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长期以来,如何测度上市公司股权资本成本是公司金融研究的难点。本文以分析师预测盈余作为估值基础,运用GLS模型、CT模型、OJ模型及PEG模型测度了我国上市公司股权资本成本。检验结果表明,基于分析师预测盈余估计的股权资本成本既能够捕捉到风险因素的影响,也能够捕捉到我国上市公司产权性质差异以及不同地区法制环境对股权资本成本的影响。进一步检验发现,由于我国分析师市场尚不成熟,受限于分析师跟踪上市公司的偏好,基于分析师预测盈余的股权资本成本整体可能会存在一定的偏误。
For a long time, how to measure the cost of equity capital of listed companies is a difficult point of corporate finance research. In this paper, analysts forecast earnings as a valuation basis, the use of GLS model, CT model, OJ model and PEG model measure the cost of equity capital of listed companies in China. The test results show that the cost of equity capital based on the estimated earnings of analysts can not only capture the impact of risk factors but also capture the differences in property rights of listed companies in China and the impact of legal environment in different regions on the cost of equity capital. Further examination shows that due to the immature market of analysts in our country, due to the analyst’s preference of tracing the listed companies, the total cost of equity capital based on the predicted earnings of the analysts may be biased to a certain extent.