上市公司权益资本成本的测度与评价——基于我国证券市场的经验检验

权益资本成本(CofEC)是公司筹资和投资决策时需要考虑的重要问题。然而,如何测定公司的权益资本成本,目前尚未得出统一的结论。本文在现有研究的基础上,从事后和事前两个角度测度了我国上市公司的权益资本成本,并从经济和统计两个角度对不同的测度进行了评价。研究得出,不同方法得出的权益资本成本测度差异明显,最大差异达到了12.13%,这些差异对我国公司融资顺序(偏好)是否主要基于资本成本考虑的判断会造成重大影响。从经济角度看,事前权益资本成本测度要优于CAPM和Fama-French三因子模型下事后权益资本成本,在事前权益资本成本测度中,国内外文献中普遍运用的GLS模型下的CofEC表现不够理想,而PEG和MPEG模型下的CofEC能更好地捕捉各风险因素的影响,尽管其时间序列计量误差方差相对较大。

Measuring and Evaluating Cost of Equity Capital:Evidence from Chinese Stock Markets

Cost of equity capital (CofEC) is the most important factor we need to consider when making financing and investment decisions.However,how to measure a company's cost of equity capital is still an unsolved problem.Based on existing research,in this paper we measure both the ex post and ex-ante cost of equity capital of China's listed companies,and evaluate the results from the economic and statistical perspective.The results show that the CofEC differences between the methods of measuring the cost of equity capital are significant,and the maximum difference reached 12.13%.These differences will surely have significant impact on our judgments about whether the order of our corporate financing (preferences) is mainly based on the cost of capital.From an economic perspective,the ex-ante cost of equity capital is superior to the ex-post cost of equity capital from the CAPM and Fama-French three-factor model.When measuring the ex-ante cost of equity capital,the commonly used GLS model doesn't have satisfactory performance,while the PEG and MPEG model of CofEC better capture the impact of various risk factors,although the time-series measurement error variance is relatively large.