【摘要】：隨著Tobin的估值效率概念的提出，關(guān)于估值效率的研究受到了眾多學(xué)者的青睞，提出了許多測度方法。但是，已有的研究成果仍然存在許多不足之處，如將信息效率混同于市場效率、測度方法不能綜合考慮估值要素等。 本文在已有文獻(xiàn)的基礎(chǔ)上，以估值效率為研究對(duì)象，以我國深交所行業(yè)分類指數(shù)和在上海A、B股市場同時(shí)上市的43家公司為樣本，將理論分析和實(shí)證分析、定性分析和定量分析相結(jié)合，主要研究了以下三個(gè)方面的內(nèi)容： (1)本文介紹了數(shù)據(jù)包絡(luò)分析(DEA)方法的基本理論和模型，闡述了基于相對(duì)比較的證券市場DEA估值效率評(píng)估思想。在此基礎(chǔ)上，基于一個(gè)包含四類定價(jià)要素的股票定價(jià)模式提出了一個(gè)評(píng)估證券市場相對(duì)估值效率的綜合要素DEA模型（包括綜合要素C2R模型和綜合要素超效率DEA模型）。 (2)運(yùn)用綜合要素C2R模型和構(gòu)造的市場估值無效指數(shù)計(jì)量市場估值效率、市場估值偏好等市場運(yùn)行特征和演變規(guī)律。本文以深交所行業(yè)分類指數(shù)為樣本進(jìn)行了實(shí)證研究，，并將結(jié)果與市盈率指標(biāo)做了比較分析，顯示出估值效率比市盈率等傳統(tǒng)指標(biāo)更能全面地反映出市場內(nèi)部各行業(yè)及市場的相對(duì)估值效率的特征和變化趨勢。 (3)根據(jù)在上海市場同時(shí)發(fā)行A、B股的43家AB公司的價(jià)格行為，從輸入和輸出及相對(duì)比較的視角，利用綜合要素超效率DEA模型，跨市場比較研究了我國上海A、B股市場的相對(duì)估值效率及其差距，發(fā)現(xiàn)上海A、B股市場的估值效率變化趨勢基本一致，幾乎是同升同降，并且總是在不斷調(diào)整。
[Abstract]:With the introduction of the concept of valuation efficiency of Tobin, the research on valuation efficiency has been favored by many scholars, and many measurement methods have been put forward. However, there are still many shortcomings in the existing research results, such as mixing information efficiency with market efficiency, and the measurement method can not comprehensively consider the valuation elements and so on. On the basis of the existing literature, this paper takes the valuation efficiency as the research object, takes the industry classification index of Shenzhen Stock Exchange and 43 companies listed at the same time in Shanghai A, B share market as samples, combines theoretical analysis with empirical analysis, qualitative analysis and quantitative analysis, and mainly studies the following three aspects: (1) this paper introduces the basic theory and model of (DEA) method. This paper expounds the evaluation idea of DEA valuation efficiency in securities market based on relative comparison. On this basis, based on a stock pricing model with four kinds of pricing elements, a comprehensive element DEA model (including comprehensive element C2R model and comprehensive element super-efficiency DEA model) is proposed to evaluate the relative valuation efficiency of securities market. (2) the market operation characteristics and evolution laws, such as market valuation efficiency, market valuation preference and so on, are measured by using the comprehensive element C2R model and the constructed market valuation invalid index. This paper makes an empirical study on the industry classification index of Shenzhen Stock Exchange, and compares the results with the price-earnings ratio index. It shows that the valuation efficiency is more comprehensive than the price-earnings ratio and other traditional indicators to reflect the characteristics and changing trend of the relative valuation efficiency of various industries and markets within the market. (3) according to the price behavior of 43 AB companies issuing A and B shares at the same time in Shanghai market, from the perspective of input, output and relative comparison, this paper compares and studies the relative valuation efficiency and its gap of Shanghai A and B share market by using the comprehensive factor super efficiency DEA model. It is found that the valuation efficiency of Shanghai A and B share market is basically the same, almost the same rise and fall, and it is always adjusting constantly.
【學(xué)位授予單位】：中國計(jì)量學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51

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