理性定价与非理性定价_中国A股市场溢价成因研究_李怀祖.pdfVIP

山/ 西/ 财/ 经/ 大/ 学/ 学/ 报 2006 10 Journ l of Sh nXi Fin nce nd Economics University Oct. , 2006 28 5 Vol. 28 No. 5 ## 理性定价与非理性定价 ) ) ) 中国A 股市场溢价成因研究 李怀祖, 于 阳 (西安交通大学 管理学院, 陕西 西安710049) [ ] 理 界对股票市场溢价现象的困惑与争 由来已久, 对其成因的解释可以归纳为理性定价与非理性定价理 文章对1993~ 2003 年中国深沪A 股进行的实证研究发现, 上述两种对立理 均存在局限性: 一方面, 高账面市值率组合的资 产类指标表现较好, 内在风险较低; 另一方面, 股票价格与上市公司盈利能力之间存在长期均衡关系, 即长期而言股市不存在 过度反应现象因此, 有必要进一步寻求解释溢价现象的新理 [ ] 风险溢价; 规模溢价; 价值溢价; 理性定价; 非理性定价 [ ] F830 [ ] A [ ] 1007- 9556( 2006) 05- 0104- 07 Rational Pricing and Irrational Pricing: ) ) ) A Study on the C use of Premium in Chinese Stock M rket LI Hu i- zu,YU Y ng ( School of M n gement, Xi. n Ji otong University, Xi. n 710049, Chin ) Abstract: In the fin nci l circle, controversy on the c use of premium phenomenon h s long history. R tion l pricing nd irr tion l pric- ing re two kinds of expl ining theories. By s mpling A- sh re stocks in the Sh ngh i nd Shenzhen Stock Ex ch nge from 1993 to 2003, the uthors find the bove theories re both limited: On the one h nd, portfolios with high BM h ve better fund ment ls nd fewer risks; on the other h nd, there is long- term equilibrium rel tionship between stock price nd listed comp nies. profit bility . Therefore, it is necess ry to seek new theory to expl in the premium phenomenon. Key Words:risk premium; size premium; v lue premium; r tion l pricing; irr tion l pricing , [ 5] [6] , , [ 1] [ 2] [ 3] [ 4] , ,