股票价格对内在价值的偏离度分析

An Analysis of the Deviation of Stock Market Price from Its Intrinsic Value

本文考察了奥尔森 (Ohlson)剩余收益定价理论 ,指出了传统线性信息模型的不足 ,提出了公司存续期有限和公司存续期无限但剩余收益存续期有限情况下的内净率 (内在价值 净资产比率 )决定模型。对资本成本、净资产收益率、分红规则和剩余收益存续期对内净率的影响进行了模拟。根据上市公司近年来的业绩记录 ,通过内净率与市净率的比较发现 ,目前中国上市公司的股价大大高于其内在价值 ,其中ST类公司的股价与其内在价值偏离的更多。本文认为 ,当前股市正在经历具有体制性、结构性特点的调整 ,决定了这一调整过程的长期性。

In this paper two intrinsic value-Book Value ratio models based on residual income (earnings) valuation theory are developed, by which the deficiencies of traditional linear information models built by Ohlson (1995) and Feltham and Ohlson (1995) are made up. According to the models, intrinsic value-book value ratio depends on the cost of capital, return on equity, policy of earnings distribution and time limit of residual income or lifetime of company. It is estimated that, on average, market price of stock in China's Mainland is much higher than its value estimate and that the market price for ST class stock is even higher. Presently, the adjustment experiencing in Chinese stock market is of structural and institutional characteristics and will probably last for long time period.