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资本市场的重要功能之一是为公司的实体经济活动提供融资,并对公司的经济活动结果进行定价。基于投资的资产定价理论从公司经济活动(投资支出、IPO及再融资等)出发,探讨公司经济活动与资本市场定价的联系。过去若干年来对资本市场的研究发现了许多经典的资产定价理论无法解释的现象,如规模效应、账面市值比效应、应计异象、资产增长异象等,但这些现象在基于投资的资产定价理论框架下都能得到很好的解释。这一新兴领域丰富了我们对实体经济活动与资产定价的联系的认识,是近几年来在资产定价领域最重要的进展。本文通过对这一领域的回顾,有利于促进国内的学者对这一新兴领域的了解,并应用这一思想开展对我国实体经济与资本市场联系的研究。
One of the important functions of a capital market is to finance the company’s real economy activities and to price the company’s economic activity. Based on the theory of asset-based investment, this paper discusses the relationship between the company’s economic activities and the pricing of capital markets from the perspective of the company’s economic activities (investment expenditures, IPO and refinancing). In the past several years, the research on capital market has found many phenomena that can not be explained by classical asset pricing theory, such as the scale effect, the book-to-market ratio effect, the accrued anomaly, the asset growth anomaly, etc. However, Under the theoretical framework can be well explained. This emerging field enriches our understanding of the links between real economic activity and asset pricing and is the most significant advance in asset pricing in recent years. By reviewing this field, this article is conducive to promoting the domestic scholars’ understanding of this emerging field and applying this idea to carry out researches on the connection between the real economy and the capital market in our country.