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对中国大陆的A股、香港的红筹股和美国市场股票的市净率及其决定因素进行比较分析,判断A股市场是否存在泡沫。通过与美国市场的市净率与净资产报酬率之间的关系进行比较,发现:(1)红筹股公司的市净率略高于美国市场,但红筹股公司的市净率与净资产报酬率的关系曲线的斜率与美国市场相等。(2)相对于红筹股公司和美国上市公司,A股亏损公司的市净率的中位数达到4倍以上,这就是所谓的垃圾股现象。(3)盈利A股公司的市净率远高于红筹股公司和美国上市公司。A股公司的市净率相对于净资产报酬率的斜率,亦远高于红筹股公司和美国上市公司,并且这一现象在小规模公司中更为突出。(4)在控制了年度、交易所、操纵行为和公司规模之后,A股公司市净率与净资产报酬率之间的正相关关系消失了。这一结果表明操纵行为及A股市场浓郁的投机气氛是A股市净率相对于成熟市场高企的主要原因。红筹股与成熟市场的市净率比较接近,红筹股回归在一定程度上能够平抑A股市场可能存在的泡沫。
A-share market in mainland China, Hong Kong’s red chips and the United States market price-to-book ratio and the determinants of comparative analysis to determine whether there is a bubble A-share market. By comparing the net book value with the return on net assets of the U.S. market, we find that: (1) the market price of red chip companies is slightly higher than that of the U.S. market, but the red chip companies’ PBR and ROE The slope of the relationship curve is equal to the U.S. market. (2) The median book value of loss-A-share companies is more than quadrupled relative to red chip companies and US-listed companies. This is the so-called junk stock phenomenon. (3) The profit-to-earnings ratio of A share companies is much higher than that of red chip companies and US listed companies. The A-share company’s P / B ratio relative to the return on net assets slope is also much higher than the red chip companies and the United States listed companies, and this phenomenon is more prominent in small-scale companies. (4) After controlling the annual, exchange, manipulation and company size, the positive correlation between the net book value and return on net assets of A-share companies disappeared. This result shows that the manipulation behavior and the strong speculative atmosphere in the A-share market are the main reasons for the high A-share book value relative to mature markets. Red chip and mature market price-to-book relatively close, the red-chip return to a certain extent, can stabilize the A-share market may exist in the bubble.