A股市场错误定价的度量及影响因素研究*
THE MEASUREMENT AND THE INFLUENCES OF ASHARE STOCK MARKETS MISPRICING

摘要 本文对基于迎合理论的可操作应计利润模型在A股市场错误定价的度量效果进行实证研究分析，结果发现可操作应计利润模型在A股市场错误定价度量方面的适用性较高。在错误定价的影响因素方面，本文通过构建SVAR模型对该问题进行研究。发现货币供给量、融资结构能够对错误定价水平造成显著的长期（1年以上）反向冲击作用，且对错误定价水平的变化具备较高的解释能力。
Abstract： This paper testifies the efficiency of DACCR model which is based on catering theory. We find that the DACCR model is eminently effective in Ashare stocks mispricings measurement. In order to find which variable influence Ashares mispricing level, this paper builds SVAR model to search which economic variable influence DACCR greater and which variable could explain DACCRs changes more. The model results show M2 and financing structure make greatest influence on DACCR in a long term (more than one year), which also explain the DAACR changes mostly.