资本定价理论及其在我国的应用研究

【作者】 韩红成；

【导师】 徐桂华；

【作者基本信息】 复旦大学 ， 政治经济学， 2005， 博士

【摘要】 本文是一篇关于资本定价理论介绍、评述及应用的文章。全文由三个部分组成,第一部分阐述资本定价的概念、内涵、意义和相关理论;第二部分对我国资本市场与资本定价有关的内容进行实证分析;第三部分对资本定价理论在我国应用所涉及的主要问题进行研究,为投资者资本定价提供实务指导和建议。 第一部分为理论综述。资本是经济发展到一定阶段的产物,资本来源于一般商品,又具有相对独立性。资本定价既包含了一般商品定价的基本原理,又与之有所区别。资本定价是一门科学,也是一门艺术,具有相对性、时效性、模糊性和主观性等特征,并受到反馈效应和制度性缺陷的影响。资本定价理论与应用清晰剖析了增加和毁损公司价值的因素,不仅可用于资本定价,而且对公司如何进行价值管理也具有积极的借鉴意义。在众多与资本定价相关的投资理论中,本文选择重要的有效市场假说、投资组合理论、MM理论、资本资产定价模型、套利定价模型和期权定价模型等理论进行了介绍,并分别进行了评述。 第二部分为实证分析。市场环境和投资者行为是影响资本定价的两个重要因素,因此本文从这两个方面对我国的证券市场进行了实证分析。由于制度性缺陷和制度变革的不确定性,我国证券市场尚处于弱式有效性向半强式有效性过渡阶段,具有信息收集和加工优势的投资者可以获得超额收益。随着机构投资者的不断壮大,我国投资者行为正逐步向价值投资理念转变,我们应顺应这种变化趋势,确立合理的投资策略。 第三部分为应用研究。资本定价的过程可分为公司分析、构建资本定价模型,以及定价决策三个步骤。公司分析分为定性分析和定量分析。最常用的资本定价模型主要有三种,折现现金流模型、相对定价模型和期权定价模型,投资者需要针对不同的公司特点选择不同定价模型。以定价模型得出的定价结果为重要参考,投资者还需要综合考虑和比较资本的控制权溢价、流动性和交易结构等因素,并在此基础上进行最后的定价决策。更多还原

【Abstract】 This paper focused on the introduction, comment and application of capital pricing theory. It consists of three parts. In the first part, I explanied the concepts, connotation and theory of capital pricing, and it’ s advices on company management. In the second part, I did empirical research on the domestic capital market to find out the environment and application of capital pricing. In the third part, I give my suggestion and resolution on how to apply the capital pricing theory to domestic market.The first part is a comprehensive survey on capital pricing theory. Capital evolved from common commodity as the result of economic development, while relatively independent. So there are both common and different principles between the pricing of them. Capital pricing is both scientific and artistic, with the characteristics of relativity, timeliness, opaque and subjective, and is influenced by feedback effect and institutional defect. The process of capital pricing clearly shows what add to or reduce the company value, so capital pricing theory is also beneficial to value-oriented management. In many of investment theories about capital pricing, this paper chooses to introduce efficient market hypothesis, portfolio investment theory, MM theory, capital and asset pricing model, arbitrage pricing model, option pricing model, and behavior finance theory, each theory I will show you my understanding.The second part is empirical analysis. The most two important factors that influence the capital pricing is the market environment and investor’ s behavior, so this paper analyzed the domestic capital market from these two aspects. For institutional defects and the uncertainty of its transferring, china capital market is transferring from weak form efficiency to semi-strong efficiency, so the investor who has advantages of gathering and processing information can beat更多还原