价格波动性与股票预期回报——基于中国市场的初步证据

基于国际资本市场数据的研究发现,股票价格的波动率和股票未来的回报率负相关,而且风险差异不能解释这个现象,文章使用中国股票市场的数据发现了相同的结论。在1998年1月到2003年12月期间内,基于过去一个月内股价波动率的对冲组合在未来六个月内能够取得0.32%的月风险调整超额回报率。M iller(1977)认为股价波动性代表了投资者对股票价值评估的不确定性和异质性,因为卖空限制的存在,波动性高的股票的价格更多地反映了乐观投资者的看法,因而出现高估价值的错误定价。文章分析认为M iller的错误定价理论能够解释股价波动率与未来回报率之间的负相关关系。     

货币政策周期与股票横截面收益

采用中国A股市场数据,基于我国特定的货币环境定义货币政策周期,利用货币政策与风险特征的交叉变量,研究规模效应、价值效应等风险特征在不同货币周期下对股票横截面收益的解释能力。研究发现,添加货币周期变量之后的模型对于股票未来收益的解释能力,较传统资产定价模型具有显著的提高。规模效应(小市值公司表现优于大市值公司)在全样本周期内稳定存在,且在货币扩张期更为明显,这与货币信贷传导机制和我国信贷配置的制度环境是一致的。价值效应(价值股表现优于成长股)在货币紧缩期更为明显,在货币扩张期表现不显著,这与货币信贷传导机制和价值效应的风险特征是一致的。     

Accounting Accruals and Stock Returns: Evidence from European Equity Markets

Abstract

In this paper, I show a generalisation of the negative relation of traditional accruals and percent accruals with future returns in 11 of 16 European countries. Positive abnormal returns from hedge portfolios on both accrual measures summarise the economic significance of this generalisation. The magnitude of returns obtained from traditional accruals is higher than that obtained from percent accruals, contrary to existing evidence from the U.S. capital market. The magnitude of the accrual effect on stock returns based on both accrual measures is stronger in countries with higher individualism, lower uncertainty avoidance, higher equity-market development, higher equity-market liquidity, lower transaction costs, higher analyst coverage, lower analyst optimism, and lower ownership concentration. In markets where minorities have legal protection against expropriation by corporate insiders and where accrual accounting is permitted, the accrual effect based only on percent accruals is positive. Earnings opacity does not appear to exhibit a significant influence. Overall, the evidence suggests that cross-country differences in culture, equity-market setting, analysts' research output, investor protection, and ownership structure play an important role in explaining variation on the magnitude of the accrual anomaly in Europe.     

短期利率对中国股市的非对称影响

本文应用马尔科夫状态转换模型将中国股票市场划分为牛市、震荡市与熊市三种市场状态,并发现在熊市状态下,短期利率波动对股票收益并没有显著性影响,而在牛市与震荡市中则有显著的负向影响。此外,短期利率波动与股票市场风险不存在显著性的相关关系。本文结论对于分析宏观因素对股票市场的影响具有重要意义,从一个新的角度阐述了利率变动与股市震荡之间存在的非线性关系。     

上海A股市场分析师分歧对未来股票回报的预测性研究

本文采用2004年9月至2009年5月间相关数据,通过组合构建策略,分别控制了市值效应、账面值市值比效应和动量效应,发现上海A股市场上分析师分歧对未来股票回报不具有预测性,并分析了造成这一现象的主要原因,进一步在此基础上提出了促进我国证券分析师行业规范化发展的一些政策建议。     

Non‐linear Predictability of UK Stock Market Returns*

Linear predictability of stock market returns has been widely reported. However, recently developed theoretical research has suggested that due to the interaction of noise and arbitrage traders, stock returns are inherently non‐linear, whereby market dynamics differ between small and large returns. This paper examines whether an exponential smooth transition threshold model, which is capable of capturing this non‐linear behaviour, can provide a better characterization of UK stock market returns than either a linear model or an alternate non‐linear model. The results of both in‐sample and out‐of‐sample specification tests support the exponential smooth transition threshold model and hence the belief that investor behaviour does differ between large and small returns.     

无形资产与企业特质对股东回报差异化的影响

本文以沪深两市2005~2012年上市公司作为研究样本,发现无形资产和股东回报差异与行业和市场平均水平的程度具有显著的相关性,这一结果印证了企业资源观理论,说明了无形资产有助于企业形成自身特质,从而区别于其竞争对手。根据中国使用权类无形资产占比较大的特点,本文进一步将无形资产区分为使用权类无形资产、技术类无形资产、商誉和其他无形资产。研究结果显示,使用权类无形资产与股东回报差异化的相关度更大,这一现象与中国使用权类无形资产具有更强的隔离机制,防止被竞争对手获得有关。     

企业收购兼并的长期超额收益研究与实证

本文选取1998年发生兼并收购的公司作为样本，主并公司和目标公司都是上市公司。研究发现，公司收购兼并后对主并企业的长期超额收益为负。对公司并购后( 1， 12)，( 13， 24)和( 25， 36)时间段的CAARs和BHAR进行实证研究。研究表明，三年的长期超额收益在5％的水平下显著为负。     

The Relationship Between Stock Market Returns and Technical Efficiency Innovations: Evidence from the US Airline Industry

This paper analyzes the association between two firm performance measures: stock market returns and relative technical efficiency. Using linear programming techniques (Data Envelopment Analysis and Free Disposal Hull), technical efficiencies are calculated for a panel of eleven US airlines observed quarterly from 1970–1990. A relationship, between efficiency news in a quarter and stock market performance in the following two months, is found. A risky arbitrage portfolio strategy, of buying firms with the most positive efficiency news and short-selling those with the worst news during this time frame, results in zero beta risk yet yields annual returns of 17% and 18% for the two methodologies.     

我国货币政策产业效应的非对称性研究——来自制造业的实证

货币政策影响实体经济的主要传导途径有三个:利率途径、汇率途径和信贷途径。制造业中,不同的行业对这三种传导途径的反应速度和深度均不同,所以统一的货币政策对不同产业往往带来不同的影响,这种影响既包括产量也包括价格,被称为货币政策产业效应的非对称性。本文利用向量自回归和脉冲响应函数证实了我国货币政策对制造业中各产业存在的这种非对称性,提出并检验了造成这种产业效应非对称性的原因。