剩余收益模型对中小板企业股价的解释能力研究

发布时间：2018-01-14 17:43

本文关键词：剩余收益模型对中小板企业股价的解释能力研究　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：以往在运用剩余收益模型对公司股价进行实证研究时，大多数学者只研究了整个模型对股价的解释能力，而忽略了剩余收益模型中各个定价要素在对公司股价形成中所起到的不同的作用。剩余收益模型中的剩余收益变量能够反映公司成长性的特点。而在我国中小板上市的公司具有高成长性特点的公司。因此，本文选用剩余收益模型来对我国中小板上市公司股票价格进行实证研究，以检验我国中小板上市公司高成长性的特点是否得到市场的认可。另外，，由于证券投资基金具有“价值发现”功能和“价值创造”功能，本文将基金持股比例作为剩余收益模型中“其他信息”的替代变量，检验其在股票定价中所起的作用。线性信息动态化假设是剩余收益模型的核心假设，因此本文首先对将基金持股比例作为“其他信息”的替代变量是否满足线性信息动态化假设进行了检验，结果表明，在2007-2011年间，当前的基金持股比例能够对我国中小板上市公司下一期的剩余收益产生显著的影响，并且其回归系数的取值范围介于0和1之间，符合剩余收益模型中线性信息动态化的假定的要求。在此基础之上，本文以信息观、计价模型观和计量观理论为基础，根据剩余收益模型的不同形式，分别构建了包含和不包含基金持股比例变量的两种不同形式的经验性估计模型。在检验这两个模型对股价的解释能力时，我们发现，包含基金持股比例变量的模型对股票价格的解释能力较高，说明基金持股比例对股票价格具有增量解释能力；同时，我们还发现，市场在对我国中小板上市公司股票进行定价时，比较偏重每股剩余收益和基金持股比例两个变量。
[Abstract]:In the past, when using residual return model to study the stock price, most scholars only studied the explanatory ability of the whole model to the stock price. However, the different roles of each pricing factor in the residual return model in the formation of the company's stock price are ignored. The residual income variables in the residual return model can reflect the characteristics of the growth of the company. Listed companies with high growth characteristics. In order to test whether the characteristics of high growth of Chinese small and medium board listed companies are recognized by the market, this paper chooses the residual income model to study the stock price of the small and medium-sized board listed companies in China. Because the securities investment fund has the function of "value discovery" and "value creation", this paper takes the shareholding ratio of the fund as the alternative variable of "other information" in the residual income model. Test its role in stock pricing. Linear information dynamic hypothesis is the core assumption of residual income model, so this paper first tests whether the fund holding ratio as a substitute variable of "other information" satisfies the linear information dynamic hypothesis. The results show that in the period of 2007-2011, the proportion of fund shareholding can have a significant impact on the remaining income of Chinese small and medium-sized listed companies in the next period. Moreover, the range of regression coefficients is between 0 and 1, which meets the requirement of the assumption of linear information dynamic in the residual return model. On this basis, this paper based on information view, pricing model view and measurement theory, according to the different forms of residual income model. Two different empirical estimation models including and without fund shareholding ratio variables are constructed respectively. When we test the explanatory ability of these two models to the stock price we find. The model which includes the fund shareholding ratio variable has higher explaining ability to the stock price, which indicates that the fund shareholding ratio has the incremental explanation ability to the stock price; At the same time, we also find that when the market pricing the shares of the small and medium-sized listed companies in China, it pays more attention to the two variables of residual earnings per share and the proportion of funds holding shares.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F275;F832.51

【参考文献】