基于国际估值准则的A股定价实证分析

尽管金融学理论认为股票的价值是未来无限期预期现金流的一个贴现,但针对国际股市的实证结果显示,股票实际价格很大程度上取决于市场对其未来一两年内的盈利预期等中期基本面因素.近3年里,A股创造的世界罕见的大起大落,引起了社会各界对A股定价是否合理的广泛争论.为此,我们设计了一个相对估值模型,根据国际股市的定价规则来给A股定价.实证结果显示,A股已经从2007年的估值泡沫回落到2008年的合理估值水平.还可以经过进一步地扩展模型讨论单个股票的定价问题.最后,讨论了实证结果的引申含义和一些政策建议.

AN EMPIRICAL ANALYSIS ON A SHARE MARKET VALUATION BASED ON INTERNATIONAL VALUATION REGIME

Traditional finance theory argues that the value ofa stock is the discounted expected future cash flows over aninfinite time horizon, however, empirical analysis on world stockmarkets shows that the real prices are based on some mid-termfundamental factors such as market expectations on earning growthwithin a year or two. China's stock market has experienced greatfluctuations over the past three years, which caused widely debateon whether it was over or under valued. We reply to these debates bydeveloping a relative valuation model which gives estimated indexprices under international stock market's valuation regime and findthat the market price has changed from over-valuation in 2007 to anrelatively reasonable level in 2008.The model can also be extendedto evaluate individual stocks. Implications of the empirical resultsand some suggestions are provided.