A股、红筹股及美国股票市场定价比较  

Market Pricing Comparison among the A Stock,Chinese Concept Stock & American Stock

作　　者：刘澎[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《系统工程》2009年第1期44-49,共6页Systems Engineering

基　　金：国家社会科学基金重大资助项目

摘　　要：对中国大陆的A股、香港的红筹股和美国市场股票的市净率及其决定因素进行比较分析,判断A股市场是否存在泡沫。通过与美国市场的市净率与净资产报酬率之间的关系进行比较,发现:(1)红筹股公司的市净率略高于美国市场,但红筹股公司的市净率与净资产报酬率的关系曲线的斜率与美国市场相等。(2)相对于红筹股公司和美国上市公司,A股亏损公司的市净率的中位数达到4倍以上,这就是所谓的垃圾股现象。(3)盈利A股公司的市净率远高于红筹股公司和美国上市公司。A股公司的市净率相对于净资产报酬率的斜率,亦远高于红筹股公司和美国上市公司,并且这一现象在小规模公司中更为突出。(4)在控制了年度、交易所、操纵行为和公司规模之后,A股公司市净率与净资产报酬率之间的正相关关系消失了。这一结果表明操纵行为及A股市场浓郁的投机气氛是A股市净率相对于成熟市场高企的主要原因。红筹股与成熟市场的市净率比较接近,红筹股回归在一定程度上能够平抑A股市场可能存在的泡沫。In this paper, we compare market price to net assets ratios of A stock in China market, Chinese concept stock in Hongkong, and stock in U. S. A. , and analyze their determinants, to judge whether there are foams in A stock market. By comparing the relationship between market price to net assets ratio and ROE in Hongkong stock market with that in American stock market, we find that firstly market price to net assets ratio of Chinese concept stock is a little＇higher than that of American stock, but slope of the relationship between the ratio of market price to net assets and ROE is almost same as that of American stock. Secondly,the median of market price to net assets ratio of defective companies in A stock market is 4, as called trash stock phenomenon. Thirdly, the ratio of market price to net assets of profitable companies in A stock market is much higher than that in Hongkong and America. Moreover, this phenomenon is more obvious in small firms. Fourthly, there is a positive correlation between the ratio of market price to net assets and ROE disappeared after controlling the variables of year, exchange, stock jobbing, and firm size, which indicates that stock jobbing and speculation is the main reason why the ratio of market price to net assets of A stock is higher than in mature market. The ratio of market price to net assets of Chinese concept stock is close to mature markets, so their returning can reduce foams in A stock market.

关 键 词：市净率 泡沫 净资产报酬率 红筹股 

分 类 号：F830[经济管理—金融学]