本文選題：股權(quán)資本成本　切入點(diǎn)：資本資產(chǎn)定價(jià)模型(CAPM)　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：資本成本的概念涉及理論和實(shí)務(wù)的多個(gè)領(lǐng)域,在公司金融學(xué),投資學(xué),股票定價(jià)以及企業(yè)的投融資決策中均扮演重要角色,是影響資本市場功能發(fā)揮的深層次制度因素。自1958年MM理論發(fā)表后五十多年來,已涌現(xiàn)出多種資本成本估算模型。一類基于風(fēng)險(xiǎn)補(bǔ)償法,以資本資產(chǎn)定價(jià)模型(CAPM)為代表；另一類基于內(nèi)含報(bào)酬法,以GLS模型為代表。盡管以資本資產(chǎn)定價(jià)模型(CAPM)為代表的資本成本估算模型盛行,但多個(gè)研究發(fā)現(xiàn)用其計(jì)算的必要報(bào)酬率是不精確的。因此,本文以我國上市銀行為研究對象,試圖對比GLS模型與CAPM模型,從而對我國上市銀行股權(quán)資本成本做有意義的探索與研究。本文回顧了股權(quán)資本成本的相關(guān)文獻(xiàn),并重點(diǎn)介紹與比對了資本資產(chǎn)定價(jià)模型(CAPM)和GLS模型,分別就資本資產(chǎn)定價(jià)模型(CAPM)與GLS模型估算了上市銀行的股權(quán)資本成本,并結(jié)合我國上市銀行的發(fā)展背景對股權(quán)資本成本的特性做了解讀；同時(shí)選取了資本充足率、市盈率、規(guī)模、不良貸款率、凈息差、銀行所有權(quán)性質(zhì)等與銀行經(jīng)營特性相關(guān)的因素納入回歸模型,分析影響上市銀行資本成本的因素。
[Abstract]:The concept of capital cost involves many fields of theory and practice, and plays an important role in corporate finance, investment, stock pricing and investment and financing decisions of enterprises. Since 1958, more than 50 years after MM theory was published, a variety of capital cost estimation models have emerged. One is based on risk compensation, represented by the capital asset pricing model (CAPM). The other one is based on the implicit reward method, represented by the GLS model. Although the capital cost estimation model, represented by the capital asset pricing model, is prevalent, several studies have found that the necessary rate of return calculated by the model is not accurate. This paper takes the listed banks in China as the research object, tries to compare the GLS model with the CAPM model, so as to make a meaningful exploration and research on the cost of equity capital of listed banks in China. This paper reviews the relevant literature on the cost of equity capital. This paper mainly introduces and compares the capital asset pricing model (GLS) and the capital asset pricing model (GLS), and estimates the equity capital cost of the listed banks on the basis of the capital asset pricing model (GLS) and the capital asset pricing model (GLS), respectively. At the same time, the capital adequacy ratio, price-earnings ratio, scale, non-performing loan ratio, net interest margin are selected. The factors related to the characteristics of bank management, such as the nature of bank ownership, are incorporated into the regression model, and the factors affecting the capital cost of listed banks are analyzed.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

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本文編號(hào)：1569161