基于DEA的行业相对估值效率测度——理论与实证

发布时间：2018-04-16 02:07

本文选题：DEA + 综合估值要素　；参考：《中国管理科学》2012年03期

【摘要】：本文从综合估值要素和相对动态估值的视角,基于有效市场中的每一只股票都应被合理估值的思想,提出了一个体现综合、相对和动态评估思想的DEA估值效率模型和市场估值无效指数,据此可以计量分析市场估值效率、市场估值偏好等市场运行特征和演变规律。以深交所行业分类指数为样本的实证分析结果显示,它比市盈率等传统指标更全面地反映出市场及内部各行业相对估值效率的特征和变化趋势。
[Abstract]:In this paper, from the perspective of comprehensive valuation elements and relative dynamic valuation, based on the idea that every stock in an efficient market should be reasonably valued, a comprehensive approach is proposed.The DEA valuation efficiency model and the market valuation invalid index based on the relative and dynamic evaluation ideas can be used to measure and analyze the market operating characteristics and evolution rules such as market valuation efficiency and market valuation preference.The empirical analysis of Shenzhen Stock Exchange shows that it reflects the characteristics and trends of relative valuation efficiency of market and internal industries more comprehensively than traditional indexes such as price-earnings ratio.
【作者单位】：中国计量学院经济与管理学院;
【基金】：国家自然科学基金项目资助(70873115,71173203) 浙江省高校人文社科重点研究基地资助浙江省哲学社会科学重点研究基地资助
【分类号】：F832.51

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