中国股市一二级市场错误定价测度及成因比较

发布时间：2018-07-31 06:14

【摘要】：由于中国股市制度的特殊性,股票价格严重偏离股票价值。长期处于错误定价状态,导致股票市场的资源配置功能得不到充分发挥。研究股票错误定价问题具有重要的理论和现实意义。一方面可以从理论上解释转型国家股票价格波动的内在机理,另一方面可以为市场相关方尤其是市场监管者提供行为决策依据。迄今为止,国内外对股市价格的研究基本上是对股市泡沫的研究,而本文研究的股市错误定价定义为股票价格对股票内在价值的偏离。股市错误定价为正数时,表示股票价格大于股票价值,股票价值被高估；股市错误定价为负数时,表示股票价格小于股票价值,股票价值被低估。本文主要做了两个工作。一是我国股市错误定价的测度；二是从两个假说(货币幻觉假说和再售期权假说)分析股市错误定价的成因,并且比较了一二级市场错误定价成因的不同。本文在分析股票价格和价值的基础上,引申出股市错误定价的概念。本文首先分析股票内在价值的内涵,以及货币幻觉假说和再售期权假说对股市错误定价的影响机制。在股市错误定价的测度上,对股市一级市场错误定价的度量用首日超额收益率做代理。对于二级市场的股市错误定价,采用两种方法测度。其一是利用2002年06月-2011年03月的季度数据,采用动态剩余收益VAR模型计算估计市值比,估计市值比与实际市值比的差为我国股市季度错误定价；其二是利用1992-2010年的年度数据,利用每股净资产加预期每股剩余收益计算股票内在价值,(股票价格水平-内在价值)/内在价值测度股市错误定价度。通过将两种方法得到的股市错误定价与我国股市实际情况对比,可以看出测度的股市错误定价较好的反映了股市价格对价值的偏离,相对于上证指数和20倍市盈率股价,更能反映股市的投资价值。对于股市错误定价的影响因素。货币幻觉采用CPI为代理变量,再售期权用换手率为代理变量。一级市场IPO错误定价用协整理论,二级市场用非参数变系数部分线性模型研究,最后比较了两个假说对一二级市场错误定价影响的差别。实证结果得到的主要结论有： (1)无论是我国股市一级市场还是二级市场都存在错误定价。二级市场都存在货币幻觉效应和再售期权效应。股市经常处于股票价格高于股票价值的状态。近两年股市处于价值相对低估状态。 (2)股市错误定价与股指无直接对应关系,本文测度的错误定价比市盈率股价更合理。研究表明股指不能很好的反映股市投资价值。其原因是我国股指受上市公司分红派息,股改支付对价时除权不除指数,以及新股对股指的影响等,所以从长期看,股指的可比性差。而股市错误定价具有长期可比性。同时把本文测度的错误定价、市盈率股价和我国股市实际情况相比,本文的测度更为合理。 (3)货币幻觉假说和再售期权假说对我国股市一二级市场的影响力有变化。利用非参数变系数部分线性模型,CPI对我国IPO市场错误定价影响程度逐渐增强,对二级市场错误定价影响程度逐渐减弱。换手率对一级市场股市错误定价逐渐增强,对二级市场股市错误定价程度逐渐减弱。
[Abstract]:Because of the particularity of the Chinese stock market system, the stock price deviates from the stock value seriously. It has been in the wrong pricing state for a long time, which leads to the lack of full play of the resource allocation function of the stock market. The internal mechanism, on the other hand, can provide behavioral basis for market stakeholders, especially market regulators.
So far, the research on the stock market price at home and abroad is basically the study of the stock market bubble, and the wrong pricing of the stock market is defined as the deviation from the stock price to the intrinsic value of the stock. When the stock market error pricing is positive, the stock price is higher than the stock value, the stock value is overestimated and the stock market error pricing is negative. The stock price is less than the value of the stock and the value of the stock is undervalued.
This paper has done two main tasks. One is the measurement of wrong pricing in China's stock market; the two is the analysis of the causes of the stock market error pricing from the two hypotheses (Money Illusion Hypothesis and resale option hypothesis), and compares the difference in the cause of error pricing in the one or two level market.
On the basis of the analysis of stock price and value, this paper extends the concept of stock market error pricing. Firstly, this paper analyzes the connotation of the intrinsic value of stock, and the influence mechanism of the hypothesis of money illusion and the hypothesis of resale option on the stock market error pricing. Two methods are used to measure the wrong pricing of the stock market in the two level market. One is to use the quarterly data of 2002, -2011, 03 months, to calculate the estimate of the market value ratio by the dynamic residual income VAR model, and the difference between the estimated market value ratio and the actual market value ratio is the quarterly error pricing in China's stock market, and the second is to use 1992-201. The annual data of 0 years, using the net assets per share and the expected earnings per share to calculate the intrinsic value of the stock, (stock price level - intrinsic value) / intrinsic value, measure the false pricing of the stock market. By comparing the stock market error pricing of the two methods to the actual situation of China's stock market, it can be seen that the price of the stock market is better priced. It reflects the deviation of the stock price from the value, which reflects the investment value of the stock market better than the Shanghai Composite Index and the 20 times price earnings ratio share price.
The influence factor of the stock market error pricing. The currency illusion uses CPI as the proxy variable, the resale option uses the turnover rate as the proxy variable. The IPO error pricing in the first class market uses cointegration theory, the two level market uses the nonparametric variable coefficient partial linear model, and finally compares the difference between the two hypotheses to the wrong pricing of the one or two level market.
The main conclusions of the empirical results are as follows:
(1) there is a wrong pricing in both the first and two level markets of China's stock market. There is a currency illusion effect and the effect of resale option in the two level market. The stock market is often in a state of higher stock price than the stock value.
(2) the error pricing of the stock market is not directly corresponding to the stock index, and the error pricing in this paper is more reasonable than the price earnings ratio. The study shows that the stock index can not reflect the value of the stock market investment. The reason is that the stock index of the stock index is divided by the dividend of the listed companies, the dividend payment is not divided into the index, and the influence of the new stock to the stock index, etc. In the long run, the comparability of the stock index is poor, and the stock market error pricing has a long-term comparability. At the same time, the measurement of the error pricing, the price earnings ratio and the actual situation in China's stock market is more reasonable.
(3) the influence of the Money Illusion Hypothesis and the resale option hypothesis on the one or two level market in China's stock market has changed. Using the non parametric variable coefficient partial linear model, the influence degree of CPI on the wrong pricing of our country's IPO market is gradually increasing, and the influence degree of the false pricing of the two level market is gradually weakening. The turnover rate has gradually increased to the wrong pricing of the first level market. Strong, the two tier market stock market pricing error gradually weakened.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【参考文献】