作　　者： (宋顺林）; ; ;

机构地区： 中央财经大学会计学院

出　　处： 《南开管理评论》 2015年第2期92-102,共11页

摘　　要： 欧美资本市场普遍存在外资股溢价现象,与此相反,我国则长期存在A H股溢价现象。本文从A H股溢价是否合理这一新的视角出发,分析并检验投资者行为对A H股溢价的影响。结果发现:(1)A H股相对市场情绪以及在A H股市场情绪接近时,A股绝对市场情绪均与A H股溢价显著正相关;(2)个股的投机性与A H股溢价显著正相关;(3)个股的投机性越强,市场情绪与A H股溢价的正相关关系越强。并且,上述研究结果不受新会计准则变更、融资融券制度、样本选择、变量定义和估计方法等因素的影响。这些结果说明,投资者行为是A H股溢价的重要影响因素,A H股溢价可能还存在很大程度的不合理成分。上述结果对监管层、投资者和研究者均有一定启示。 According to existing literat ure, in developed stock market such as Europe and America, the stock prices for the same company are usually higher in foreign market than in local market. This phenomenon is called foreign price premiums. However, in China stock market, the stock prices are mostly higher in local market than in foreign market. I.e., there is local share premium in China. In other word, the price of A share is always much higher than that of H share in China, while foreign price premiums is dominant in western developed stock markets. In this paper, from a new perspective of whether AH share premium is justified, we analyze and test the inf luence of investor behavior on AH share premium. Using the sample of AH firms from 2006-2011, we find that：（1） The relative sentiment and absolute sentiment of investors which conditional on the small difference between A and H market absolute sentiment are significantly and positively correlated with AH share premium.（2） Speculative stocks have higher AH premium.（3） The positive correlation between AH share premium and investor sentiment is stronger in speculative stocks. Above empirical findings are held for alter native sample choices, variable def initions and estimation methods. These results suggest that AH share premium can be explained by investor behavior and probably a large part of AH premium cannot be justified by CAPM, which have important implication for regulators, investors and scholars. First, by exploring the role of sentiment and speculation in AH share premium, this paper has important implication for stock evaluation problem in A-share in China's Mainland. Second, this paper enrich the literature of AH share premium by analyzing and investigating how investor behavior inf luence stock price. Finally, using a unique data of AH market, this paper also provides support for the investor sentiment theory proposed in Baker and Wurgler（2007）.

关 键 词： 股溢价 投资者行为 投资者情绪 投机行为

领　　域： [经济管理—金融学]