,New York,NY.
201 朱武祥、蒋殿春、张新著,《中国公司金融学》,第43页。上海:上海三联书店,2005年12月.
202(美) 彼得·纽曼、默里·米尔盖特,(英)约愉·伊特韦尔编,《新帕尔格雷夫货币金融大辞典(第一卷)》,第475页。北京:经济科学出版社,2000年7月。阿伯特·安多运用了两种方法来估算日本企业的资本成本,一种是以公司会计记录为基础估算,另一种是按照市场方法。无疑,会计方法会由于会计惯例、规则的不同而影响到最终的估算结果。但在国有企业资本成本的估算中,会计方法可能会成为较常使用的方法之一。
203 朱武祥、蒋殿春、张新,中国公司金融学,上海:上海三联书店,2005年12月,第51页。
204 Copeland,T.E.and J.F.Weston,Financial Theory and Corporate Policy,3rd edition,Addison Wesley,1988
205 Pastor,Lubos and Robert F.Stambaugh.Liquidity Risk And Expected Stock Returns,Journal of Political Economy,2003,v111(3,Jun):642-685.
206 Jing Ulrich,Why a Boost to Welfare Could Pay dividends for China,英国《金融时报》中文网,http://www.ftchinese.com/sc/story.jsp?id=001017033,2008年1月29日。
207 Jing Ulrich,Why a Boost to Welfare Could Pay dividends for China,英国《 金融时报》中文网,http://www.ftchinese.com/sc/story.jsp?id=001017033,2008年1月29日。
208 潘占杰,始于10%、5%:国企分红探路,21世纪经济报道,2007年12月24日,第38版。
209 汪平、巩方亮,资本成本、股东财富与股票市场,财会通讯,2007(6)
210 有关资料引自北京《法制晚报》,2007年4月6日,A07版。
211 Robert C.Higgins,How much growth can a firm afford,Financial Management,1977,Fall(6):7-16.
212 Van Horne,J.C.,Sustainable Growth Modeling,Journal of Corporate Finance,1998(winter):19-25.
214 Miller,M.and F.Modigliani,Dividend policy,growth and the valuation of shares,Journal of Business,1961(34):411-433.
215 “国企分红:分多少?分给谁?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
216 “国企分红:分多少?分给谁?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
217 “国企分红:分多少?分给谁?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
218 “国企分红:分多少?分给谁?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
219 “国企分红:分多少?分给准?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
220 白万纲,淡马锡国有资产管理模式研究,中国管理传播网,http://www.manage.org.cn/Article/200701/42664.html.
221 蒯鹏州,政府的双重角色与国有企业利润分配,数据,2008(1)。
222 冯海宁,国企分红中的多重隐忧,第一财经日报,2007.9.18
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3 潘占杰,始于10%、5%:国企分红探路,21世纪经济报道,2007年12月24日,第38版。
4 “国企分红:分多少?分给谁?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
5 “隧道行为”是指上市公司的控股股东利用金字塔式的股权结构,把底层企业的资会转移到高层企业,从而使中小股东利益受到侵害的行为。隧道行为通常发生在股权相对集中或高度集中的上公司。
6 柠檬市场也称次品市场,阿克罗夫在其1970年发表的《柠檬市场:产品质量的不确定性与市场机制》中举了一个二手车市场的案例。指出在二手车市场,显然卖家比买家拥有更多的信息,两者之间的信息是非对称的。买者肯定不会相信卖者的话,即使卖家说得天花乱坠。买者唯一的办法就是压低价格以避免信息不对称带来的风险损失。买者过低的价格也使得卖者不愿意提供高质量的产品,导致低质品充斥市场,高质品被逐,最后导致二手车市场畏缩。
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12 汪平,财务理论,北京:经济管理出版社,2003。
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14 威廉·L·麦金森著,刘明辉主译,《公司财务理论》,东北财经大学出版社,2002年版,第362-364页。
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25 DeAngelo,H.,L.DeAngelo,The irrelevance of the MM dividend irrelevance theorem.Journal of Financial Economics,2006,forthcoming.
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27 Meenakshi Sinha,Jayanthi Sunder and Bhaskaran Swaminathan,Payout Policy and Cost of Capital,working paper,SSRN,2006.
28 Hoberg,G.,and N.Prabhala,Disappearing dividends:The importance of idiosyncratic risk and the irrelevance of catering,University of Maryland,Working Paper,2005.
29 Black and Scholes,M.S.,The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns,Journal of Financial Economics,1974,1(1):1-22.
30 Litzenberger,R.,and K.Ramaswamy,The effects of personal taxes and dividends on capital asset prices:theory and empirical evidence,Journal of Financial Economics,1979(7):163-195.
31 Litzenberger,R.,and K.Ramaswamy,Dividends,short-selling restrictions,tax induced investor clientele and market equilibrium,Journal of Finance,1980(35):469-482.
32 Miller,M.and M.Scholes,Dividends and taxes:empirical evidence,Journal of Political Economy,1982(90):1118-1141.
33 Chen,N.F.,B.Grundy,and R.F.Stambaugh,Changing risk,changing risk premiums and dividend yield effects,Journal of Business,1990(63):51-70.
34 Fama,Eugene,and Kenneth French,Common risk factors in the returns on stocks and bonds,Journal of Financial Economics,1993(33):3-56.
35 Kalay,A.and R.Michaely,Dividends and Taxes:a reexamination,Financial Management,2000,Vol.29(2):55-75.
36 DcAngelo,H.,L.DeAngclo,The irrelevance of the MM dividend irrelevance theorem.Journal of Financial Economics,2006,forthcoming.
37 DeAngelo,H.,L.DeAngelo,and R.M.Stulz,Dividend policy and the earned/contributed capital mix:a test of the lifecycle theory,Journal of Financial Economics,2005,forthcoming.
38 Meenakshi Sinha,Jayanthi Sunder and Bhaskaran Swaminathan,Payout Policy and Cost of Capital,working paper,SSRN,2006.
39 股利集中度的取值为1到2,仅以股票回购方式进行支付的公司的股利集中度为1,仅支付股利的公司的股利集中度为2。
4o Fama,Eugene,and Kenneth French,Common risk factors in the returns on stocks and bonds,Journal of Financial Economics,1993(33):3-56.
41 Meenakshi Sinha,Jayanthi Sunder and Bhaskaran Swaminathan,Payout Policy and Cost of Capital,working paper,SSRN,2006.
42 同上。
43 吕长江、王克敏,上市公司股利政策的实证分析,经济研究,1999(12)。
44 Black,F,and M.Scholes,the effects of dividend yield and dividend policy on common stock prices and returns,Journal of Financial Economics,1974(1):1-22.
45 Black,Fisher,The Dividend Puzzle,Journal of Portfolio Management,1976(2):5-8.
46 Brealey,Richard A.and Stewart C.Myers,Principles of Corporate Finance,3rd edition,McGraw Hill and Company,1988.
47 J.E.Walter,Dividend Policies and Common Stock Prices,Journal of Finance,March,1956,Vol.11,No.1:29-41.
48 Miller,M.and E Modigliani,Dividend policy,growth and the valuation of shares,Journal of Business,1961(34):411-433.
49 Rozeff.M,Growth,Beta and Agency Costs as Determinants of Dividend Payout Ratio,Journal of Financial Research,1982,Fall:249-259.
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52 Andrew Batson,中国国企面临信息披露挑战,道琼斯通讯社,2006。
53 何玉、张天西,信息披露、信息不对称和资本成本:研究综述,会计研究,2006(6):80-86。
54 Demsetz,Harold.The cost of transacting,Quarterly Journal of Economics,1968(82):33-53.
55 Copeland,T.and D.Galai,Information effects on the bid-ask spread,The Journal of Finance,1983(36):1457-1469.
56 Glosten,L.and Milgrom,P.R.,Bid,ask,and transaction prices in a specialist market with heterogeneously informed traders,Journal of Financial Economics,1985,14(1):71-100.
57 即每次每个交易者只能交易一个单位资产的博弈。
58 Amihud,Y.,and H.Mendelson,Asset pricing and the bid-ask spread,Journal of Financial Economics,1986(17):223-249.
59 Diamond,D.W.,and R.E.Verrecchia,Disclosure,liquidity and the cost of capital,The Journal of Finance,1991(46):1325-1360.
60 Botosan,C.,Disclosure Level and the Cost of Equity Capital,The Accounting Review,1997(72):323-349.
61 Richardson,A.and M.Welker,Social Disclosure,Financial Disclosure and the Cost of Equity Capital,Accounting,Organizations and Society,2001(26):597-616.
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64 Barry C.and S.Brown,Differential information and security market equilibrium,Journal of Financial and Quantitative Analysis,1985,December,4:407-422.
65 Coles.J.and U.Loewenstein,Equilibrium pricing and portfolio composition in the presence of uncertain parameters,Journal of Financial Economics,1988,Vol.22,Issue 2:279-303.
66 Handa,P.,and S.Linn,Arbitrage pricing with estimation risk,Journal of Financial and Quantitative Analysis,1993,March:81-100.
67 Coles.J.,U.Loewenstein,and J.Suay,On equilibrium pricing under parameter uncertainty,Journal of financial and Quantitative Analysis,1995,September:347-364.
68 Clarkson,P.,J.Guedes,and R.Thompson,On the diversification,observability,and measurement of estimation risk,Journal of Financial and Quantitative Analysis,1996,March:69-84.
69 Special Report:Improving Business Reports,A Customer Focus,AICPA,1994.
70 Botosan,C.,Disclosure Level and the Cost of Equity Capital,The Accounting Review,1997(72):323-349.
71 同上。
72 Botosan,C.A.,Plumlee,M.A.,A re-examination of disclosure level and the expectd cost of equity capital,Journal of Accounting Research,2002,40(1):21-40.
73 Clement,M.,Frankel,R.and Miller,J.The effect of conforming management earnings forecasts on cost of capital,Working Paper,University of Texas at Austin and University Michigan,2000.
74 Leuz,C.,Verrecchia,R.E.,The economic consequences of increased disclosure,Journal of Accounting Research,2000,38(supplement):91-124.
75 Bhattacharya,U.,Daouk,H.,Welker,M.,The world price of earnings opacity,The accounting Review,2003,78(3):641-678.
76 Sengupta,Partha,Corporate disclosure quality and the cost of debt,The Accounting Review,1998,73(4),October:459-474.
77 汪炜、蒋高峰,信息披露、透明度与资本成本,经济研究,2004(7):107-114。
78 沈艺峰,肖珉,黄娟娟,中小投资者法律保护与权益资本成本,经济研究,2005(6):115-124.
79 Admati A.R.,Ross S.A.,Measuring investment performance with a rational expectations model,Journal of Business,1985(58):1-26.
80 Easley D.,O'Hara,M.,Information and the cost of capital,Journal of Finance,2004,59(4):1553-1583.
81 Botosan,C.A.,Plumlee,M.A.,Assessing Alternative Proxies for the Expected Risk Premium,the Accounting Review,2005,80(1):21-53.
82 Easley D.,Hvidkjaer,S.,O'Hara,M.,Is information risk a determinant of asset returns?,Journal of Finance,2002,57(5):2185-2221.
83 Leuz,C.,Verrecchia,R.E.,The economic consequences of increased disclosure,Journal of Accounting Research,2000,38(supplement):91-124.
84 Buhattacharya,U.,Daouk,H.,The world price of insider trading,Journal of finance,2002,57(1):75-108.
85 沈艺峰,肖珉,黄娟娟,中小投资者法律保护与权益资本成本,经济研究,2005(6):115-124。
86 王华,张程睿,信息不对称与IPO筹资成本--来自中国一级市场的经验数据,经济管理,2005(6):13-20。
87 Mark J.Garmaise and Jun Liu,Corruption,Firm Governance,and the Cost of Capital,Working Paper,UCLA,2005.
88 La Porta,Rafael,Florencio Lopez-de-Silanes,Andrei Shleifer,and Robert Vishny,Law and Finance,Journal of Political Economy,1998(106):1113-1155.
89 Shleifer,Andrei,and Daniel Wolfenzon,Investor protection and equity markets,Journal of Financial Economics,2002(66):3-27.
90 La Porta,Rafael,Florencio Lopez-de-Silanes,Andrei Shleifer,and Robert Vishny,Investor Protection and Corporate Governance,Journal of Financial Economics,2000(58):3-27.
91 European Corporate Governance Network(ECGN),The Separation of Ownership and control:A Survey of 7European Countries Preliminary Report to the European Commission,1997,Vol.1-4,Brussels:European Corporate Governance Network.
92 La Porta,R.,Lopez-de-Silanes,E,Shleifer,A.,Corporate ownership around the world,Journal of Finance,1999(54):471-517.
93 Claessens,S.,Djankov,S.,Lang,L.,The separation of ownership and control in East Asian corporations,Journal of Financial Economics,2000(58):81-112.
94 Wurgler,J.,Financial markets and the allocation o capital,Journal of Financial Economics,2000(58):187-214.
95 Shleifer,Andrei,and Robert Vishny,Politicians and Firms,Quarterly Journal of Economics,1994,109:995-1025.
96 Mauro,Paolo,Corruption and Growth,Quarterly Journal of Economics,1995(110):681-712.
97 Wei,Shang-Jin,How Taxing is Corruption on International Investors?,NBER working paper,1997.
98 Kaufmann,Daniel,and Shang-Jin Wei,Does "Grease Money" Speed Up the Wheels of Commerce,NBER working paper,1999.
99 Ashbaugh-Skaife,Hollis,Collins,Daniel W.and LaFond,Ryan,Corporate Governance and the Cost of Equity Capital,working paper,SSRN,2004.
100 Bushman,R.,and A.Smith,Financial Accounting Information and Corporate Governance,Journal of Accounting and Economics,2001(32):237-333.
101 Shleifer,A.and R.Vishny,A Survey of Corporate Governance,Journal of Finance,1997(52):737-783.
102 Jensen,M.and W.Meckling,Theory of the Firm:Managerial Behavior,Agency Costs and Ownership Structure,Journal of Financial Economics,1976(3):305-360.
103 Garmaise,M.and J.Liu,Corruption,Firm Governance and the Cost of Capital,Working paper,UCLA,2004.
104 Bai,Chongen,Oiao Liu and Frank Song,Value of corporate control:evidence from China's distressed Firms,working paper,University of Hong Kong,2002.
105 钱颖一,市场与法治,经济社会体制比较,2000(3):1-11.
106 孙铮、刘凤委、李增泉,市场化程度、政府干预与企业债务期限结构--来自我国上市公司的经验证据,经济研究,2005(5):52-63.
107 徐浩萍,政府角色、所有权性质与权益资本成本,working paper,复旦大学,2005。
108 Fisman Raymaond,Estimating the value of political connection,The American Economic Review,2001(91):1095-1102.
109 Eric Friedman,Simon Johnson and Todd Mitton,Propping and Tunneling,Journal of Comparative Economies,2003,31(4):732-750.
110 夏立军、方轶强,政府控制、治理环境与公司价值--来自中国证券市场的经验证据,经济研究,2005(5):40-51.
111 徐浩萍、吕长江,政府角色、所有权性质与权益资本成本,会计研究,2007(6):61-96.
112 Ohlson J.and B.Juettner-Nauroth,Expected EPS and EPS Growth as Determinantsof Value,Review of Accounting Studies,2005(10):349-365.
113 吴天宝等,国有企业改革比较法律研究,北京:人民法院出版社,2002。
114 Stephen A.Ross,Randolph W.Westerfield and Bradford D.Jordan,Fundamentals of Corporate Finance,3rd edition,IRWIN,1995.
115 汤姆·卡普兰等,《价值评估--公司价值的衡量与管理》,北京:中国大百科全书出版社,1997年7月,第3-31页。
116 在大量的西方文献中,通常是视“企业价值”与“股东财富”或者“股东价值”为同义词。
117 Haim Levy,Marshall Sarnat,Capital Investment & Financial Decisions,Fourth Edition,Prentice Hall,1990.
118 汪平,基于现代财务理论的我国国有企业利润分红问题研究,首都经济贸易大学学报,2008(2)。
119 王红茹,国企将向政府分红,政府12年未从国企分红将改变,中国经济周刊,2006年2月20日。
120 魏明海、柳建华,国企分红、治理因素与过度投资,管理世界,2007(4):88-95。
121 世界银行,中国:深化事业单位改革,改善公共服务提供,中信出版社,2005,第142页。
122 高伟彦、张春霖,在国有集团中行使所有权:中国可以从国际经验中学到什么,世界银行报告,2002年12月。
123 中国不良贷款市场与企业重组,摩根斯坦利报告,2004年6月22日。
124 “国企分红:分多少?分给谁?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
125 张立伟,“国企分红有更为紧迫的理由,公共事业是最佳之选”,21世纪经济报道,2006年9月23日。
126 La Porta,R.,Lopez-de-Silanes,F.,Shleifer,A.and R.Vishny,Investor Protection and Corporate Valuation,Journal of Finance,2002(57):1147-1170.
127 Botosan,C.A.,Plumlee,M.A.,Assessing Alternative Proxies for the Expected Risk Premium,the Accounting Review,2005,80(1):21-53.
128 John R.Graham and Campbell R.Harvey,The Theory and Practice of Corporate Finance:Evidence from the Field,Journal of Financial Economics,2001(60):187-243.
129 有学者对这种确定股权资本的资本成本的思路提出了质疑,比如罗伯特.A.哈根(Robert A.Haugen)的观点。请参阅罗伯特.A.哈根著,赵冬青译,《新金融学--有效市场的反例》,第136-137页,北京:清华大学出版社,2002年3月。
130 Jose A.Lopez,Federal Reserve Banks' Imputed Cost of Equity Capital,Federal Reserve Bank of San Francisco Economic Letter,2001.
131 Sharp,William F.,Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk,Journal of Finance,1964(19):425-442.
132 Lintner,John,The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,Review of Economics and Statistics,1965(47):13-37.
133 Markowitaz,Harry,portfolio selection:Efficient Diversification of Investments,John Weley&Sons,New York,1959.
134 Eugene F.Brigham and Louis C.Gapenski,Intermediate Financial Management(fifth edition),The Dryden Press,1996.
135 朱武祥、蒋殿春、张新,中国公司金融学,上海:上海三联书店,2005。
136 Rene M.Stulz,Globalization and the Cost of Capital:the Case of Nestle,European Financial Management,1995(8).
137 Rene M.Stulz,Globalization of equity markets and the Cost of Capital,working paper for the SBF/NYSE Conference on Global Equity Markets,http://papers.ssrn.com/sol3/papers.cfm?abstract_id=153669,1999.
138 Davis,J.,The cross-section of realized stock returns:The pre-COMPUSTAT evidence,Journal of Finance,1994(49):1579-93.
139 He,J.& Ng,L.,Economic forces,fundamental variables and equity returns,Journal of Business,1994(67):599-639.
140 Fama E,French K.,Common risk factors in the returns on stocks and bonds,Journal of Financial Economics,1993(33):3-56.
141 Fama E,French K.,Size and book-to-market factors in earnings and returns,Journal of Finance,1995(50):131-155.
142 Fama E,French K.,Multifactor explanation of asset pricing anomalies,Journal of Finance,1996(5):55-84.
143 Fama,E.& French,K.,Value versus growth:The international evidence,Journal of Finance,1998(53):1975-99.
144 Merton,R.C.,Theory of Rational Option Pricing,Bell Journal of Economics and Management Science,1973(4):141-183.
145 Ross S.,The Arbitrage Theory of Capital Asset Pricing,Journal of Economic Theory,1976(13):341-360.
146 陈小悦、孙爱军,CAPM在中国股市的有效性检验,北京大学学报(哲学社会科学版),2000(4):28-37。
147 陈浪南、屈文洲,资本资产定价模型的实证研究,经济研究,2000(4):26-34。
148 靳云汇、刘霖,中国股票市场CAPM的实证研究,金融研究,2001(7):106-115。
149 薛华、周宏,上海证券市场CAPM的实证检验,财经问题研究,2001(11):33-37。
150 靳云汇、刘霖,中国股票市场的双因子定价模型,经济科学,2000(5):92-99。
151 陈信元、张余田、陈东华,预期股票收益的横截面多因子分析:来自中国证券市场的经验证据,金融研究,2000(6)。
152 Elton,J.,Edwin,Expected Return,Realized Return and Asset Pricing Tests,Journal of Finance,1999,Vol.54,No.4:1199-1220.
153 Gebhardt,William,Charles M.C.Lee and Bhaskaran Swaminathan,Toward an Implied Cost of Capital.Journal of Accounting Research,2001,forthcoming.
154 Lee,Charles,David Ng,Bhaskaran Swaminathan,International asset pricing:Evidence.from the cross section of implied cost of capital,Working paper,SSRN,2004.
155 Eugene F.Fama and Kenneth R.French,The Equity Premium,Journal of Finance,American Finance Association,2002,vol.57(2):637-659.
156 Gordon,J.and M.Gordon,The Finite Horizon Expected Return Model,Financial Analysts Journal,1997,(May/June):52-61.
157 William R.Gebhardt,Charles M.C.Lee and Bhaskaran Swaminathan,Toward an Implied Cost of Capital,Journal of Accounting Research,2001(39):135-176.
158 Botosan,C.A.,Plumlee,M.A.,A re-examination of disclosure level and the expectd cost of equity capital,Journal of Accounting Research,2002,40(1):21-40.
159 Ohlson,J.A.and B.Juettner-Nauroth,Expected EPS and EPS growth as determinants of value,Review of Accounting Studies,2005(10):349-365.
160 Botosan,C.A.,Plumlee,M.A.,Assessing Alternative Proxies for the Expected Risk Premium,the Accounting Review,2005,80(1):21-53.
161 陈晓、单鑫,债务融资是否会增加上市企业的融资成本,经济研究,1999(9):39-48。
162 高晓红,产权效率与市场效率:我国上市公司股权融资偏好分析,投资研究,2000(8)。
163 黄少安、张岗,中国上市公司股权融资偏好分析,经济研究,2001(11):12-20。
164 汪炜、蒋高峰,信息披露、透明度与资本成本,经济研究,2004(7):107-114。
165 陆正飞、叶康涛,中国上市公司股权融资偏好解析--偏好股权融资就是缘于融资成本低吗,经济研究,2004(4):50-59。
166 曾颖、陆正飞,信息披露质量与股权融资成本,经济研究,2006(2):69-79。
167 汪平,财务理论,北京:经济管理出版社,2003。
168 陈小悦,孙爱军,CAPM在中国股市的有效性检验,北京大学学报(哲学社会科学版),2000(4):28-37。
169 Brennan,Michael and Jihong Xia,Assessing asset pricing anomalies,Review of Financial Studies,2001(14):905-942.
170 Black,F.& M.Scholes,The Pricing of Options and Corporate Liabilities,Journal of Political Economy,1973(81):637-659.
171 张晓艳,关于CAPM适应性的论述,价值工程,2007(2)。
172 同上。
173 施东辉,上海股票市场风险性实证研究,经济研究,1996(10):44-48。
174 杨朝军、刑靖,上海证券市场CAPM实证检验,上海交通大学学报,1998(3):59-64。
175 陈小悦、孙爱军,CAPM在中国股市的有效性检验,北京大学学报:哲学社会科学版,2000(4)。
176 靳云汇、刘霖,中国股票市场CAPM的实证研究,金融研究,2001(7):106-114。
177 Brennan,Michael and Jihong Xia,Assessing asset pricing anomalies,Review of Financial Studies,2001(14):905-942.
178 Hersh,Shefrin,Meir,Statman,Behavioral Capital Asset Pricing Theory,Journal of Financial and Quantitative Analysis,1994,29(3):323-349.
179 哈尔蓬、韦斯藤和布里汉,《加拿大管理财务》,加拿大豪特、林勒哈特和温斯顿有限公司,1998。
180 Solomon,E.,The Theory of Financial Management,New York:Columbia University Press,1963.
181 沈艺峰、田静,我国上市公司资本成本的定量研究,经济研究,1999(11)。
182 即在第i年相对于第i-1年的税盾折现率为Φi,Φi并非在第i年对于整个期间的第n年的税盾累积折现率。
183 Ruback,R.,Capital Cash Flows:A Simple Approach to Valuing Risky Cash Flows,Working Paper,SSRN,2000.
184 王宁,我国上市公司资本成本的比较,中国工业经济,2000(11):59-64。
185 Fama,Eugene F.And Kenneth R.French,The corporate cost of capital and the return on corporate investment,Journal of Finance,1999,Vol.54,No.6:1939-67.
186 Wu Xueping,Piet Sercu,and Charles J.P.Chen,Does Corporate Governance Affect Returns on Value and Cost? The case of Japan,Working Paper,2000.
187 William R.Gebhardt,Charles M.C.Lee and Bhaskaran Swaminathan,Toward an Implied Cost of Capital,Journal of Accounting Research,2000,forthcoming.
188 有两本知名著作是关于这个主题的,即 Copeland,Koller and Murrin(1994)和Damodaran(1994),他们提议在估算权益资本成本时使用市场资本化数值。
189 Pitabas Mohanty,A Practical Approach to Solving the Circularity Problem in Estimating the Cost of Capital,Unpublished Paper,X L R I,Jamshedpur,India,2003.
190 沈艺峰、田静,我国上市公司资本成本的定量研究,经济研究,1999(11):62-68。
191 王宁,我国上市公司资本成本的比较,中国工业经济,2000(11)。
192 朱武祥、蒋殿春、张新,中国公司金融学,上海:上海三联书店,2005。
193 吴少新,储蓄转化投资的金融机制分析,中国经济出版社1998年版,第105页。
194 林毅夫等,中国的奇迹:发展战略与经济改革,上海人民出版社,上海三联书店,1995年版。
195 “物”由行政确定,资金供应自然也是由行政或计划确定。
196 数据来源:《中国统计年(1998)》,中国统计出版社。
197 国家经贸委,关于中国国有企业债务问题的情况介绍,国企改革与债务,外文出版社,1998年版,第7-8页。
198 青木昌彦、钱颖一,转轨经济中的公司治理结构内部人控制和银行的作用,中国经济出版社,1995,第17-21页。
199 朱武祥、蒋殿春、张新,中国公司金融学,上海:上海三联书店,2005。
200 Copcland,T.E.and Weston,J.F.,Financial Theory and Corporate Policy,1988,Addison-Wesley,New York,NY.
201 朱武祥、蒋殿春、张新著,《中国公司金融学》,第43页。上海:上海三联书店,2005年12月.
202(美) 彼得·纽曼、默里·米尔盖特,(英)约愉·伊特韦尔编,《新帕尔格雷夫货币金融大辞典(第一卷)》,第475页。北京:经济科学出版社,2000年7月。阿伯特·安多运用了两种方法来估算日本企业的资本成本,一种是以公司会计记录为基础估算,另一种是按照市场方法。无疑,会计方法会由于会计惯例、规则的不同而影响到最终的估算结果。但在国有企业资本成本的估算中,会计方法可能会成为较常使用的方法之一。
203 朱武祥、蒋殿春、张新,中国公司金融学,上海:上海三联书店,2005年12月,第51页。
204 Copeland,T.E.and J.F.Weston,Financial Theory and Corporate Policy,3rd edition,Addison Wesley,1988
205 Pastor,Lubos and Robert F.Stambaugh.Liquidity Risk And Expected Stock Returns,Journal of Political Economy,2003,v111(3,Jun):642-685.
206 Jing Ulrich,Why a Boost to Welfare Could Pay dividends for China,英国《金融时报》中文网,http://www.ftchinese.com/sc/story.jsp?id=001017033,2008年1月29日。
207 Jing Ulrich,Why a Boost to Welfare Could Pay dividends for China,英国《 金融时报》中文网,http://www.ftchinese.com/sc/story.jsp?id=001017033,2008年1月29日。
208 潘占杰,始于10%、5%:国企分红探路,21世纪经济报道,2007年12月24日,第38版。
209 汪平、巩方亮,资本成本、股东财富与股票市场,财会通讯,2007(6)
210 有关资料引自北京《法制晚报》,2007年4月6日,A07版。
211 Robert C.Higgins,How much growth can a firm afford,Financial Management,1977,Fall(6):7-16.
212 Van Horne,J.C.,Sustainable Growth Modeling,Journal of Corporate Finance,1998(winter):19-25.
214 Miller,M.and F.Modigliani,Dividend policy,growth and the valuation of shares,Journal of Business,1961(34):411-433.
215 “国企分红:分多少?分给谁?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
216 “国企分红:分多少?分给谁?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
217 “国企分红:分多少?分给谁?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
218 “国企分红:分多少?分给谁?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
219 “国企分红:分多少?分给准?”,高路易、高伟彦、张春霖,世界银行报告,2005年10月17日。
220 白万纲,淡马锡国有资产管理模式研究,中国管理传播网,http://www.manage.org.cn/Article/200701/42664.html.
221 蒯鹏州,政府的双重角色与国有企业利润分配,数据,2008(1)。
222 冯海宁,国企分红中的多重隐忧,第一财经日报,2007.9.18
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