基于DEA的行业相对估值效率测度——理论与实证  

The Measure on Relative Valuation Efficiency of Industries Based on DEA:Theory and Empirical Study

作　　者：易荣华[1] 刘云[1] 刘家鹏[1] 

机构地区：[1]中国计量学院经济与管理学院,浙江杭州310018

出　　处：《中国管理科学》2012年第3期79-85,共7页Chinese Journal of Management Science

基　　金：国家自然科学基金项目资助(70873115;71173203);浙江省高校人文社科重点研究基地资助;浙江省哲学社会科学重点研究基地资助

摘　　要：本文从综合估值要素和相对动态估值的视角,基于有效市场中的每一只股票都应被合理估值的思想,提出了一个体现综合、相对和动态评估思想的DEA估值效率模型和市场估值无效指数,据此可以计量分析市场估值效率、市场估值偏好等市场运行特征和演变规律。以深交所行业分类指数为样本的实证分析结果显示,它比市盈率等传统指标更全面地反映出市场及内部各行业相对估值效率的特征和变化趋势。A comprehensive,relative,and dynamic model of valuation efficiency is put forward and an inefficient index of market valuation based on DEA from the integrated valuation factors and relative valuation perspective is constructed in this paper.It is reflected that each stock should have a reasonable valuation in the efficient market.The model can be used to analyze the efficiency of market valuation,the preferences of market valuation and other timing features and evolution pattern with cross-sectional data and panel data.The empirical analysis on industries index shows that this indicator is more comprehensive in reflecting the characteristics and trends of relative valuation efficiency of the market and the internal industries than the traditional P/E indicator.

关 键 词：DEA 综合估值要素 相对估值效率 市场估值无效指数 

分 类 号：F832.51[经济管理—金融学] F803.91