中国上市公司流通股本成本研究

本研究用Fama和French(1999)方法,针对中国股票市场的特有问题进行相应的调整,动态测算了1990-2002期间我国上市公司的流通股价值内部报酬率与成本内部报酬率。研究发现,样本期内,上市公司总体上为流通股股东提供的基准回报率(或盈亏平衡回报率)在逐步降低。这意味着公司管理层所能观察到的有效贴现率(effectivediscountrate)在不断下降。投资决策的“门槛”的不断降低,是上市公司未能给投资者创造价值的重要原因。

The Cost of Equity of Tradable Shares: Empirical Evidence from China Listing Companies

With Fama and French (1999) methods, we estimate the internal rate of return on value and cost for the listed companies in China during period of 1990-2002. We find that on aggregate, the benchmark return provided by the listed companies for the tradable stockholders continues to decline over the sample period. This implies that the effective discount rate which can be observed by managers decline. The going-down hurdle rate is the main reason for the destroy of the tradable shareholders' wealth.