(精品)全流通对中国股票市场估值影响基于博弈论视角

中国科学技术大学硕士学位论文全流通对中国股票市场估值影响——基于博弈论视角的分析姓名：储怀英申请学位级别：硕士专业：金融学指导教师：@20100410-III-20052006200720082008200912Q3QABSTRACT-III-ABSTRACTTheshareholderreformlaunchedin2005hasopenedaneweraintheChinesestockmarket,thenChinesestockmarkethasundergoneabullmarketin2007andabearmarketin2008.Liftingofnon-tradableshareswasconsideredtoleadtohugestockmarketvolatility,asanimportantfactor.Aftermostnon-tradableshareswereliftedin2008and2009,thefullcirculationtimeofChinesestockmarketiscoming.UnderthecircumstanceoffullcirculationHowthebehaviorofshareholderswillchange,andhowChinesestockmarketvaluationsystemwillchange?Researchontheseproblemshasimportanttheoreticalandpracticalsignificance.Thispaperfirstanalyzedmicro-mechanismsonhowLiftingofnon-tradableshareswillchangeChinesestockmarketvaluationsystemfromthreeperspectives,namely(1)liftingthebanonnon-tradablesharesofstockwillhaveaffectsharessupply;(2)fromtheTobinQarbitragemechanismperspective;(3)thedynamicincompleteinformationgamebetweentwotypesofshareholderswillalsoprofoundlyaffectsharepriceandvaluationsystem.Then,thepaperanalyzedpricemanipulationduringreductionofholdingandfullcirculationandproposedsomemeasurestopreventthepricemanipulation.Inconclusion,industrialcapitalwillplaymoresubstantialroleinthepricingsystemofshares,China'sstockmarketvaluationsystemwillbegraduallymorereasonable,someshareswillbecherishedandsomeotherswillbeabandoned.However,thisprocessisnoteasy.Manyproblemsneedovercoming,inparticularregulatoryauthoritiesneedtorespondpromptlyandtakeeffectivemeasures.KeyWords:FullCirculation,StockEvaluation,DynamicGameofIncompleteInformation,SignalingGame,Tobin’sQ-III-,___________11.11.1.12005429200620072008200861720082009200983AB23.940611.9705200820092009125.8312%20081%3200920%wind20111.1.22A1A21.21.2.113A2123AA12Q341.11.2.21.32008AA562.12.1.111A200542952007A103220059415%5%172011A212008617A220084201%320097A9756.844200984A5201020%2.1.21DDMFCFE11(1)()ttttVrEdττθ+∞−+==+∑82.11(1)()ttttVrEdττθ+∞−+==+∑tVttdτ+tτ+tθtr(1)tVrddrτ−=+=∑d1(1)(1)(1)tttdgVrdgrgτττ+∞−=+=++=−∑tdg1(1)(1)(1)(1)()(1)nntttndggVrdgrgrτττ∗−∗=++=+++−+∑g∗tt+ngt+n22.21()(1)()ttttBttFCFVAWACCFCFWACCVA+∞==+=−∑FCFAtVBtt1(1)()(1)(1)()tttBtttttBttFCFgVVAWACCFCFgVAWACCg+∞=+=−++=−−∑tFCFg1(1)((1)(1)(1))()(1)ttttttntBtnFCFgWACCVAFCFggVWACCgWACC∗+∞=∗+++=++−−+∑g∗tt+ngt+n292/QEV/EBITDA2.3PE/PB/Q/QEV/EBITDAEV=+-EBITDAEBITDA/2.22.2.1Brav2003Cao2005210Longstaff1995Aboody1996Bettis2001Longstaff2001MKahl2003199819992003200720082008200820082009200920082009200620022003233110.40.58200920082.2.3200920082008Q200920092009200820072006200812133.13.1.1200314PQP0P’3.1P0P’3.1.212007122712273.1AA2006834.580.07394318.40.053911296.6380137.0120071288.510.080922509.990.073215934.12307623.620081537.160.088223529.720.136317429.72172582.420096858.830.386546383.850.263217745.81176255.220103523.120.197351478.50.290417858.8177252.52011734.520.041l8696.010.04917872.94177431.1201228.590.0016383.950.002217872.94177431.1200920101538.6519.7326.3229.04200920102010Q3.2Q3.2.1QJamesTobin16QQQ3Q0MVRCQQQ=MV/RCMVRCQ()TADEBTMVMVQ++=21Q1Q1Q3.2.2QMoney,CreditandCapitalQQ1Q1Q1Q1Q14QQQ3Q4Money,CreditandCapital17Q1QQQ120052006QQQ2010Q3.2.3Q18QQ201050%QQAQQ1“””Q119--Q1Q3.33.3.1ChoKreps19871211titiT={t1,t2}t1t2p(t1)p(t2)1121t1p(t1)21miM={m1,m2}321mitia2a2A2={}4U1(ti,mj,ak)U2(ti,mj,ak)2012i=1,2AT={t1,t2}tA1={}M={m1,m2}t+1A2={}βββ[0,]t+1β()Vβ0Vβ∂∂0(,,)()UrPQLrpββθβσβθ=+−−∆0PtθβθkLkσt00Pβt1()QβLβθp∆rp∆=101=1212r=02110000(,1,0)[()];(,1,1)[()](,2,0)[()2];(,2,1)[()2]UPQLUPQLPUPQLUPQLPεεσεεεεσεεεεσεεεεσεε=+−=+−−∆=+−=+−−∆U,1,0=DU,1,1=0U,2,0=B+DU,2,1=BU1,1,0=B+DU1,1,1=BU1,2,0=DU1,2,1=03.2Nature0.550%N[p][q][1-p][1-q][B,1][B+D,-1][0,0][D,1][D,-1][B+D,1][0,1][B,0]22BBD01-11-110{}{}p0.5p0.51-p0.5q1-q1m11m2212m1m2BD1BDp=0.5p=123q=0.5q=02BDq=0.5,P1/32BD3.3a1(1)()ttaPaPP++−−∆1(1)tPaP+−−∆1(1)ttaPaP++−1tP+24tP1tP+tPP∆1t+P∆P∆1t+1tP+tP∆B()()()[]()[]papppaap∆−−∆−−+=1-1B221()[]()21221--1ppappaap=−+=()()[]()()[]ppaappap∆−−+∆−−=2121-1B()[]()12212-1-ppapaapp=−+=DD()[]()()[]ppaappaap∆−−+−+=21211-1D()[]()papapp∆−=∆−−−=1122DBp0aa-1pp-p12∆p00p-p12DBp0aa-1pp-p21∆p00p-p21aa0a1,aa-1P2P1P2P12503.3.212ABDBD3BDDB+DB26AAAIPOASTA3.3.32712284.1[0,1]10t0a={S1H1}[0,][0,]px=1px=0t1QQQβ∂∂0A2={S2H2}t1t0P0t1P10(,)()UPQLββθβσβθ=+−0PtθβθkLkσ29t00Pβt1()QβLβθ11ββββθ()Qββ01()0UQPLσββθ∂∂=+−=∂∂()()2Vθββ=%02()LPθθβσθ−∂=∂β()βθθ(())θβθθ=%02()LPθθβσθ−∂=∂0020[ln()]2PLLPCPσθθβ∗+−=−C()()2Qθββ∗∗∗=11(()/)1,(()/)0µθββµθθββ=≠=%1(,,(,))βθµθβ∗∗∗∗β∗30βθ∗∗∂∂00Pβ∗∂∂0t0P0αβσ∗∂∂0αLβ∗∂∂0αA20091%1%4.1092009-12-2829.01%14.1313.97-1.13%ST2009-12-1515.64%8.287.91-4.47%2009-12-1613.48%9.4610.126.98%2009-10-2112.6%10.609.02-14.91%2009-12-0310.98%10.0614.5044.14%2009-12-1610%17.6715.62-11.60%2009-01-129.22%6.928.2018.50%2009-11-168.43%15.6522.2342.04%2009-11-035.87%18.2818.11-0.93%2009-12-285%8.708.38-3.68%311234.212009220083321200721A2334.3124.4345.15.5.1QQ5.5.2352/3QQQ1Q112,,,,365.25.2.112009460200816496.361005.902008200820092008200923720102008922~23320.87500020099242009112732012213659200995.2.2112120%52323811%239[1]AboodyD.Ma