:A 3 A ( 100871) : Fama French (1999), 1990 2001 A,, 1990 2001 :, Fama French(1999) ( ) ( FF ) FF : ( IRR on Value) ( IRR on Cos), FF, 1990 2001 A, : ;, ; (Cos of Capial), Miller Modigliani (1966) ( ), (WACC), (CAPM) (AP) (Dividend Discoun Model), 3 :70273003,,, 74 1995-2005 singhua ongfang Opical Disc Co., Ld. All righs reserved.
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), 1995 1996 1997 18156 % 16139 % 8147 % ; (2000) 1994 1994 1998, (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 1995-2005 singhua ongfang Opical Disc Co., Ld. All righs reserved. 75
: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) 76 1995-2005 singhua ongfang Opical Disc Co., Ld. All righs reserved.
2004 8 ; 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) 2000 8 2001 7 A 22107 % ; (2) ; (3) 10, ( IV 0, FBV ) ( V) ( r v ) ; ( IC 0 ), ( V) 1995-2005 singhua ongfang Opical Disc Co., Ld. All righs reserved. 77
:A ( r cl ) 3. CSMAR 1990 A A B, 1990 2001, 1991 2001 1990 2001 1. ( ),, (1) 1 A 1991 1993, ( Π ) 1144 015 1993, 015, 60 % 70 % 20 % 30 % ; 10 %,1990 2001 : 21194 %, 12146 %, 65161 % 1 ( ) 1991 30115 % 28180 % 41106 % 1144 1992 24196 % 17170 % 57134 % 0174 1993 19196 % 13163 % 66141 % 0151 1994 22109 % 11128 % 66163 % 0150 1995 24142 % 12166 % 62192 % 0159 1996 25149 % 11123 % 63127 % 0158 1997 22109 % 11119 % 66172 % 0150 1998 21161 % 10166 % 67173 % 0148 1999 21170 % 11153 % 66177 % 0150 2000 20168 % 11188 % 67144 % 0148 2001 21197 % 14179 % 63124 % 0158 1990 2001 21194 % 12146 % 65161 % 0152 Fama French(1999) 1951 1996 : 8169 % 27113 % 65196 %,,,,,,,,, 78 1995-2005 singhua ongfang Opical Disc Co., Ld. All righs reserved.
2004 8,, : (1),1990 2001 20 % ; (2),, (2), 2 A, A : 1991 17107 % 15183 % 46104 % 21105 % ( - 1992 1122 % 63151 % 7186 % 27142 % ), 1993 3194 % 66183 % 9139 % 19184 % ( 1994 5138 % 40135 % 10147 % 43180 % 1995 46178 % 10108 % 12120 % 31110 % ) ( 1996 34104 % 28135 % 3107 % 34155 % ) 1997 31135 % 41138 % 7181 % 19146 % 2 A 1998 40195 % 28189 % 5137 % 24179 % 1999 52172 % 10153 % 12133 % 24141 % 2000 37112 % 31116 % 12177 % 18195 % 2001 36110 % 13199 % 14136 % 35155 % : = 1991 2001 38157 % 24118 % 10176 % 26149 % B : 28117 % 29136 % 8162 % 33185 % ; = - 41108 % 23152 % 8193 % 26146 % ; 25182 % 23131 % 15165 % 35121 % = 18160 % 34114 % 13189 % 33137 % ; = 49185 % 23127 % 14117 % 12171 % ; = ( ) = - ; 2, 1991 2001 38157 %,, 26149 %,, 1993 66183 %,,,1, 10 ( 5 10 ) 1 3 5, 0, 1995-2005 singhua ongfang Opical Disc Co., Ld. All righs reserved. 79
:A 24118 %, 10176 %,, 1995, ( > 40 %) Fama French ( 1999) 1951 1996 : 47123 %, 29182 %, 13172 %, 9123 %,, ;, (Myers and Majaluf (1984) ),, ( Graham and Harvey(2001) ), ( ), Graham and Harvey(2001),,, ( ),, ( ),,, 2 1990 2001 2. (10) (11),, 3 A A r v r c 3 1990 2001, A 10112 %, 7152 % ; 19128 %, 15135 % 20 90,, 7 %, 9123 % 1950 1996 315 %, Fama and French(1999) 5195 %, 7138 %, ( ), (3) I FBV, V MM (2003),, I I02, 2000 2001 80 1995-2005 singhua ongfang Opical Disc Co., Ld. All righs reserved.
2004 8, I, V,,Fama French (1999), FBV V,, 3 A IRR IRR IRR IRR A : A 22107 % A 22107 % 1990 2001 10190 % 18149 % 7175 % 14163 % 1996 2001 9177 % 20132 % 9156 % 20108 % 1990 2001 11119 % 20138 % 8106 % 16136 % 1996 2001 10102 % 22179 % 9181 % 22155 % 10 10 1990 2001 10112 % 19128 % 7152 % 15135 % 1996 2001 7189 % 21135 % 7169 % 21111 % B : 12140 % 19101 % 9144 % 15108 % 7101 % 18140 % 6189 % 14169 % 8104 % 24106 % 5185 % 20112 % 10152 % 13181 % 5145 % 8143 % 16175 % 21192 % 14111 % 17154 % 9197 % 20172 % 6178 % 16143 % 8166 % 19153 % 6105 % 16166 % (2000,2001) 1991 1999 ( IPO) 143 %, 1992 1996 IPO Kalok Chan,John Wei,and Junbo Wang(2001), 1990 1998,,,, ;,,, 1995-2005 singhua ongfang Opical Disc Co., Ld. All righs reserved. 81
:A,, ; ( ), ;,, (,2002),, X Div new,, 2Π3,, ( ),,,,,,,,,,, (,2003), 3 B 10 3 :, Fama and French(1999),,1990 2001 A IC 0 FBC, ; ( ),, FBC IC 0 50 %,?, 1995 1999 101126 ( 100),, 50 %, ( FBV IV 0 ), ( ) IV 0 FBV V, 4, - 2127 %,, ; 82 1995-2005 singhua ongfang Opical Disc Co., Ld. All righs reserved.
2004 8 4 ( ), IRR IRR IRR IRR 6141 % 14116 % 2146 % 9101 % IC 0 FBC, - 0111 % 13177 % - 3191 % 8194 % 4142 % 27115 % 2124 % 22161 % V, 5152 % 8177 % - 0101 % 3105 % 4114 % 11119 % 0110 % 5195 % 4 1152 % 14152 % - 2127 % 9153 % 9153 % 4 3, (15135 %), ( ),1991 2001 IPO 6158, 2128,, ( ) 9153 %,, (Fama French,1999) 1990 2001 A : A ( ) 7152 %, ( ) 15135 %,,,1990 2001 A,,, 1990 2001 :,,, ; 1993, 12, ( ), 1991 2001 IPO 6100, 1163, 1995, 3 1995-2005 singhua ongfang Opical Disc Co., Ld. All righs reserved. 83
: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 60,187 243. 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,1954 1957,he American Economic Review 56,333 391. Myers,S. C,Majluf,N.,1984, Corporae Financing and Invesmen Decisions When Firms Have Informaion ha Invesors Do No Have. Journal of Financial Economics 13,187 224. Qian Sun,Wilson H. S. ong,2000,he Effec of Marke Segmenaion on Sock Prices : he China Syndrome,Journal of Banking and Finance 24,1875 1902. 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 1991 2001. 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 1991 2001. Key Words : he Cos of Capial ;Reurn on Value ;Reurn on Cos JEL Classificaion : G100, G310 ( : ) ( : ) 84 1995-2005 singhua ongfang Opical Disc Co., Ld. All righs reserved.