交叉上市的资本成本效应之实证研究

An empirical study of the Cost of capital effect in cross-listings

交叉上市的资本成本效应是从公司理财角度研究交叉上市的核心领域。本文以截止2008年6月30日在内地、纽约与香港交叉上市的11家中国公司为样本,分别采用CAPM和Gordon模型估算分析公司在内地、纽约和香港三个市场的资本成本,结果表明:(1)在A股市场CAPM模型下的资本成本要高于Gordon模型下的资本成本,而在N股市场和H股市场,结果相反;(2)采用CAPM模型与Gordon模型均证明公司在A股市场的资本成本(β系数)低于其在N股和H股市场的资本成本。A股市场较低的资本成本反映出我国股票市场对投资者利益保护不足,我国股票市场亟需加强对投资者利益的保护。

Cost of capital effect of cross-listings is the core research field of cross-listings from the point of view corporate finance. On the basis of relevant literature review, this paper studies cost of capital effect of 11 Chinese A＋N＋H cross-listed firms. We use CAPM and Gordon Model to test cost of capitals of these firms in the main land market, NYSE and HKSE. We find that in A share market, cost of capital calculating by CAPM is higher than that by Gordon Model, but on the contrary, in NYSE and HKSE, the result is totally reverse. We also find that in both CAPM and Gordon Model, cost of capital of A share is lower than that of N share or H share. The relative low cost of capital in A share market indicates the lack of protection for the investors, so our stock market needs to strengthen the protection of the interests of stock investors.