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论文编号：	4213
作者编号：	2120102305
上传时间：	2012/6/5 18:21:29
中文题目：	中国上市公司资产定价影响因素研究——基于地理距离和企业家声誉的实证研究
英文题目：	Empirical Analysis on the factors of Asset Pricing of Chinese listed companies Based on Distance and Reputation
指导老师：	古志辉
中文关键字：	地理距离，企业家声誉，资产定价，证券监管
英文关键字：	distance, reputation, asset pricing, securities regulation
中文摘要：	资产定价是证券市场研究的核心问题。资本资产定价模型（CAPM）提出以后在传统金融学领域引起了广泛关注和极大反响，不断得到理论支持和实证验证。然而金融市场是复杂多变的，随着金融市场的不断发展，一些异象不断呈现，例如证券市场的过度反应、反应不足、羊群效应等现象，CAPM模型远远无法解释，于是一些学者开始尝试将行为学理论引入到金融学中解释这些异象，取得了良好的效果，推进了行为金融学学科的发展。 目前关于行为金融学的研究十分广泛，例如“老鼠仓”交易对资产定价的影响和股票代码中吉利数字对资产定价的影响等等。本文是基于对地理距离和企业家声誉与资产定价关系的实证研究，因而本研究在对资产定价理论、有效市场假说、噪声交易者理论以及企业家声誉理论进行文献综述的基础上，以沪深两市上市公司的数据资料为样本进行实证研究，分别研究地理因素（上市公司距离交易所的远近）、企业家声誉是否会对上市公司资产定价产生影响以及会产生怎样的影响，以期对中国新兴的证券市场有更全面、深入的了解，为证券市场的资产定价研究提供证据和素材。 本研究最终得到如下结论： 1、地理距离会对监管效果和噪声交易程度产生影响，并且监管效果和噪声效应共同作用，相互削弱而形成的合力作用会进而影响上市公司的资产定价。同地公司（即与证券交易所在同一个省份的上市公司）与异地公司（与证券交易所不在同一省份的上市公司）比较起来，资产定价更高。 2、对于异地公司而言（与证券交易所不在同一省份的上市公司，当Dum=1时），上市公司与证券交易所的距离越远，信息越模糊，噪声交易者作用明显，资产定价反而越高。 3、上市公司资产定价与总资产规模、净资产收益率、资产负债比率、每股收益、流动比率、市净率呈正相关关系。也就是说，上市公司总资产规模越大，净资产收益率越高，资产负债比率越高，流动比率越大，市净率越高，每股收益越大，上市公司资产定价越高。 4、企业家声誉与企业资产定价呈正相关关系。企业家声誉得分越高，企业财务绩效越好，企业资产定价越高，并且形成良性循环。 在上述结论的基础上，本研究对企业如何获得更高的资产定价以及中国证券市场的监管提出建议。
英文摘要：	Asset pricing is a key topic in the study of securities market. Capital Asset Pricing Model (CAPM) aroused widespread concern and attention in the traditional finance field. Since CAPM was put forward, lots of theoretical support and empirical analysis followed it. However, the financial market is complex and changeable, with the continuous development of financial markets, some anomalies appeared, such as overreaction, underreaction, herding phenomenon which CAPM can't explain. As a result, some scholars tried to introduce the behavior theory into the finance in order to explain these anomalies, which was proved to be effective and finally promoted the development of behavioral finance. At present, studies on behavioral finance is very extensive, such as the impact of “rat trading” and lucky numbers on the assets pricing and so on. Using the data of Shanghai and Shenzhen stock exchange in the year 2005 to 2009 as the sample, this thesis made an empirical research about the impact of geographical distance and entrepreneur's reputation on asset pricing. Based on the literature review of the asset pricing theory, efficient market hypothesis, the noise trader theory and entrepreneur reputation theory，the thesis studied the relationship between geographical factors, entrepreneur's reputation and asset pricing. Taking the conclusion into consideration, the thesis put forward some suggestions on Chinese securities market regulation in order to get the characters of Chinese stock market across. The thesis also provided evidence and materials to the studies of securities market asset pricing. This thesis finally came to the following conclusions: Firstly, geographical distance has influence on listed companies asset pricing. Besides, the dummy variable and the corporate value is negatively correlated. That is to say, asset value of listed company which lie in the same province as the stock exchange do is higher than those lie in a different province. Secondly, regarding as the listed companies which lie in a different province from the stock exchange do, the longer the distance between listed companies and the stock exchange, the dimmer the trade information is, the more obvious the noise trader effect is, the higher the asset pricing is. Thirdly, asset pricing is positively related to total asset, ROA, debt to asset ratio, current ratio and EPS. Last but not the least, the entrepreneurs reputation and enterprise asset pricing is positively related. The higher the entrepreneurs reputation score is, the better financial performance the enterprise gets, the higher enterprise asset pricing is, which formulates a virtuous circle. Based on the above conclusions, this thesis put forward some suggestions on how the enterprise can obtain higher asset value and the regulation of Chinese securities market.
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