期刊文献+

基于MM定理的深化扩展研究——流通权分割影响公司价值吗 被引量:4

A Further Study Based on M&M Theorem:Does Circulation Right Segmentation Affect Corporate Value?
原文传递
导出
摘要 以我国的股权分置为原型,本文抽象出流通权分割结构是否影响公司价值的问题。以MM定理Ⅰ的假设为基础,运用投资组合复制法论证了企业价值与流通权分割结构无关。本文同时研究扩充了MM定理Ⅱ。同时认为,资产定价的流动性效应和本文的研究结论本质上是一致的,并应用这一最新的理论框架分析了我国的股份分置及改革问题。进一步讲,本文提出的公司价值四维模型很好地回答了股权分置对股市定价问题的影响机理。 Based on the phenomenon of stock segmentation in China's stock market, this paper raises a question whether the structure of circulation right segmentation would affect corporate value or not. Based on a series of hypotheses of M&M Theorem I , the paper proves that corporation value is irrelevant to the structure of circulation right segmentation, so M&M Theorem Ⅰ is enlarged to circulation right segmentation as well as M&M Theorem Ⅱ. The paper thinks that the previous conclusion on the liquidity effect of assets pricing is perfectly consist- ent with the conclusion in this paper. The paper also discusses stock segmentation as well as its reform with the new framework. Furthermore, the paper puts forward a four-dimensional model of corporate value to explain the mechanism for stock segmentation to affect the pricing problem in the stock market in China very well.
作者 李庆峰
出处 《金融研究》 CSSCI 北大核心 2008年第12期113-125,共13页 Journal of Financial Research
基金 广东省自然科学基金博士科研启动项目"广东省股权分置改革研究:对价基础与绩效评测"(项目批准号06300829)的研究成果组成部分。
关键词 MM定理 流通权分割 股权分置 公司价值 流动性效应 M&M Theorem, circulation right segmentation, stock segmentation, corporate value,liquidity effect
  • 相关文献

参考文献14

  • 1李庆峰.股权分置、看涨期权与中国股市之谜——一个新的理论框架[J].制度经济学研究,2005(4):77-98. 被引量:1
  • 2单树峰.流动性成本与股票定价——中国股票市场实证研究[J].当代财经,2004(2):49-54. 被引量:29
  • 3Amihud, Y. , and H. Mendelson, 1991, "Liquidity, Asset Prices and Financial Policy", Financial Analysts Journal 47 : 56 - 66.
  • 4Amihud, Y. , 2002, “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects”, Journal of Financial Markets 5:31 -56.
  • 5Amihud, Y. , and Haim Mendelson, 1986, "Asset Pricing and the Bid-ask Spread", Journal of Financial Economics 17 : 223 - 249.
  • 6Brennan, M. J. A. and Subrahmanyam, 1996, “Market Microstructure and Asset Pricing: on the Compensation of Illiquidity in Stock Returns”, Journal of Financial Economics 41:441 -464.
  • 7Brennan, M. , Chordia, T. , and Subrahmanyam A. , 1998, "Ahemative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns", Journal of Financial Economics 49:345 -373.
  • 8Chen, G. M. , Lee, B. S. , and O. Rui, 2001, "Foreign Ownership Restrictions and Market Segmentation in China' s Stock Market", Journal of Financial Research, Vol. 24, Feb: 133 - 155.
  • 9Chen, Z. , and P. Xiong, 2001,“Discounts on illiquid stocks: evidence from China”, Working paper, Yale University.
  • 10Daves, P. R. , and M. C. Ehrhardt, 1993, "Liquidity, Reconstitution, and the Value of U. S. Treasury Stipes", Journal of Finance 48 : 315 -329.

二级参考文献31

  • 1胡玉鸿.关于“利益衡量”的几个法理问题[J].现代法学,2001,23(4):32-38. 被引量:89
  • 2李树辉.首次公开发行的长期考察[J].湘潭工学院学报(社会科学版),2001,3(1):13-15. 被引量:10
  • 3Brennan, M., Chordia, T., Subrahmanyam, A.. alternative factor specifications, security characteristics, and the cross-section of expected stock returns" Journal of financial economics, 1998, (49):345-373.
  • 4Pastor L, Stambaugh R. Liquidity risk and expected stock returns. NBER Working Paper, September, 2001,No.8462.
  • 5Amihud Y. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 2002, (5): 31-56.
  • 6Chordia T., Subrahmanyam A., Anshuman V. R.. Trading Activity and Expected Stock Returns. Journal of Financial Economics,2001, (59): 3-32.
  • 7见 Boulding, Kenneth E. Economic Analysis, 3rd. New York:Harper and Brothers, 1955.
  • 8Amihud, Y., Mendelson, H.. The effects of Beta, bid-ask spread, residual risk and size on stock returns. Journal of Finance,1989, (44): 479-486.
  • 9Schwartz, R. A.. Equity markets: structure, trading and performance. New York, Harper and Row Inc, 1988.
  • 10Lippman, S. A., and Mccall, J. J.. An operational measure of liquidity. The American Economic Review, 1986, (76): 43-55,175-203.

共引文献28

同被引文献51

引证文献4

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部