剩余收益模型与股票未来回报

本文采用Hou et al.(2012)公司基本面盈余预测模型并结合剩余收益模型对上市公司的内在价值进行估计,并分析内在价值与市价比率(V/P)与股票未来回报之间的关系。我们发现基于V/P分组的投资组合,在未来一至三年规模调整的持有超额回报套利分别达到15.2%、37.9%和55.9%;在控制了市账比等因素以后,V/P对股票未来回报仍然具有显著的预测作用。本文的研究克服了以往文献中运用证券分析师盈余预测进行剩余收益模型估值的内在局限,并提供了我国资本市场背景下切实可行的基于剩余收益模型估值的投资组合策略。

Residual Income Model and Stock Future Returns

Researchers often use analysts' earnings estimates in the residual income model. However, financial analysts are optimistic when issuing earnings forecasts and they follow only selected listed companies. Also there are not many earnings forecasts in Chinese stock market. Therefore, it is difficult to use residual income model to value stock in a large sample. In this study, we use the method proposed in Hou et al. (2012) to predict earnings in future one-three years and estimate listed companies' intrinsic value based on residual income model. We then study the relationship between V/P and stock future returns. Based on the V/P trading strategy, one year hedge return is 15.2%, and hedge returns of two and three years are 37.9% and 55.9% respectively. In the regression analyses, we find V/P can significantly predict future returns after controlling other variables. Our research overcomes the inherent limitation of using financial analysts' earnings forecast to value stock in previous literature, and also provides a feasible trading strategy based on residual income model in the Chinese stock market.