摘要
金融理论界对规模溢价与价值溢价现象的困惑与争论由来已久,对上述现象的理论解释可以归纳为传统范式与行为范式。前者认为,溢价是对高风险的补偿;后者则认为,溢价源是对过度反应的纠正。为了弄清溢价形成的真正原因,本文对1993——2003年中国深沪 A 股进行了实证分析,研究发现:中国 A 股市场存在规模与价值溢价现象,但上述两种范式的解释均存在一定的局限性。本文借鉴展望理论的参照依赖原理,提出相对盈利的概念,并对溢价现象予以新的解释。
In the financial circle, controversy on size premium and value premium has long history. There are two kinds of theories explaining the premium phenomenon： Traditional paradigm and behavioral paradigm. The former believes that the premium should be compensation for higher risks, whereas the later insists that the premium should be generated from correction of irrational pricing. By sampling A-share stocks in the Shanghai and Shenzhen Stock Exchange from 1993 to 2003, the authors find the above theories are both limited in explaining the premium phenomenon. By virtue of Prospect Theory＇s reference-dependency principle, the concept of relative profitability is raised and can be used to fully explain the premium phenomenon.
出处
《经济管理》
CSSCI
北大核心
2005年第22期68-74,共7页
Business and Management Journal ( BMJ )
关键词
规模溢价
价值溢价
横截面
时间序列
相对盈利
Size Premium Value Premium
Cross-section
Time-series
Relative profitability
