2004 8, Gebhard,Lee Swaminahan(2000) (Discouned Residual Income Model) Fama French(1999),, Fama French(1999),,Wu, Sercu,and Chen(2000) FF ( ), ( Keire

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1 :A 3 A ( ) : Fama French (1999), A,, :, Fama French(1999) ( ) ( FF ) FF : ( IRR on Value) ( IRR on Cos), FF, A, : ;, ; (Cos of Capial), Miller Modigliani (1966) ( ), (WACC), (CAPM) (AP) (Dividend Discoun Model), 3 : ,,, singhua ongfang Opical Disc Co., Ld. All righs reserved.

2 2004 8, Gebhard,Lee Swaminahan(2000) (Discouned Residual Income Model) Fama French(1999),, Fama French(1999),,Wu, Sercu,and Chen(2000) FF ( ), ( Keiresu) : (1999) MM ; (2000) ; : (1999),, ; (1999) Miller Modigliani (1966), % % 8147 % ; (2000) , (14179 %), (6152 %), Miller Modigliani (1966) :, FF, ;, 1. Fama French(1999),,, Fama French, ( ),, 2., : X ( ) ; I ; Div new, ; FBV ; FBC ; FS ; V, (2001 ) ; IV 0, ; IC 0, ; r v, ; r c, A, X - I singhua ongfang Opical Disc Co., Ld. All righs reserved. 75

3 :A ( ) FS - FBV FS, FBV, FS - FBC, ( ),, FS ; (1) (2) : IV 0 = (1 r v ) X - I IC 0 = (1 r c ) X - I - FBV (1 r v ) - FBC (1 r c ) V (1 r v ) (1) V (1 r c ) (2) (1), ( ) ( ) ( ) ( ) ; (, ),,, (2) ( ) (2) (1), ( ), (1), : (1) FBV 1, FBV Div new 1 1 1, 1,, Div new (2) FBC, Div new, (3) (4) : IV 0 = (1 r v ) X - I Div new IC 0 = (1 r c ) X - I - FBV (1 r v ) - FBC (1 r c ) V (1 r v ) (3) V (1 r c ) (4), (3) (4) i, : X i, NS i, = I i, Div i, In i, (5) (5) i,, In i, i Fama French(1999) singhua ongfang Opical Disc Co., Ld. All righs reserved.

4 ; NS i, i ; Div i, i (5), : X i, - I i, = Div i, In i, - NS i, = Div i, In i, - ds D i, - dl D i, - ds i, (6), dsd i, - 1 i ( ) ; dl D i, - 1 i ( ) ; ds i, i i : - = -, : (7) (6) ds i, - Div i, = de i, - N E i, (7) X i, - I i, = N E i, In i, - ds D i, - dl D i, - de i, (8), N E i i, (9) X - I = N E In - ds D - dl D - de (9) i,, (3) (4) IV 0 = N E In - ds D - dl D - de Div n (1 r v ) - FBV V (1 r v ) (1 r v ) (10) IC 0 = N E In - ds D - dl D - de (1 r c ) - FBC (1 r c ) V (1 r c ) (11) (10) (11) FF, ;, ;,,,, :,, ( IV 0, FBV ) ( V) ( r v ) ; ( V) ( IC 0 ) ( r c ) : (1) A, Chen Xiong(2001) A % ; (2) ; (3) 10, ( IV 0, FBV ) ( V) ( r v ) ; ( IC 0 ), ( V) singhua ongfang Opical Disc Co., Ld. All righs reserved. 77

5 :A ( r cl ) 3. CSMAR 1990 A A B, , ( ),, (1) 1 A , ( Π ) , 015, 60 % 70 % 20 % 30 % ; 10 %, : %, %, % 1 ( ) % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % 0152 Fama French(1999) : 8169 % % %,,,,,,,,, singhua ongfang Opical Disc Co., Ld. All righs reserved.

6 2004 8,, : (1), % ; (2),, (2), 2 A, A : % % % % ( % % 7186 % % ), % % 9139 % % ( % % % % % % % % ) ( % % 3107 % % ) % % 7181 % % 2 A % % 5137 % % % % % % % % % % % % % % : = % % % % B : % % 8162 % % ; = % % 8193 % % ; % % % % = % % % % ; = % % % % ; = ( ) = - ; 2, %,, %,, %,,,1, 10 ( 5 10 ) 1 3 5, 0, singhua ongfang Opical Disc Co., Ld. All righs reserved. 79

7 :A %, %,, 1995, ( > 40 %) Fama French ( 1999) : %, %, %, 9123 %,, ;, (Myers and Majaluf (1984) ),, ( Graham and Harvey(2001) ), ( ), Graham and Harvey(2001),,, ( ),, ( ),,, (10) (11),, 3 A A r v r c , A %, 7152 % ; %, % 20 90,, 7 %, 9123 % %, Fama and French(1999) 5195 %, 7138 %, ( ), (3) I FBV, V MM (2003),, I I02, singhua ongfang Opical Disc Co., Ld. All righs reserved.

8 2004 8, I, V,,Fama French (1999), FBV V,, 3 A IRR IRR IRR IRR A : A % A % % % 7175 % % % % 9156 % % % % 8106 % % % % 9181 % % % % 7152 % % % % 7169 % % B : % % 9144 % % 7101 % % 6189 % % 8104 % % 5185 % % % % 5145 % 8143 % % % % % 9197 % % 6178 % % 8166 % % 6105 % % (2000,2001) ( IPO) 143 %, IPO Kalok Chan,John Wei,and Junbo Wang(2001), ,,,, ;,,, singhua ongfang Opical Disc Co., Ld. All righs reserved. 81

9 :A,, ; ( ), ;,, (,2002),, X Div new,, 2Π3,, ( ),,,,,,,,,,, (,2003), 3 B 10 3 :, Fama and French(1999),, A IC 0 FBC, ; ( ),, FBC IC 0 50 %,?, ( 100),, 50 %, ( FBV IV 0 ), ( ) IV 0 FBV V, 4, %,, ; singhua ongfang Opical Disc Co., Ld. All righs reserved.

10 ( ), IRR IRR IRR IRR 6141 % % 2146 % 9101 % IC 0 FBC, % % % 8194 % 4142 % % 2124 % % V, 5152 % 8177 % % 3105 % 4114 % % 0110 % 5195 % % % % 9153 % 9153 % 4 3, (15135 %), ( ), IPO 6158, 2128,, ( ) 9153 %,, (Fama French,1999) A : A ( ) 7152 %, ( ) %,,, A,,, :,,, ; 1993, 12, ( ), IPO 6100, 1163, 1995, singhua ongfang Opical Disc Co., Ld. All righs reserved. 83

11 :A,,,1999 :?, 9,,2000 :, 4,,2001 :, 6,,2003 : A, 8,,2003 :, 9,,1999 :, 11,2000 :, 11,2002 :,,1999 :, 4,,2002 :, 7,2000 :, 1 Fama,Eugene F. and Kenneh R. French,1999,he Corporae Cos of Capial and he Reurn on Corporae Invesmen,Journal of Finance 54. Graham,J. R.,Harvey C. R.,2001,he heory and Pracice of Corporae Finance : Evidence from he Field,Journal of Financial Economics 60, Kalok Chan,John Wei,and Junbo Wang,2001,Under2Pricing and Long2erm Performance of IPOs in China,Journal of Corporae Finance, Forhcoming. Miller M. and Modigliani F.,1966,Some Esimaes of he Cos of Capial o he Elecric Uiliy Indusry, ,he American Economic Review 56, Myers,S. C,Majluf,N.,1984, Corporae Financing and Invesmen Decisions When Firms Have Informaion ha Invesors Do No Have. Journal of Financial Economics 13, Qian Sun,Wilson H. S. ong,2000,he Effec of Marke Segmenaion on Sock Prices : he China Syndrome,Journal of Banking and Finance 24, William R. Gebhard, Charles M. C. Lee and Bhaskaran Swaminahan, 2000, oward an Implied Cos of Capial, Journal of Accouning Research,Forhcoming. Wu Xueping, Pie Sercu,and Charles J. P. Chen,2000,Does Corporae Governance Affec Reurns on Value and Cos? he case of Japan, Working Paper. Zhiwu Chen and Peng Xiong,2001,Discouns on Illiquid Socks : Evidence from China,Working Paper. he Cos of Capial and Reurn on Corporae Invesmen of A2share Lised Company Zhang Zheng,Meng Xiaojing,and Liu li ( Guanghua Managemen School,Peking Universiy) Absrac :Based on he adjusmen of Fama and French(1999) mehodology on characerisics of China Sock Marke,we esimae reurn on value and reurn on cos of A2share lised nonfinancial companies for We find ha he IRR on value is no maching for he economy growh, which is relaed o overpricing on secondary marke and over2financing aciviies of lised companies. A by2produc of esimaion is informaion abou he financing decisions of A2share company from Key Words : he Cos of Capial ;Reurn on Value ;Reurn on Cos JEL Classificaion : G100, G310 ( : ) ( : ) singhua ongfang Opical Disc Co., Ld. All righs reserved.

1 CAPM CAPM % % Wippern, aGebhardt Lee Swaminathan % 5.10% 4.18% 2 3 1Gebhardt Lee Swa

1 CAPM CAPM % % Wippern, aGebhardt Lee Swaminathan % 5.10% 4.18% 2 3 1Gebhardt Lee Swa Zingales 2000 Corporate finance is the study of the way firms are financed 1 2 3 1 2 3 4 1 2 1 1 1 CAPM CAPM 2001 2.42% 20002001 1.18% Wippern, 1966 2003aGebhardt Lee Swaminathan 2003 1 1998 2000 1 1998