基于综合要素的证券市场相对效率测度方法研究—理论与实证

发布时间：2019-06-22 13:45

【摘要】：随着Tobin的估值效率概念的提出，关于估值效率的研究受到了众多学者的青睐，提出了许多测度方法。但是，已有的研究成果仍然存在许多不足之处，如将信息效率混同于市场效率、测度方法不能综合考虑估值要素等。本文在已有文献的基础上，以估值效率为研究对象，以我国深交所行业分类指数和在上海A、B股市场同时上市的43家公司为样本，将理论分析和实证分析、定性分析和定量分析相结合，主要研究了以下三个方面的内容： (1)本文介绍了数据包络分析(DEA)方法的基本理论和模型，阐述了基于相对比较的证券市场DEA估值效率评估思想。在此基础上，基于一个包含四类定价要素的股票定价模式提出了一个评估证券市场相对估值效率的综合要素DEA模型（包括综合要素C2R模型和综合要素超效率DEA模型）。 (2)运用综合要素C2R模型和构造的市场估值无效指数计量市场估值效率、市场估值偏好等市场运行特征和演变规律。本文以深交所行业分类指数为样本进行了实证研究，，并将结果与市盈率指标做了比较分析，显示出估值效率比市盈率等传统指标更能全面地反映出市场内部各行业及市场的相对估值效率的特征和变化趋势。 (3)根据在上海市场同时发行A、B股的43家AB公司的价格行为，从输入和输出及相对比较的视角，利用综合要素超效率DEA模型，跨市场比较研究了我国上海A、B股市场的相对估值效率及其差距，发现上海A、B股市场的估值效率变化趋势基本一致，几乎是同升同降，并且总是在不断调整。
[Abstract]:With the introduction of the concept of valuation efficiency of Tobin, the research on valuation efficiency has been favored by many scholars, and many measurement methods have been put forward. However, there are still many shortcomings in the existing research results, such as mixing information efficiency with market efficiency, and the measurement method can not comprehensively consider the valuation elements and so on. On the basis of the existing literature, this paper takes the valuation efficiency as the research object, takes the industry classification index of Shenzhen Stock Exchange and 43 companies listed at the same time in Shanghai A, B share market as samples, combines theoretical analysis with empirical analysis, qualitative analysis and quantitative analysis, and mainly studies the following three aspects: (1) this paper introduces the basic theory and model of (DEA) method. This paper expounds the evaluation idea of DEA valuation efficiency in securities market based on relative comparison. On this basis, based on a stock pricing model with four kinds of pricing elements, a comprehensive element DEA model (including comprehensive element C2R model and comprehensive element super-efficiency DEA model) is proposed to evaluate the relative valuation efficiency of securities market. (2) the market operation characteristics and evolution laws, such as market valuation efficiency, market valuation preference and so on, are measured by using the comprehensive element C2R model and the constructed market valuation invalid index. This paper makes an empirical study on the industry classification index of Shenzhen Stock Exchange, and compares the results with the price-earnings ratio index. It shows that the valuation efficiency is more comprehensive than the price-earnings ratio and other traditional indicators to reflect the characteristics and changing trend of the relative valuation efficiency of various industries and markets within the market. (3) according to the price behavior of 43 AB companies issuing A and B shares at the same time in Shanghai market, from the perspective of input, output and relative comparison, this paper compares and studies the relative valuation efficiency and its gap of Shanghai A and B share market by using the comprehensive factor super efficiency DEA model. It is found that the valuation efficiency of Shanghai A and B share market is basically the same, almost the same rise and fall, and it is always adjusting constantly.
【学位授予单位】：中国计量学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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