运用Feltham-Ohlson估值模型评估我国商业银行价值的拓展研究

Research on Extending Ohlson Model in Valuation of the Commercial Banks in China

以Feltham-Ohlson估值模型为基础进行拓展研究,采用多元回归分析的方法,选取2005年—2009年这个中国股市大幅变化的时间段,探讨我国商业银行股价与影响其投资价值主要因素(GDP增速、人民币汇率、净息差和不良贷款率)的价值相关性。研究发现:加入宏观因素加强了模型的解释力度,微观因素却不能通过校验;加入GDP增速后,模型的拟合优度达到了77.94%;在加入人民币汇率后发现,人民币升值与商业银行投资价值负相关。

Research on extending Ohlson model, using multivariate regression analysis methods, choose the period that Chinese stock market sharply changing from 2005 to 2009, discusses the relevance between commercial bank stock price and main factors which affect the investment value （such as GDP, the RMB exchange rate, Net interest margin and the rate of bad loans）. Findings： Joining the macroscopic factors, the model fit is strengthened, but isn＇t checked with the micro factors. Add the GDP growth rate into the Ohlson model, the model fit achieves to 77.94%; Add RMB exchange rate, the correlation between appreciation of the RMB and the commercial bank investment value is negative, which is opposite to the investment market generally views, at this stage China＇s commercial banks still can not reasonably respond to the opportunities and challenges of the RMB exchange rate changes.