转让定价中市场溢价的量化分析方法研究——基于Fama-French三因子模型的建模方法

发布时间：2018-03-29 13:44

本文选题：转让定价　切入点：市场溢价　出处：《税务研究》2017年04期

【摘要】：本文遵循转让定价中价值创造与经济实质相匹配的理念,针对转让定价中市场溢价难以计量的问题,构建计量模型量化市场溢价大小。文章通过引入金融学中解释超额收益率的Fama-French三因子模型建模方法,探索如何确定转让定价中市场溢价带来超额收益的问题,并对我国汽车行业的市场溢价问题进行实证检验。
[Abstract]:This paper follows the idea of matching the value creation with the economic essence in the transfer pricing, aiming at the problem that the market premium is difficult to measure in the transfer pricing. By introducing the Fama-French three-factor model to explain the excess return in finance, this paper explores how to determine the excess return caused by the market premium in the transfer pricing. And to our country automobile industry market premium question carries on the demonstration test.
【作者单位】：四川省成都市国家税务局;
【分类号】：F812.42;F426.471;F406.7

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