内部资本市场效率实证测度模型的改进与验证

The Modification and Verification of Empirical Model to Measure Internal Capital Market Efficiency

内部资本市场效率实证测度模型是研究内部资本市场效率的关键。本文总结了现有内部资本市场效率测度模型的优缺点,在此基础上构建了新的模型,一是适用于分部数据充分情况下的基于上期资产回报率的现金流敏感系数,二是适用于A股市场分部数据不完善情况下的调整的利润敏感系数,并进行了检验。结果表明,两个模型的改进不仅是必要的而且是合理的,并且为对A股上市公司ICM效率的研究提供了可行的基础,也为ICM效率的相关研究打开了广阔的空间。

Empirical measure model is the key to study internal capital market efficiency.We summarized merits and defects of existing models and formulated two new models,Cash Flow-Sensitivity Based on ROA(t-1) and Adjusted Profit-Sensitivity.The former can be employed under the circumstances when segment data are sufficient,the latter can be used when segment data in A-stock market are insufficient.We has tested these models and verified that the modification of models is not only necessary but also rational.It can provide feasible foundation to study internal capital market efficiency of listed company in A-stock market and open a wide field for researches of correlative subject.