非有效市场下的股票市场定价模型
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摘要
股票价格是否由企业基本价值决定，这是个颇具争议性的问题。首先是因为价值是不可观察的，而现有的模型又很难对股票价值作出准确的估计。而且在经验研究上，用估价模型来拟合股票的价格结果往往不能令人满意，甚至不同的研究者对相似的结果会作出不同的解释(如Myers，1999和Dechow et al．，1999)。实际上，只有在完全有效的市场条件下，股票的价格才能完全由价值决定。但是，实际上，这样的市场并不存在。而在像中国这样的非有效(弱型有效甚至无效)市场条件下，股票价格必定会有泡沫存在。本文探讨了非有效市场条件下股票的市场定价机制。本文的研究表明，股票的价格往往在其发行上市之时就已经被高估了，从而使得股票在二级市场上的价格经常严重超过其基本价值。不幸的是，在非有效市场上，理性的投资者纠正股票不当定价的能力非常有限，甚至可能参与了泡沫股票的投机，推动泡沫的成长，使得泡沫能够长期地存在。除此之外，由于缺乏有效的证券监管制度，价格还可能被操纵而不再理性，以致非理性泡沫无法消除。根据这些分析，本文提出了非有效市场条件下的股票定价模型——动态自回归模型。该模型是一个动态模型，模拟了市场对股票的定价机制，并允许理性泡沫和非理性泡沫存在于股票定价中。利用这个动态模型作为经验模型，将期末股价用期初股价、未预期利润、股利和其他的非价值相关因素(如流通股规模)作为变量进行回归，就可以判别出当期的股票价格中是否存在理性泡沫和非理性泡沫。借助信号滤波器原理，我们甚至可以利用该模型估计出股票价格中泡沫的含量。
本论文主要在以下一些方面有所创新：① 本文以Ohlson(1995)模型和资本资产的随机定价模型为基础，推导出新的基于基本价值的股票定价模型——动态自回归定价模型，然后结合Diba ＆ Grossman(1988)模型导出在非有效市场条件下的股票理性定价动态模型，并根据价格操纵理
论对理性定价模型进行适当的修正，最后得出非有效市场条件下的股票非
理性定价模型。这三个模型最后统一于一般性的股票动态定价模型。这个
模型可以被用于对理性泡沫和非理性泡沫的经验检验;②在理论上有一些
新的发现。如权益账面值与权益价值之间的关系、利润的持续性与价格反
应系数的关系、股利政策的价值相关性以及信息披露对股票定价的影响
等。笔者发现，权益账面值与价值的偏离，不仅是稳健会计的结果，也可
能是现行会计系统不确认货币时间价值的结果。笔者还发现股利政策是价
值相关的，这与Ohlson(1995)的结论相反。另外，信息披露对股票市
场的有效性非常重要。在有效市场条件下，当公司本期不存在价值相关信
息时，股票的预期价格不会发生变化。信息披露不及时、不完全，会造成
某些人可以利用该信息获得超常收益，从而降低股票市场的效率。最后，
笔者发现，利润的持续性与未预期利润的价格反应系数成正相关，利润的
持续性越好，未预期利润的系数越高。
Are stock prices determined by fundamental value, or in other words, do " bubbles" exist? This is a controversial issue in stock-market-based study . Because value is unobservable and difficult to be estimated exactly via the existing models, empirical studies that intend to fit the estimated value on prices have failed in deriving satisfying results, and even the same results may be explained in different ways. Theoretically speaking, only in perfect efficient market, the stock price is determined by its fundamental value. Unfortunately, such perfect market does not exist. In inefficient market, bubbles do exist in stock prices. This dissertation explores the stock pricing mechanism in inefficient market and finds that in inefficient market such as Chinese stock market, the stock prices have always been driven up on purpose during the initial public issuing period, and lead deviation of prices from their intrinsic value. Unfortunately, the rational investors in the market only possess limited ability to cor
rect mispricing, and hence let the bubbles do exist. Some of them even speculate in bubble stocks. More worse, due to lack of effective regulation, the stock price is easily to be manipulated. These factors mixed together allow the persistence of rational and irrational bubbles. Based on these observations, accounting for the rational and irrational bubbles, this dissertation derives a new dynamic pricing model. By regressing prices on lagged prices, unexpected earnings, dividends, and other non-value-relevant variables such as negotiable share size, the model could identify whether bubbles exist in the prices or not. Resorting to signal filter principle, the model even could estimate how much bubble exist in the price.
The main academic contributions are provided as follows:
1. Based on the Ohlson(1995)'s model, the stochastic pricing model and the rational speculative bubbles model developed by Diba and Grossman (1988), this dissertation derived a new dynamic pricing model, which can be used as an empirical model for testing rational and irrational bubbles.
2. This dissertation makes some new discoveries. First, I find that the deviation of accounting book value from its fundamental value is not only because of conservatism, but also because of the modern accounting system's neglect of time value of money. Second, I find that if there were no value-relevant information existing, the expected value of the stock would not have changed. Third, Contrary to Ohlson (1995), I find that dividends policy is value-relevant. Finally, the paper shows that earnings' persistence is positively related with its price reflecting coefficient. That is, the more persistent the earnings is, the bigger coefficient of unexpected earnings the price has.
本论文主要在以下一些方面有所创新：① 本文以Ohlson(1995)模型和资本资产的随机定价模型为基础，推导出新的基于基本价值的股票定价模型——动态自回归定价模型，然后结合Diba ＆ Grossman(1988)模型导出在非有效市场条件下的股票理性定价动态模型，并根据价格操纵理
论对理性定价模型进行适当的修正，最后得出非有效市场条件下的股票非
理性定价模型。这三个模型最后统一于一般性的股票动态定价模型。这个
模型可以被用于对理性泡沫和非理性泡沫的经验检验;②在理论上有一些
新的发现。如权益账面值与权益价值之间的关系、利润的持续性与价格反
应系数的关系、股利政策的价值相关性以及信息披露对股票定价的影响
等。笔者发现，权益账面值与价值的偏离，不仅是稳健会计的结果，也可
能是现行会计系统不确认货币时间价值的结果。笔者还发现股利政策是价
值相关的，这与Ohlson(1995)的结论相反。另外，信息披露对股票市
场的有效性非常重要。在有效市场条件下，当公司本期不存在价值相关信
息时，股票的预期价格不会发生变化。信息披露不及时、不完全，会造成
某些人可以利用该信息获得超常收益，从而降低股票市场的效率。最后，
笔者发现，利润的持续性与未预期利润的价格反应系数成正相关，利润的
持续性越好，未预期利润的系数越高。
Are stock prices determined by fundamental value, or in other words, do " bubbles" exist? This is a controversial issue in stock-market-based study . Because value is unobservable and difficult to be estimated exactly via the existing models, empirical studies that intend to fit the estimated value on prices have failed in deriving satisfying results, and even the same results may be explained in different ways. Theoretically speaking, only in perfect efficient market, the stock price is determined by its fundamental value. Unfortunately, such perfect market does not exist. In inefficient market, bubbles do exist in stock prices. This dissertation explores the stock pricing mechanism in inefficient market and finds that in inefficient market such as Chinese stock market, the stock prices have always been driven up on purpose during the initial public issuing period, and lead deviation of prices from their intrinsic value. Unfortunately, the rational investors in the market only possess limited ability to cor
rect mispricing, and hence let the bubbles do exist. Some of them even speculate in bubble stocks. More worse, due to lack of effective regulation, the stock price is easily to be manipulated. These factors mixed together allow the persistence of rational and irrational bubbles. Based on these observations, accounting for the rational and irrational bubbles, this dissertation derives a new dynamic pricing model. By regressing prices on lagged prices, unexpected earnings, dividends, and other non-value-relevant variables such as negotiable share size, the model could identify whether bubbles exist in the prices or not. Resorting to signal filter principle, the model even could estimate how much bubble exist in the price.
The main academic contributions are provided as follows:
1. Based on the Ohlson(1995)'s model, the stochastic pricing model and the rational speculative bubbles model developed by Diba and Grossman (1988), this dissertation derived a new dynamic pricing model, which can be used as an empirical model for testing rational and irrational bubbles.
2. This dissertation makes some new discoveries. First, I find that the deviation of accounting book value from its fundamental value is not only because of conservatism, but also because of the modern accounting system's neglect of time value of money. Second, I find that if there were no value-relevant information existing, the expected value of the stock would not have changed. Third, Contrary to Ohlson (1995), I find that dividends policy is value-relevant. Finally, the paper shows that earnings' persistence is positively related with its price reflecting coefficient. That is, the more persistent the earnings is, the bigger coefficient of unexpected earnings the price has.
引文
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李长安主编，2003，股市的丑陋，北京：经济日报出版社。
李茂生、苑德军主编，2003，中国证券市场问题报告，北京：中国社会科学出版社。
林舒、魏明海，2000，中国A股公司首次公开募股过程中的盈利管理，中国会计与财务研究。
吴晓求主编，2002，中国证券市场典型案例，北京：中国人民大学出版社。
张圣平．2002，偏好、信念、信息与证券价格，上海：上海人民出版社。
Abreu, D., and M.K. Brunnermeier. 2002. Synchronization Risk and Delayed Arbitrage. Journal of Financial Economics 66:341-360.
Abreu, D., and M.K. Brunnermeier. 2003. Bubbles and Crashes. Econometrica 71:173-204.
Aharony, J., C.J. Lee, and T.J. Wong, 1997. Financial Packaging of IPO Firms in a Transitional Economy: The Case of B-shares and H-shares in China. (forthcoming).
Allen, F., and D. Gale. 1992. Stock-Price Manipulation. Review of Financial Studies 5: 503-529.
Allen, F., and G. Gorton. 1993. Churning Bubbles. Review of Economic Studies 60: 813-836.
Asquith, P., and D.W. Mullins. 1983. The Impact of Initiating 'Dividend Payments on Shareholder' Wealth. Journal of Business 56: 77-96.
Ausubel, L.M. 1990. Insider Trading in a Rational expectations Economy. American Economic Review 80: 1022-1041.
Bagnoli, M., and B.L. Lipman. 1996. Stock price Manipulation through Takeover Bids. The Rand Journal of Economics 27: 124-147.
Baker, M., and S. Savasoglu. 2002. Limited Arbitrage in Mergers and Acquisitions. Journal of Financial Economics 64:91-116.
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