市场分割、跨境上市与预期资金成本——来自Ohlson-Juettner模型的经验证据  

Market Segmentation, Cross-listing and Expected Capital Cost

作　　者：沈红波[1] 

机构地区：[1]上海财经大学会计学院,上海200433

出　　处：《金融研究》2007年第02A期146-155,共10页Journal of Financial Research

基　　金：教育部人文社会科学重点研究基地重大项目(项目批准号05JJD630002)的阶段性成果。

摘　　要：本文在国内首次采用Ohlson-Juettner模型计算了中国A股上市公司2004年的预期资金成本(ex-ante),并深入分析了AH股、AB股以及A股公司在资金成本上的差异。实证研究发现,在市场分割和双重披露的作用下,AH股和AB股公司的资金成本比A股公司低,而AH股面临着比AB股更严格的法律监管,导致AH股资金成本比AB股更低。本文的研究表明,公司的外部环境如法律监管和信息披露对资金成本有着重大的影响,这对加强我国资本市场外部环境建设具有重要意义。Using the Ohlson-Juettner Model, this paper calculates the expected capital cost of the A shares comparties in 2004 and analyses the differences among A shares, AH shares and AB shares. The empirical results find that, under the influence of market segmentation and dual disclosure, the capital cost of the AB shares and AH shares are smaller than the A shares. However, the AH shares face more stringent rules, which lead to smaller capital cost than the AB shares. The findings suggest that, the outside environment has great influence on the capital cost, which is meaningful for the construction of the outside capital market.

关 键 词：市场分割 跨境上市 预期资金成本 

分 类 号：F832.51[经济管理—金融学] F224