股权定价模型的比较研究——基于双汇发展的面板证据

股权融资作为一种重要融资方式,在我国市场上存在价格与价值严重背离的现象。以双汇发展为样本,分别利用B-S模型、蒙特卡罗模型对股权理论价格进行估计,并采用相关性和最小二乘回归方法检验实际价格和理论价格之间的关系,结果表明蒙特卡罗模型优于B-S模型,但都存在一定程度的背离。

Comparative Study of Equity Pricing Model: Based on Panel Evidence of Shuanghui Development

Equity financing as an important way of financing exists the phenomenon of price and value serious deviation on the market in our country.In this paper,B-S model and monte carlo model of equity theory are used as Shuanghui Development as sample,And by using the correlation and least-squares regression method to test the relationship between the actual price and theory price,and the results show that the monte carlo model better than B-S model,but there is a certain degree of to deviate from in both modes.