【作者】 宋福铁；

【机构】 华东理工大学商学院；

【摘要】 中国股市仍然是经济转型时期建立起来的新兴市场,具有许多不成熟的特征,如股价经常发生大涨大跌、股票价格与价值背离等。借鉴托宾Q比率、市值账面价值比等概念,本文创造性地引入股价股权收益波动比概念,就是,股价收益率标准差与股权收益率(即净资产收益率)标准差的比值。托宾Q比率、市值账面价值比是从价值角度揭示市场和实际偏离的程度,股价股权收益波动比则是从波动率角度揭示市场和实体的风险偏离程度。为考察股价股权收益波动比的影响因素,从沪市有代表性地选取57支A股作为研究对象,采用1997～2008期间的年度数据,运用面板回归方法进行了实证研究。研究发现,⑴股票市场的股价收益波动率为上市公司净资产收益率波动率的30倍,虚拟经济的风险远高于实体经济的风险;⑵股价股权收益波动比与公司价值无关,基本上与上市公司的盈利能力、经营管理能力、成长能力、资本结构、股利政策等基本面无多大关系,只有托宾Q比率、股价收益率、公司规模等因素对股价股权收益波动比有显著影响;⑶同时发现,我国规模大的公司其股价收益率反而波动更大,与传统的"小公司效应"理论相违背。总之,在我国资本市场中,虚拟经济与实体经济严重脱节,风险与收益不对称,亟待进一步健全和完善。更多还原

【Abstract】 China’s stock market is still an emerging market,which has many immature characteristics,such as extreme volatility on stock price and the stock price deviate from the stock value. Referencing the concept of Tobin Q ratio,the Market-to-Book value,this article introduces the concept of stock and equity returns volatility ratio,which is the ratio of stock returns standard deviation to equity returns standard deviation. Tobin Q ratio and the Market-to-Book value reveal the Deviation of market and actual economy from the angle of value,while stock and equity returns volatility ratio from the angle of volatility. In order to find the factors which influence the stock and equity returns volatility ratio,this article selects 57 individual shares and adopt annual data from 1997 to 2008,using panel regression methods,to conduct empirical studies. The study find,⑴stock price return volatility is 30 times of the ROE volatility,which means the risk of virtual economy is much higher than the risk of the real economy; ⑵stock and equity returns volatility ratio has weak relationship with company value. In addition,it has little relation with the profitability of listed companies,management capacity,growth capacity,capital structure,and dividend policy,etc. The study shows that only Tobin’s Q ratio,stock returns and size significantly affects stock and equity returns volatility ratio. (3)Stock returns of large firms are more volatile than that of small companies,which is contradictory to "small company effect" theory. In short,the virtual economy deviates from real economy,and risk and return asymmetry urgently need improving and refining.更多还原