| A股市场新股的因素定价模型实证研究 |
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| 引用本文： | 刘中学.A股市场新股的因素定价模型实证研究[J].商业研究,2006(13):174-177. |
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| 作者姓名： | 刘中学 |
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| 作者单位： | 暨南大学珠海学院 广东珠海519070 |
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| 摘 要： | 现代股权定价理论对A股初始定价时存在缺陷,采用主成份回归法,确定影响A股初始定价的主因子,在此基础上建立初始定价模型。根据模型,影响A股初始定价的因素从高到低分别为:成本因子、投资偏好因子、市况因子、业绩成长性因子,实证结果与传统股票定价理论并不吻合。
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| 关 键 词： | A股市场 初始定价 定价模型 线性回归 |
| 文章编号： | 1001-148X(2006)13-0174-04 |
| 收稿时间： | 07 18 2005 12:00AM |
| 修稿时间： | 2005年7月18日 |
An Empirical Research on Factor Pricing Model of New Stocks in A Shares Market |
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| LIU Zhong-xue.An Empirical Research on Factor Pricing Model of New Stocks in A Shares Market[J].Commercial Research,2006(13):174-177. |
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| Authors: | LIU Zhong-xue |
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| Institution: | Zhuhai College, Jinan University, Zhuhai, Guangdong 519070, China |
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| Abstract: | The paper analyzes the popular pricing theories of initial pricing of new stocks in Chinese Security Market.With the help of principal component method,it concludes the major factors in initial pricing so as to build an ideal initial pricing model of stock shares.According to the model,the factors affecting initial pricing range from high level to low level are cost,investment preference,market condition,returns and growth.The results are slightly different from the traditional pricing theories. |
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| Keywords: | A shares market initial pricing pricing model linear regression |
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