股票相对内在价值多因素估值模型研究对沪深两市A股的实证分析

1AC21.............................................................61.1...................................................61.2...................................................82..........................................92.1...................................................92.2..............................................152.3..........................................172.4................................................202.5............................................213...........................................243.1............................................243.2........................363.3..........................................414MFPM..............................................684.11999...........................................694.22000...........................................724.32001...........................................754.42002...........................................784.5......................................................815.................................................825.1..................................................825.2..............................................84..........................................................85310WTOQFII,4MFPM12MFPM34MFPM5MFPM199920002001200251MFPMMFPM12=10%550%345CAR0CAR0MFPM61.1.1102002123112231310AB3.83200210.2GDP37.55%6872WTOQFII1,120021217Fundamental,(IntrinsicValue)EaringsBallandBrown,1968Ohlson,19951999200081.2GrhamDoddCottle,SecurityAnalysis,1962,p28()A92.32.1ShannonP.PrattFutureBenefitAStreamofFutureReturnsPratt101232.1.1Williams(1938)∑+∞=+−+=1)()1(τττθtttdErP2.1Pttτ+tdτ+ttθtr(2.1),12.1rddrPt=×+=∑+∞=−1)1(ττ2.2d211dt,gτττ)1(gddtt+×=+MyronGordon2.1GordongrgdgdrPttt−+=+×+=∑+∞=−)1()1()1(1τττ2.33tt+nt+ntt+ng*,t+ng,nntnttrgrggdgdrP)1)(()1()1()1()1(*1*+−++++×+=∑=−τττ2.41122332.1.2-PtPt=∑+∞=++1)1(τττWACCFCFt-VBt/Zt(2.5)1τ+tFCFτ+t−−+−×++=+1τtFCF2.62WACCVSkVBtkWACCscb+−=)1(2.7BSVV=B+Skbtcks133VBtt4Ztt(2.5),12.5Pt=∑+∞=+1)1(ττWACCFCF-VBt/Zt=FCF/WACC-VBt/Zt(2.8)FCF2FCFt,gτττ)1(gFCFFCFtt+×=+2.5Pt=∑+∞=++1)1()1(τττWACCgFCFt-VBt/Zt=gWACCgFCFt−+)1(-VBt/Zt(2.9)3tt+nt+n14-Pttt+ng*,t+ng,tBt*1*/Z)V)1)(()1()1()1()1((−+−++++×+=∑=−nntnttWACCgWACCggFCFgFCFWACCPτττ2.102.1.3Beaver1998123MillerandModigliani(MM,1990)1966FelthamandOhlson1997Ohlson-Feltham1MM(permanentearingsE*)transitoryearingsproxyvariable,E*=E+,N02MMPt=E*/r2.1115rP=E1/r=EP/E2.12P/E2Ohlson-FelthamOhlsonFelthamOhlson-Feltham=-+=-∑−+∞=+−−×+++=11)()1(τττθτtetttrtErBVPBVX2.13PttBVttτ+tXτ+tτ+−1tBVτ+−1tretθtrOhlson-Feltham2.2EfficientMarketsHypothesis,EMH16BachelierFamaSamuelson(1965)Fama1970FamaEMHEventStudyMethod2217,,,,,,,,,2.31952MarkowitzSharp1964linter1965Mossin196618CAPMCAPMCAPMCAPME(Rj)=Rf+jE(Rm-Rf)2.141E(Rj)j2Rf3E(Rm)(4)j=2mjmσσj,2mσjmσjCAMP123CAPM1970,19CAMP1APTCAPM,Ross(1976)(APT)Ross,APT,APT,,2FamaFrench(1993):CAPM,3CAPM,,EltonGruher(1978),Cutler(1988),:,,;202.4InformationPerspectiveValuationModelPerspective3CumulativeAverageResiduals,CARCARr1r2rmmr1r2rqCARq3AbnormalReturn(NormalReturn)CAMPit)(ftmiftiRRRR−+=∧∧β(Rfi∧βiRtmt)itARti=Rti-∧tiR(Rti=it)it=1t=nCARi=∑=nttiAR1CAMPitARti=Rti-tmR(RtiittmR)it=1t=nCARi=∑=nttiAR121CARqqxrraaaa∧∧∧∧++++LL221102.15BallBrown(1968)Beaver(1968)BallBrown2611957-1965126Beaver2.5Ball,1995222.5.1∑==njjjtitfPP1,,/)(nfi2.16Pt,itiPt,jtjj=12n;fjjfiifj2.16(P/E)///232.5.2px1x2xmmx1x2xqpq∧pqqxxxββββ∧∧∧∧++++=LL22110(2.17)∧pp/∧p11243.23.1103.1.11KaplanandRuback(1994)KaplanandRuback1980-198951CAMP25S&P5002LeeandMylers(1998)LeeandMylersco-integrated///3LeeandSwaminathan(1999)LeeandSwaminathanLeeandSwaminathan1971111998112042001103080%2616%5gDPS0rE∑=++=5101)1()1(ttEtrgDPSV3.166EPS0P/Eindustry5502)1()/()1(EindustryrEPgEPSV++=3.2V1V252002MPZH”180MPZH”A19942002MPZH”120021122A2.015.191.8319992.1427A3.1.21206080FamaandBlume(1966)FilterRules()1956119584FilterRulesBuyandHold()2080Banz,1981,Banz1981Banz28RozeffandKinney,1976RozeffandKinney19761904197411Gultekin19831719591979132(1993)(1994)(1995)199311994102929(1995)(1996)2029(1998)19901996(1998)(1999)(1999)(2000),40,3,3.1.31CAPMBlack,Jensen,Scholes(1972)FamaandMacBeth(1973),2080,30CAMPAnomalies)FamaandFrench1992FamaandFrench1992(B/M)B/M196319641990B/MB/MB/MB/MB/MB/MB/MB/M2CAMP1996CAMPCAMPCAMP311999(CAPM),(2000)CAPM1994919989ABCAPM2001CAMP1CAMP2A3.1.41Beaver,ClarkeandWright(1979)19651974276250.7432HopwoodandSchaefer(1988)HopwoodandSchaefer38251387=0.033OuandPenman(1989)1965198368logistic0.60.4Teppo(1990)19751986283312HolthausenandLarcker1992122199532199353514991998UnexpectedEarings1994-1996123A8CARCAR34199919941997261764R23.54%9.24%2.85%19991994-199841993-199715%199732%1%3.1.51GordonP.Rios.(1996)3500R265%Collinsetal.(1997)19531993R241R2402352001EAVMEquityAssetValuingModel2001(84.94),,15.06,(),,,,2001,,,,36,,502002Ohlson(1995)199519961997,,:1,2Ohlson,();3,,;4,,;5,,;6,,20%26%;,;7,1996,1997,,19973.221373.2.120012002WACCks383.2.2,,,393.2.3CAMPCAMP401200122000320003.2.4413.3MultipleFactorPricingModel,MFPMMFPM3.3.1()424310.10.05A1.5A5A51.5144=/=/=-/Hawet.Al.(1998)EaringsManagement45=1−=1−×−=/=/=1-/46=/=/=/=/=/47()2=/=/48A3-13-1SHIYILV