中国上市银行股权资本成本分析

发布时间：2018-03-05 06:43

本文选题：股权资本成本　切入点：资本资产定价模型(CAPM)　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：资本成本的概念涉及理论和实务的多个领域,在公司金融学,投资学,股票定价以及企业的投融资决策中均扮演重要角色,是影响资本市场功能发挥的深层次制度因素。自1958年MM理论发表后五十多年来,已涌现出多种资本成本估算模型。一类基于风险补偿法,以资本资产定价模型(CAPM)为代表；另一类基于内含报酬法,以GLS模型为代表。尽管以资本资产定价模型(CAPM)为代表的资本成本估算模型盛行,但多个研究发现用其计算的必要报酬率是不精确的。因此,本文以我国上市银行为研究对象,试图对比GLS模型与CAPM模型,从而对我国上市银行股权资本成本做有意义的探索与研究。本文回顾了股权资本成本的相关文献,并重点介绍与比对了资本资产定价模型(CAPM)和GLS模型,分别就资本资产定价模型(CAPM)与GLS模型估算了上市银行的股权资本成本,并结合我国上市银行的发展背景对股权资本成本的特性做了解读；同时选取了资本充足率、市盈率、规模、不良贷款率、净息差、银行所有权性质等与银行经营特性相关的因素纳入回归模型,分析影响上市银行资本成本的因素。
[Abstract]:The concept of capital cost involves many fields of theory and practice, and plays an important role in corporate finance, investment, stock pricing and investment and financing decisions of enterprises. Since 1958, more than 50 years after MM theory was published, a variety of capital cost estimation models have emerged. One is based on risk compensation, represented by the capital asset pricing model (CAPM). The other one is based on the implicit reward method, represented by the GLS model. Although the capital cost estimation model, represented by the capital asset pricing model, is prevalent, several studies have found that the necessary rate of return calculated by the model is not accurate. This paper takes the listed banks in China as the research object, tries to compare the GLS model with the CAPM model, so as to make a meaningful exploration and research on the cost of equity capital of listed banks in China. This paper reviews the relevant literature on the cost of equity capital. This paper mainly introduces and compares the capital asset pricing model (GLS) and the capital asset pricing model (GLS), and estimates the equity capital cost of the listed banks on the basis of the capital asset pricing model (GLS) and the capital asset pricing model (GLS), respectively. At the same time, the capital adequacy ratio, price-earnings ratio, scale, non-performing loan ratio, net interest margin are selected. The factors related to the characteristics of bank management, such as the nature of bank ownership, are incorporated into the regression model, and the factors affecting the capital cost of listed banks are analyzed.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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