中国股市股票交易信息与股票横截面收益研究

本文基于沪深股市1993-2008年剔除了金融类股的所有A股数据,研究了股票动量因素、反转因素和换手率等股票交易信息对股票收益横截面的影响。研究结果表明,股票的一年期的动量因素对股票的横截面收益的影响不显著,股票的三个月的短期反转因素对股票的横截面收益有显著影响,股票的三个月的累计收益越低,其在接下来一期获得的收益就可能越高。股票的换手率对股票的横截面收益的影响也显著,股票的上一期的换手率越高,在接下来的一期获得的收益就可能越低。     

中国货币政策与股票横截面收益研究

本文基于沪深股市1993～2008年剔除了金融类股的所有A股数据,研究了中国证券市场上货币政策与股票横截面收益之间的关系。本文发现,在货币紧缩情况下,股票的Beta值与股票收益是成正比例关系的,而在货币扩张情况下,这种正比关系的程度减小,股票的Beta越大,其收益反而减小;在货币紧缩情况下,股票的市值规模与股票收益是成反比例关系的,而在货币扩张情况下,这种反比关系的程度变大,股票的市值规模越小,其收益增加的程度更大;在货币紧缩情况下,股票的账面市值比与股票收益是成正比例关系的,而在货币扩张情况下,这种正比关系的程度变大,股票的账面市值比越大,其收益增加的程度也越大。     

Another Look at the Cross-section of Expected Stock Returns

Our examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk when betas are estimated from time-series regressions of annual portfolio returns on the annual return on the equally weighted market index. The relation between book-to-market equity and returns is weaker and less consistent than that in Fama and French (1992). We conjecture that past book-to-market results using COMPUS-TAT data are affected by a selection bias and provide indirect evidence.     

Cash Flow, Consumption Risk, and the Cross-section of Stock Returns

I link an asset's risk premium to two characteristics of its underlying cash flow: covariance and duration. Using empirically novel estimates of both cash flow characteristics based exclusively on accounting earnings and aggregate consumption data, I examine their dynamic interaction in a two-factor cash flow model and find that they are able to explain up to 82% of the cross-sectional variation in the average returns on size, book-to-market, and long-term reversal-sorted portfolios for the period 1964 to 2002. This finding highlights the importance of fundamental cash flow characteristics in determining the risk exposure of an asset.     

Financial Constraints, Debt Capacity, and the Cross-section of Stock Returns

Building on a model of corporate investment under collateral constraints, we develop and test a hypothesis on the differential effect of debt capacity on stock returns across financially constrained and unconstrained firms. Consistent with the hypothesis, we find that debt capacity is a significant determinant of stock returns only in the cross-section of financially constrained firms, after controlling for beta, size, book-to-market, leverage, and momentum. The findings suggest that cross-sectional differences in corporate investment behavior arising from financial constraints, predicted by theories of imperfect capital markets and supported by empirical evidence, are reflected in the stock returns of manufacturing firms.     

媒体报道、制度环境与股价崩盘风险

本文利用2004-2011年中国A股上市公司的年度观察数据,实证检验了媒体报道对公司未来股价崩盘风险的影响,并进一步考察了新闻媒体与制度环境两种外部治理机制间的交互影响关系。结果发现:(1)媒体对上市公司的频繁报道显著降低了公司股价未来崩盘的风险,发挥了积极的信息中介和公共监督作用。(2)上市公司所在省市的制度环境越不完善,公司股价未来崩盘的风险显著越高,同时媒体报道对股价崩盘风险的积极影响显著越强,表明媒体报道是弥补中国新兴市场经济正式制度不足的一种重要治理机制安排。     

Portfolio Inefficiency and the Cross-section of Expected Returns

The Capital Asset Pricing Model implies that (i) the market portfolio is efficient and (ii) expected returns are linearly related to betas. Many do not view these implications as separate, since either implies the other, but we demonstrate that either can hold nearly perfectly while the other fails grossly. If the index portfolio is inefficient, then the coefficients and $R^2$ from an ordinary least squares regression of expected returns on betas can equal essentially any values and bear no relation to the index portfolio's mean-variance location. That location does determine the outcome of a mean-beta regression fitted by generalized least squares.     

未预期货币政策与股票市场——基于媒体数据的实证研究

经济理论和各国经验表明,股票市场对货币政策操作的反应对货币政策的有效性以及金融稳定具有重要意义。本文基于媒体数据对货币政策预期和未预期部分进行了分解,应用事件研究法,考察了未预期货币政策对股票市场的影响,并探索了该影响的经济机制。分析表明:(1)未预期货币政策对沪深股市有显著的负向影响,1%的未预期降准会引起上证综指上涨0.806%,深证成指上涨0.831%。未预期基准利率调整的影响略大于准备金率调整;(2)货币政策对股票市场的影响存在非对称性,宽松货币政策对股市的影响大于紧缩货币政策;(3)货币政策对股票市场的影响主要通过影响预期未来超额收益实现。     

媒体报道、澄清公告与上市公司股价

基于214家上市公司2013年1月至2015年5月的数据,利用事件研究法和回归分析方法,探索上市公司按规定发布澄清公告是否有效果,并对澄清公告、媒体报道与股价间的关系进行研究.结果发现:许多公司未按照规定澄清;市场对利好性质的传闻、否定态度的公告更关注;在否定利好传闻的公告中,内容规范的澄清公告澄清效果更好;在否定利空传闻的公告中,字数多的澄清公告澄清效果更好;同时肯定了媒体对企业澄清的监督作用及稳定股价的作用.     

Stock Returns and the Business Cycle

This article examines whether movements in economic factors dictated by the dividend discount model can explain broad movements in stock returns over the business cycle. As anticipated, stock returns decrease throughout economic expansions and become negative during the first half of recessions. Returns are largest during the second half of recessions, suggesting an important role for expected earnings. These results are consistent with the notion that expected stock returns vary inversely with economic conditions, yet suggest that realized returns are especially poor indicators of expected returns prior to turning points in the business cycle.     

Stock Returns and Open-Market Stock Repurchase Announcements

Recent studies document stock price underreactions and overreactions. This evidence is extended by studying open-market stock repurchase announcements. Repurchase announcements were chosen for the study because of the uncertainty regarding the appropriate interpretation of the repurchase announcement. Cross-section regression models are used to test the relation between the reaction to the repurchase announcement and returns in subsequent periods. The results indicate that the market overreacts to repurchase announcements that are deemed to be “good news” by the market. Neither reversal nor drift is observed following repurchase announcements considered to be “bad news” by the market. The results are robust and are not driven by a few influential observations, beta shifts, or bid-ask bounce.     

On Stock Market Returns and Returns on Investment

This article presents general conditions under which it is possible to obtain asset pricing relations from the intertemporal optimal investment decision of the firm. Under the assumption of linear homogeneous production and adjustment cost functions (the Hayashi (1982) conditions), it is possible to establish, state by state, the equality between the return on investment and the market return of the financial claims issued by the firm. This result proves to be, in essence, robust to the consideration of very general constraints on investment and the inclusion of taxes.     

Excess Cash and Stock Returns

I document a positive relationship between corporate excess cash holdings and future stock returns. The difference in returns of portfolios of high and low excess cash firms amounts to 5% annually or 6% after standard three-factor risk adjustment. Firms with more excess cash have higher market betas and earn lower returns during market downturns. High excess cash companies invest considerably more in the future than do their low cash peers, but do not experience stronger future profitability. On the whole, this evidence is consistent with the notion that excess cash holdings proxy for risky growth options.     

Expectations and the Cross-Section of Stock Returns

Previous research has shown that stocks with low prices relative to book value, cash flow, earnings, or dividends (that is, value stocks) earn high returns. Value stocks may earn high returns because they are more risky. Alternatively, systematic errors in expectations may explain the high returns earned by value stocks. I test for the existence of systematic errors using survey data on forecasts by stock market analysts. I show that investment strategies that seek to exploit errors in analysts' forecasts earn superior returns because expectations about future growth in earnings are too extreme.     

Information Uncertainty and Stock Returns

There is substantial evidence of short‐term stock price continuation, which the prior literature often attributes to investor behavioral biases such as underreaction to new information. This paper investigates the role of information uncertainty in price continuation anomalies and cross‐sectional variations in stock returns. If short‐term price continuation is due to investor behavioral biases, we should observe greater price drift when there is greater information uncertainty. As a result, greater information uncertainty should produce relatively higher expected returns following good news and relatively lower expected returns following bad news. My evidence supports this hypothesis.     

Sports Sentiment and Stock Returns

This paper investigates the stock market reaction to sudden changes in investor mood. Motivated by psychological evidence of a strong link between soccer outcomes and mood, we use international soccer results as our primary mood variable. We find a significant market decline after soccer losses. For example, a loss in the World Cup elimination stage leads to a next‐day abnormal stock return of ?49 basis points. This loss effect is stronger in small stocks and in more important games, and is robust to methodological changes. We also document a loss effect after international cricket, rugby, and basketball games.     

Real Stock Returns and Inflation

This paper develops the relation between the real rate of return on the stock market and changes in the price level using a multiperiod economy with production. The observed relation between real ex post stock returns and inflation is shown to be consistent with equilibrium in an economy with rational investors. The relation between expected real returns and expected inflation is shown to depend on the form of the economy's production function and on the form of investor preferences. When the production function exhibits stochastic constant returns to scale, the model explains the negative relation between expected real returns and expected inflation which has frequently been observed in empirical studies.     

Investment Plans and Stock Returns

When the discount rate falls, investment should rise. Thus with time-varying discount rates and instantly changing investment, investment should positively covary with current stock returns and negatively covary with future stock returns. Aggregate nonresidential U.S. investment contradicts both these implications, probably because of investment lags. Investment plans, however, satisfy both implications. These investment plans, from a U.S. government survey of firms, are highly informative measures of expected investment and explain more than three-quarters of the variation in real annual aggregate investment growth. Plans have substantial forecasting power for excess stock returns, showing that time-varying risk premia affect investment.     

Stock Returns,Expected Returns,and Real Activity

Measuring the total return variation explained by shocks to expected cash flows, time-varying expected returns, and shocks to expected returns is one way to judge the rationality of stock prices. Variables that proxy for expected returns and expected-return shocks capture 30% of the variance of annual NYSE value-weighted returns. Growth rates of production, used to proxy for shocks to expected cash flows, explain 43% of the return variance. Whether the combined explanatory power of the variables—about 58% of the variance of annual returns—is good or bad news about market efficiency is left for the reader to judge.     

Diagnostic Expectations and Stock Returns

We revisit La Porta's finding that returns on stocks with the most optimistic analyst long‐term earnings growth forecasts are lower than those on stocks with the most pessimistic forecasts. We document the joint dynamics of fundamentals, expectations, and returns of these portfolios, and explain the facts using a model of belief formation based on the representativeness heuristic. Analysts forecast fundamentals from observed earnings growth, but overreact to news by exaggerating the probability of states that have become more likely. We find support for the model's predictions. A quantitative estimation of the model accounts for the key patterns in the data.