本文针对交叉上市“同质”股票的价格差异现象与市场估值效率测度,基于Fama-French三因子模型以及Campbell的相对估值思想,运用随机前沿分析理论(SFA)构建股价与估值因素的生产函数关系,并利用SFA技术效率构建了有效市场理论概念下的市场估值效率指数,从相对估值效率的视角,定量测度市场效率的水平,分析市场估值模式及其演变规律,为市场效率与估值模式的定量研究,以及市场间的比较研究提供了新的视角和方法。基于A+H交叉上市公司股票样本的实证研究得出了两个市场的估值效率及估值模式从早期的明显差异到近期趋同的变化趋势。
Based on Fama-French three-factor model and Campbell's relative valuation efficiency measure, focusing on cross-listing "homogeneous" stock price difference and market valuation efficiency measure, the Stochastic Frontier Analysis (SFA) is used to build a production function between stock price and valuation factors. Further, based on SFA technical efficiency, the market valuation efficiency index is proposed under the concept of Efficient Market Hypothesis. It offers the new perspectives and approaches of quantitative measure of the level of market efficiency, of market valuation model and evolution analysis as well as comparison among markets from relative valuation efficiency. Empirical studies based on sample of A+H shares of cross-listing develop differences and trends of the valuation efficiency and valuation models about the two markets from obvious difference to recent convergence.
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