Abstract:
Based on the analysis of the value of going-concern and conversion options, we introduce two types of non-linear effects in traditional equity pricing model. The new model, considering tax friction, depicts the concavity between equity value and revenue: a company's equity value increases monotonically with its revenue, while marginal effect is in decline. Furthermore, theoretical model is tested by empirical study based on data of companies listed on A-share market in China. For a single industry, the described relationship between equity and revenue is verified. However, there is not a uniformed nonlinear co-integration relationship between different industries because of heterogeneity.
邓冰, 李俊侃, 王一鸣. 公司权益价值的非线性效应——基于持续经营和转换期权分析[J]. 金融研究, 2015, 424(10): 181-197.
DENG Bing, LI Junkan, WANG Yiming. Non-Linear Effects in Equity Value: Based on the Analysis of the Value ofGoing-concern and Conversion Options. Journal of Financial Research, 2015, 424(10): 181-197.
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