内部资本市场效率实证测度模型的改进与验证

发布时间：2018-07-18 13:08

【摘要】：内部资本市场效率实证测度模型是研究内部资本市场效率的关键。本文总结了现有内部资本市场效率测度模型的优缺点,在此基础上构建了新的模型,一是适用于分部数据充分情况下的基于上期资产回报率的现金流敏感系数,二是适用于A股市场分部数据不完善情况下的调整的利润敏感系数,并进行了检验。结果表明,两个模型的改进不仅是必要的而且是合理的,并且为对A股上市公司ICM效率的研究提供了可行的基础,也为ICM效率的相关研究打开了广阔的空间。
[Abstract]:The empirical measurement model of internal capital market efficiency is the key to the study of internal capital market efficiency. In this paper, the advantages and disadvantages of the existing internal capital market efficiency measurement models are summarized, and a new model is constructed. One is the cash-flow sensitivity coefficient based on the return on assets in the prior period, which is suitable for the sufficient segment data. The second is the adjustment of profit sensitivity coefficient in the case of incomplete segment data in A-share market. The results show that the improvement of the two models is not only necessary and reasonable, but also provides a feasible basis for the study of ICM efficiency of A-share listed companies, and opens up a wide space for the research of ICM efficiency.
【作者单位】：北京工商大学商学院;
【基金】：北京教委人文社科面上项目“内部资本市场:边界、效率与构建(SM201010011008)” 北京市属高等学校人才强教深化计划“高层次人才资助计划”项目(PHR20100512)的阶段性研究成果
【分类号】：F832.5;F224

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