基于价格不完全揭示信息资产定价的B股折价  

B-share Discount of Asset Pricing Based on Partial Disclosure of Price Information

作　　者：孟卫东[1] 江成山[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400044

出　　处：《系统工程》2009年第3期36-40,共5页Systems Engineering

基　　金：中国博士后基金资助项目(20070410209)

摘　　要：我国B股折价问题作为证券市场分割的异例,受到国内外众多学者的关注。注意到投资者情绪和股票流动性在股价上涨和下跌两个方向的不同作用,本文分别对A股和B股建立了价格不完全揭示信息的理性预期均衡资产定价模型,来研究投资者情绪和噪音交易者行为对B股折价的影响,并通过实证研究对模型结论进行了验证。本文的研究结果表明,A股不知情者的情绪与B股折价正相关,A股噪音交易者行为与B股折价负相关,B股噪音交易者行为与B股折价正相关,同时,由于制度原因造成的系统性差异也是B股折价的一个重要原因。As a special case of the securities market segmentation, China＇s B-share discount issue attracts many scholars＇ attention. In view of the fact that investor sentiment and stock liquidity had different effects when stock＇s price rose and fell, this paper establishes partial reveal rational expectation equilibrium asset pricing model for A-share and B-share in the case of partial disclosure of prices to study investor sentiment and noise trader＇s effect on B-Share discount, and the model＇s conclusion was verified through empirical research. The study results show that uninformed traders＇ sentiment of A-share had positive relationship with B-share discount, noise traders＇ behavior of A-share negatively correlates with B-share discount, while noise trader＇s behavior of B-share positively correlates with B-share discount, at the same time, difference in system also accounts for B-share discount.

关 键 词：情绪 噪音 不对称 B股折价 

分 类 号：F830[经济管理—金融学]