非有效市场股权风险溢价的确定——基于投入产出分析  

Determination of Equity Risk Premium in An Inefficient Market:Based on Input-output Analysis

作　　者：徐爱农[1] 

机构地区：[1]上海立信会计学院会计与财务学院,上海201620

出　　处：《上海立信会计学院学报》2009年第5期57-63,共7页Journal of Shanghai Lixin University of Commerce

基　　金：上海市教育委员会科研创新项目(09ZS204);上海市教育委员会重点学科建设项目(J51701)

摘　　要：从实体经济领域着手,运用投入产出分析构建了非有效市场股权风险溢价计算模型,并运用所构建模型计算了我国整体经济、主要行业以及目标企业的股权风险溢价,进而确定了目标企业股权价值评估时应采用的折现率。Financial decision making is based on valuation. Discounted cash flow is one of the basic methods to value a business. In western mature markets, the discount rate is calculated by CAPM. However, it is difficult to meet the prerequisite of CAPM in China because of the inefficient market. How to determine equity risk premium and discount rate is an urgent problem. From the view of substantial economy, this paper mainly uses input-output analysis to establish the model of determining equity risk premium. Applying the model, it gets the equity risk premium of the whole economy, of the main industries and of the company concerned. At last, it gets the discount rate of the company concerned.

关 键 词：股权风险溢价 投入产出分析 综合杠杆 

分 类 号：F830.91[经济管理—金融学]