国有银行会计利润失真与股权定价模型的修正  

The Study of Return Distortion of State-Owned Banks and Model Amending on Share Pricing

作　　者：韩忠伟[1] 杨朝军[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030

出　　处：《金融研究》2007年第05A期78-86,共9页Journal of Financial Research

摘　　要：股权定价方法和模型的本质是通过盈利能力指标来评价银行投资价值,但由于中国银行业制度转轨的特殊性,国有银行大部分经营利润都被用于补充计提拨备以及冲销各种历史财务包袱,会计利润严重失真,导致各种传统股权定价方法失效。我们凭借对国有银行改革和转轨特征的深刻理解,建立了适合国有银行制度特征的两阶段股息贴现模型,并利用工商银行的数据验证了模型的准确性和有效性。The paper points out that the final returns of the state-owned banks （SoBs） were seriously distorted because most of operating income are used to makeup the loan loss provisions and write off historic financial debts. Therefore, traditional share pricing models and methods in China are ineffective. The authors build a new pricing model such as 2-stage DDM, which is in line with the characters of SoBs. Finally the effective and veracity of the model are validated by ICBC＇s data.

关 键 词：国有银行 会计利润 失真 股权定价 

分 类 号：F830.42[经济管理—金融学] F224