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本文从综合估值要素和相对动态估值的视角,基于有效市场中的每一只股票都应被合理估值的思想,提出了一个体现综合、相对和动态评估思想的DEA估值效率模型和市场估值无效指数,据此可以计量分析市场估值效率、市场估值偏好等市场运行特征和演变规律。以深交所行业分类指数为样本的实证分析结果显示,它比市盈率等传统指标更全面地反映出市场及内部各行业相对估值效率的特征和变化趋势。
In this paper, from the perspectives of comprehensive valuation and relative dynamic valuation, based on the idea that every stock in the effective market should be valued reasonably, a DEA valuation efficiency model which reflects comprehensive, relative and dynamic assessment ideas and Market Valuation Index, according to which the market valuation efficiency, market valuation preferences and other market characteristics and evolution of the law. The empirical analysis based on the sample of Shenzhen Stock Exchange industry sub-index shows that it reflects the characteristics and trends of relative valuation efficiency of the market and its internal industries more fully than the traditional indicators such as price-earnings ratio.