基于剩余收益估值模型的市场错误定价研究  

Study of Market Mispricing Based on the Residual Income Valuation Model

作　　者：卿小权[1] 程小可[2] 

机构地区：[1]中国人民大学商学院财务与金融系 [2]北京交通大学经济管理学院会计系

出　　处：《科学决策》2011年第10期39-51,共13页Scientific Decision Making

基　　金：国家自然科学基金项目"线性信息动态视野下剩余收益估值模型的实证研究"(70802006)

摘　　要：基于Ohlson(1995)创立的包含线性信息动态过程的剩余收益估值模型,对1995-2006年部分A股上市公司的内在价值进行测算,据此分析中国证券市场中的错误定价问题。结果发现,剩余收益、净资产账面价值均具有较强的持续性和可预测性。大多数公司年份的股价被高估,表明市场错误定价问题在我国证券市场中常年存在。具体说来,在1997、2000、2001和2007年4月,样本公司股价处于系统性高估状态;相反,多数公司股价在2005和2006年4月被低估。文章的创新之处在于利用可观测的会计信息直接检验线性信息动态过程,避免采用跨期盈余预测值进行估值,一定程度上提高了研究结果的可靠性。Basing on the residual income valuation mode/with linear information dynamics process developed by Ohlson（ 1995 ）, we calculated the intrinsic value of some A - share listed companies from 1995 to 2006, and analyzed mispricing in Chinese securities market It finds that residual income and the book value of equity are strongly persistent and predictable. The stock price is overvalued in most firm years, and it shows that there often exists market mispricing in Chinese securities markeL Specifically, most companies＇ stock is seriously overvalued in April of year 1997, 2000, 2001 and2007. However, more than half of the companies＇ stock is undervalued in April of year2005 and 2006. The innovation of this paper lies in examining the linear information dynamics process directly through accounting information observable, which can avoid using in tertemporal earnings forecast, and improve the liability of results to the extant.

关 键 词：剩余收益估值模型 线性信息动态过程 内在价值 错误定价 

分 类 号：F830[经济管理—金融学]