超過利益模型을 利用한 中國企業의 市場倍數 分析
Empirical Analyses of Chinese Stock’s Market MultiplesUsing Residual Income Valuation Model
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This paper has empirically evaluated the chinese stock bubble during 2010∼2015, measuring the fundamental value (V) and PVR (price to value ratio) of listed firms on three chinese stock exchanges in Hong Kong, Shanghai and Shenzhen with residual income valuation model suggested by Feltham and Ohlson (1995). Along with the analysis of popular market multiples in investment practice such as PBR (price to book value ratio) and PER (price to earnings ratio), the difference of PVR distributions among those three stock exchanges will tell us whether the stock bubble exists in mainland China, and how serious it is now. The empirical findings are as below. Firstly, the average V of Hong Kong is 52.9% and 632.4% bigger than those of Shanghai and Shenzhen, whereas their PVR’s are much higher than Hong Kong’s by 16.8 and 15.1 times, respectively. This implies that very serious stock bubbles exist in mainland China, and the chinese stock on average is over-valued by 15∼16 times than Hong Kong’s. Secondly, the average PBR and PER of Shanghai are 4.86 and 4.477 times higher, and Shenzhen’s are also 4.55 and 4.484 times higher than Hong Kong’s, which still confirms the existence of serious stock bubble in mainland China. Finally, between two stock exchanges in mainland, Shenzhen stocks have been more bubbled than Shanghai stocks, especially in recent years of my test, during 2013∼2015, with an apparent increasing trend. My findings support the warnings from global consulting firms including Mckinsey that the stock and real estate bubbles in China could trigger a disastrous world financial crisis, and they may not be just over-spoken.
Abstract
This paper has empirically evaluated the chinese stock bubble during 2010∼2015, measuring the fundamental value (V) and PVR (price to value ratio) of listed firms on three chinese stock exchanges in Hong Kong, Shanghai and Shenzhen with residual income valuation model suggested by Feltham and Ohlson (1995). Along with the analysis of popular market multiples in investment practice such as PBR (price to book value ratio) and PER (price to earnings ratio), the difference of PVR distributions among those three stock exchanges will tell us whether the stock bubble exists in mainland China, and how serious it is now. The empirical findings are as below. Firstly, the average V of Hong Kong is 52.9% and 632.4% bigger than those of Shanghai and Shenzhen, whereas their PVR’s are much higher than Hong Kong’s by 16.8 and 15.1 times, respectively. This implies that very serious stock bubbles exist in mainland China, and the chinese stock on average is over-valued by 15∼16 times than Hong Kong’s. Secondly, the average PBR and PER of Shanghai are 4.86 and 4.477 times higher, and Shenzhen’s are also 4.55 and 4.484 times higher than Hong Kong’s, which still confirms the existence of serious stock bubble in mainland China. Finally, between two stock exchanges in mainland, Shenzhen stocks have been more bubbled than Shanghai stocks, especially in recent years of my test, during 2013∼2015, with an apparent increasing trend. My findings support the warnings from global consulting firms including Mckinsey that the stock and real estate bubbles in China could trigger a disastrous world financial crisis, and they may not be just over-spoken.
참고문헌 (21)
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