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《Chinese Journal of Management Science》 2016-01
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Market Valuation Efficiency Measurementand Valuation Model Analysis-Based on Cross-listing Stocks

YI Rong-hua;JU Jin;LIU Jia-peng;School of Economics & Management,China Jiliang University;  
Based on Fama-French three-factor model and Campbell's relative valuation efficiency measure,focusing on cross-listing " homogeneous" stock price difference and market valuation efficiency measure,the Stochastic Frontier Analysis(SFA)is used to build a production function between stock price and valuation factors.Further,based on SFA technical efficiency,the market valuation efficiency index is proposed under the concept of Efficient Market Hypothesis.It offers the new perspectives and approaches of quantitative measure of the level of market efficiency,of market valuation model and evolution analysis as well ascomparison among markets from relative valuation efficiency.Empirical studies based on sample of A+H shares of cross-listing develop differences and trends of the valuation efficiency and valuation models about the two markets from obvious difference to recent convergence.
【Fund】: 国家自然科学基金资助项目(71173203 71473235)
【CateGory Index】: F831.51;F224
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