基于Shapley值的壳资源溢价影响因素的实证研究

Empirical Studies in Factors Influencing Over-pricing of ST Resources Based on Shapley Value Sharing

本文选取了我国1997-2003年证券市场上符合买壳上市条件的63家目标企业作为样本,对影响买壳上市溢价因素进行了理论分析和实证检验。论文基于合作博弈理论Shapley值分担法建立了多元回归模型以解决多重共线性变量产生偏倚性和负的多重性问题。研究显示:上市公司"壳"资源的溢价比率与每股净资产、资产负债率、货币性资产占总资产比率、市净率、股权集中度、净资产收益率等变量之间存在着显著的相关性。

In this paper, 63 targeted firms are selected among ST purchasing cases happened in China from 1997 to 2003, and are analyzed empirically to find factors influencing over-pricing of ST resources. Based on Shapley value sharing method, this paper establish the multiple regression model to solve the biased coefficients and minus repeating caused by introduction of multiple regression variables. The analysis concludes over-pricing＇s rate is significantly correlate with net asset value per share, Asset- liability ratio, currency assets＇ ratio, price per book value, concentration ratio of shares, ROE and so on.