盈利变化对AH股溢价影响的研究

发布时间：2018-05-29 22:27

本文选题：AH股溢价 + 盈利变化　；参考：《复旦大学》2012年硕士论文

【摘要】：交叉上市公司股票价差意味着同股同权不同价,这显然违背了金融学领域的一价定律。很多学者对这一现象给予了解释。有基于完美市场和理性人的假设下的国际资产定价模型；有放松了完美市场假设的市场硬分割和市场软分割理论。此外,也有学者放松了理性人假设,试图从行为金融的角度解释交叉上市公司股票价差问题,不过目前此类研究还很少。本文以中国股市的AH股价差为研究对象,发现了一个解释AH股溢价的新变量——盈利变化,并从投资者行为差异的角度给予了解释。全文主要回答了三个问题。第一个问题是盈利变化是影响AH股价差的因素吗?我们通过相关性分析发现“盈利增速减去均值并取绝对值”后的新序列与AH股溢价的相关性很高,并且对照试验显示在排除了控制变量的影响后,盈利增速受冲击幅度较大的冲击组与盈利未受显著影响的对照组相比,溢价率变化幅度大。因此,我们认为盈利变化是AH股溢价的因。第二个问题是盈利变化对AH股溢价的影响有多大?在现有文献的基础上,我们总结了8大影响AH股溢价的因素作为模型的控制变量,并引入盈利变动因素,构建了一个面板数据模型。实证结果显示,盈利增速每变化1个百分点,AH股溢价变动约0.3个百分点。第三个问题是盈利变化通过何种机制影响AH股溢价?本文从行为金融学认知过程的角度提出了解释AH股溢价波动的“投资者预期行为差异假说”,认为盈利变化是通过两地投资者在利用历史盈利数据预测未来盈利增速时的行为差异影响到AH股溢价的。本论文的发现具有多方面的指导意义。一方面,AH股的溢价率与公司盈利增速间呈现出一定的规律,投资者可以根据盈利增速状况在A股和H股间进行适当的套利交易。第二方面,因为投资者行为差异是导致AH股价差的重要原因,可以通过更多的引进境外投资者,如加大QFH额度,提高两地市场投资者的“一体化”来缩小A股市场和H股市场上同股不同价的幅度。第三方面,对越来越多准备实施A股H股两地上市的企业在资本结构设计和IPO定价方面也有一定帮助。
[Abstract]:The stock price difference between the cross listed companies means the same rights in the same stock, which is obviously contrary to the one price law in the field of finance. Many scholars have explained this phenomenon. There are international asset pricing models based on the hypothesis of perfect market and rational people; the market hard segmentation and market soft segmentation which have relaxed the perfect market hypothesis. In addition, some scholars have relaxed the rational person hypothesis, trying to explain the stock price difference between the cross listed companies from the perspective of behavioral finance, but there are few such studies at present. This paper, taking the AH stock price difference of the Chinese stock market as the research object, finds a new variation of the AH share premium - the change of profit and the difference of investor behavior. The angle is explained.
The first question is to answer three questions. Is the profit change the factor that affects the AH stock price difference? We find that the correlation between the new sequence of "profit growth minus the mean and the absolute value" is highly correlated with the AH share premium, and the control experiment shows that the profit growth is affected by the exclusion of the control variables. We think the change of profit is the cause of the AH share premium. The second question is how big is the effect of profit change on the AH share premium? On the basis of the existing literature, we have summed up the 8 factors affecting the AH share premium as a model. A panel data model is constructed by introducing a control variable and introducing a profit change factor. The empirical results show that the profit growth rate varies by 1 percentage points and the AH share premium changes about 0.3 percentage points. The third question is what mechanism of the profit change affects the AH share premium? This paper explains AH from the perspective of behavioral finance cognitive process. The "investor anticipation behavior difference hypothesis" of the volatility of the stock premium shows that the profit change affects the AH share premium through the behavior differences between the two investors in predicting future profit growth by using historical profit data.
The findings of this paper have many guiding significance. On the one hand, the premium rate of AH shares has a certain regularity between the rate of premium and the growth rate of the company. The investors can carry out appropriate arbitrage transactions between A shares and H shares according to the profit growth condition. Second, because the investor behavior difference is the important reason that leads to the poor stock price of AH, which can be passed through More foreign investors, such as increasing the QFH quota and improving the "integration" of the two market investors to reduce the price range of the same shares in the A share market and the H-share market. Third, more and more enterprises ready to implement the A share H-share listed companies are also helpful in the design of capital structure and the pricing of IPO.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F275

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