作者：左大勇，孙红
关键字：投资效率；股票定价；股权性质
摘要/Abstract
本文从公司投资决策有效性的角度研究了股票定价的决定因素。以我国股票市场2002年至2010年A股上市公司作为样本，检验了公司投资导向的股票定价模型（投资效率理论模型）在我国的适用性。研究结果表明，对于我国市场而言，投资效率理论模型比投资者导向的股票定价模型（CAPM模型和Fama-French三因素模型）有更好的适用性。进一步的研究发现，投资效率理论模型更适用于国有控股上市公司。本文的研究结果为深入研究我国股票定价的问题，具有重要的借鉴意义。
This paper investigates the determinants of security pricing from the perspective of corporate investment decision. We test the model based on corporate investment (investment efficiency model) in Chinese stock market. Our empirical results show that the applicability of investment efficiency model is better than investor-oriented stock pricing model (CAPM and the Fama-French three-factor model). Since the difference of the ownership of listed companies is likely to affect their investment decisions, we test the applicability of the investment efficiency model for the state-owned listed companies and the private listed companies respectively. The empirical evidences show that the investment efficiency model is more applicable to the state-owned listed companies; for the private listed companies, the explanatory power of the investment efficiency theory and portfolio theory does not have significant differences. The results of this study can help to deeply understand stock pricing in China.
全文阅读：https://www.sinoss.net/qikan/2015/0121/13945.html