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:100124098(2009)0120044206AX(,410082):A,A,:(1),(2),A4,(3)AA,,(4),AAA,A:;;;:F830:A120062008,2009,,2007,,A2008,A,BH[1-4],,,,,,,A,A,,,,,,,,[5],,,(),,,[6],A,A2A2.119942006,,1%10237271(181)Vol.27,No.120091SystemsEngineeringJan.,2009X:2008208226::(19622),,,,:,CCER2.2Penman(2001),,,20,(1)[7]1:19942006()ROEPöB:19942006()ROEPöB1-0.424.06-0.231.012-0.102.21-0.030.7430.012.210.020.7540.012.130.050.7850.022.180.070.8060.032.200.080.8470.042.290.100.9180.052.420.110.9790.062.330.121.00100.062.830.131.06110.072.620.141.10120.082.790.141.16130.092.920.151.25140.103.060.171.36150.103.470.181.45160.113.490.191.65170.123.470.211.89180.143.660.242.20190.173.840.292.57200.234.950.433.43V210210.411198.72P20.00000.00001,:(1)A1994200620Kruskal2Wallis,1%,(2)A2.13,0.7420A2.96,1.35,,,,67%,A,3,,,541:A(3)A,-42%,1,14.06,IPO,,,,(2005),,,A[8](4)A,A,,,,,,(2004),[9]2.3,1:PöB=a0+a1CNDum+a2ROE+a3ROEõCNDum+EACNDum=1,CNDum=0PöBROE1,2,20R2,1%02A:CNDumROEROEõCNDumR2(1)0.79423332.11503334.3397333-3.3767330.6895P20.00040.00000.00040.0402(2)ROE0.25793331.61243337.33113335.50383330.9805P20.00100.00000.00000.0000:3333331%5%10%2:,,0.7942,4.3397ACNDum2.9092,,,,1,,AAROEROEõCNDum,0.9631,20,,,4.02,,,,,,,A,,0.25797.3311,1.8703,1,,12.8350,,3AA,6420093.119942006,1%AA,9392,200520061883,:PitöBVPSit=a0+T2YR-T1a1YRDYRit+a1EXCHNGit+a2ROEit+a3SIZEit+a4Mit+EitPitit+1430BVPSitit1231DYRit,YRt,DYRit=1,0,YR=T1+1,T1+2,,T2,T22006,T119942005EXCHNGit,i10ROEititSIZEit=lnREVitlnTAit,it,lnREVitlnTAit.Mit=lnSPAitlnSPAit-1,itt-1A(2005),,A,A,A,[10]3.23R232%44%,A,,A,,,,,,,,,Banz(1981),,[11],,,,,,,,,,20052006,,A,,,A,,,,20052006,,3ROElnREVlnTAlnSPAlnSPA-1R2(1)(19942006)PöBP2-20833330.000-0.9073330.000-0.1303330.0001.2393330.0000.356PöBP214.3643330.000-0.4313330.003-0.9813330.0001.4453330.0000.444PöBP21.0013330.006-0.6143330.000-0.1293330.0000.9203330.0000.324PöBP217.1273330.000-0.1270.392-0.9703330.0001.1513330.0000.409741:A(2)(20052006)PöBP20.6640.4540.0170.958-0.1363330.0000.9413330.0000.364PöBP211.5503330.0000.3420.277-0.8163330.0001.3663330.0000.417PöBP23.3403330.0000.2680.417-0.1263330.0000.6373330.0000.348PöB23.7023330.6213-0.7703331.0503330.395P20.0000.0510.0000.000:3333331%5%10%4A,,HKDum=1,HKDum=0,2020:PöB=a0+a1HKDum+a2ROE+a3ROEõHKDum+E4:HKDumROEROEõHKDumR2(1)0.79423330.347434.33973330.144406107P20.00040.08620.00040.9045(2)ROE0.257930.4864337.3311333-0.16660.8532P20.06830.01260.00000.8806:33333331%5%10%4,,HKDum,ROEõHKDum0,,,,51994200620,,,:(1),(2),A4,(3)A,(4)A,,,A,,A,842009AAA,A,A,A:[1]StulzRM.Ontheeffectsofbarrierstointernationalinvestment[J].JournalofFinance,1981,36:923934.[2]ErrunzaV,LosqE.Internationalassetpricingundermildsegmentation:theoryandtest[J].JournalofFinance,1985,40:105124.[3]EunCS,JunakiramananS.Amodelofinternationalassetpricingwithaconstraintontheforeignequityownership[J].JournalofFinance,1986,41:10251037.[4]SolnikB.Anequilibriummodeloftheinternationalcapitalmarket[J].JournalofEconomicTheory,1974,18(1):365378.[5]Brealey,Myers.Principlesofcorporatefinance[J].JournalofFinancialEconomics,2003,23(2):234242.[6]BaileyW,ChungP,KangJK.Foreignownershiprestrictionsandequitypricepremiums:whatdrivesthedemandforcross2borderinvestments?[J].Jour2nalofFinancialandQuantitativeAnalysis,1999,34:489511.[7]Penman.Financialstatementanalysisandsecurityvaluation[J].JournalofFinance,2001,41:569574.[8].:[J].:,2005.[9].:H[J].,2004,1:1316.[10],.:[J].,2005,2:5061.[11]BanzRW.Therelationshipbetweenreturnandmarketvalueofcommonstock[J].JournalofFinancialandQuantitativeAnalysis,1981,14:421441.MarketPricingComparisonamongtheAStock,ChineseConceptStock&AmericanStockLIUPeng(HunanUniversity,Changsha410082,China)Abstract:Inthispaper,wecomparemarketpricetonetassetsratiosofAstockinChinamarket,ChineseconceptstockinHongkong,andstockinU.S.A.,andanalyzetheirdeterminants,tojudgewhethertherearefoamsinAstockmarket.BycomparingtherelationshipbetweenmarketpricetonetassetsratioandROEinHongkongstockmarketwiththatinAmericanstockmarket,wefindthatfirstlymarketpricetonetassetsratioofChineseconceptstockisalittlehigherthanthatofAmericanstock,butslopeoftherelationshipbetweentheratioofmarketpricetonetassetsandROEisalmostsameasthatofAmericanstock.Secondly,themedianofmarketpricetonetassetsratioofdefectivecompaniesinAstockmarketis4,ascalledtrashstockphenomenon.Thirdly,theratioofmarketpricetonetassetsofprofitablecompaniesinAstockmarketismuchhigherthanthatinHongkongandAmerica.Moreover,thisphenomenonismoreobviousinsmallfirms.Fourthly,thereisapositivecorrelationbetweentheratioofmarketpricetonetassetsandROEdisappearedaftercontrollingthevariablesofyear,exchange,stockjobbing,andfirmsize,whichindicatesthatstockjobbingandspeculationisthemainreasonwhytheratioofmarketpricetonetassetsofAstockishigherthaninmaturemarket.TheratioofmarketpricetonetassetsofChineseconceptstockisclosetomaturemarkets,sotheirreturningcanreducefoamsinAstockmarket.Keywords:TheRatioofMarketPricetoNetAssets;Foam;ROE;ChineseConceptStock941:A