A股估值中的资本扩张和绩效因素：兼论A股定价效率的提高
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| Title | Variance Decomposition of Market-to-assets Ratio for China’s A-share stocks
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| 作者 | 李惠璇 唐涯 徐建国 |
| Author | Li Huixuan,Tang Ya and Xu Jianguo |
| 作者单位 | 北京大学国家发展研究院；北京大学光华管理学院 |
| Organization | Peking University |
| 作者Email | lihuixuan@pku.edu.cn；yatang@gsm.pku.edu.cn；jgxu@nsd.pku.edu.cn |
| 中文关键词 | 方差分解 资本扩张 盈利能力 金融约束 A股定价效率 |
| Key Words | Variance decomposition; Market-to-asset ratios; Expected stock returns; Expected profitability; Expected investments; Price informativeness. |
| 内容提要 | 本文拓展了经典的方差分解方法，在未来股票回报、盈利能力的基础上，把公司资本扩张能力纳入考虑，并以此为理论基础，对A股估值的决定因素和定价效率进行研究。研究结果显示（1）资本扩张能力是A股市场股票估值的重要决定因素：股票估值与未来资本扩张显著正相关，这一相关性在成长性较高的小股票、高估值、创业板公司中尤为明显；（2）A股市场定价效率在逐步提高：2005年之后，A股估值的影响因素中未来回报率的贡献显著下降，盈利能力的贡献大幅上升，说明A股的估值更加反映企业的基本面状况。作为比较，我们还发现在美国股票市场上也有类似证据：较为成熟稳定的NYSE\AMEX市场中，未来公司资本扩张与股票估值的相关性很小，而在成长性较高的NASDAQ市场上，公司资本扩张也是股票估值的重要因素。美国的证据辅证了资本扩张对于成长型市场的重要性。 |
| Abstract | In a fast growing economy with severe financial repression, high corporate investments may be highly valued by stock market. But the relative importance of expected investments in determining firms’ stock valuation is rarely discussed in previous studies. We extend the variance decomposition framework proposed by Cochrane (1992) and Cohen et al. (2003) to include the effect of investments on stock prices. We find that (1) the variation in expected investments play an important role in determining stock valuation in China’s A-share market, especially in small stocks and highly priced stocks; (2) the price informativeness of China’s A-share market has changed significantly in the last two decades. Before 2005, most cross-sectional variance of market-to-asset ratios can be explained by variation in expected stock returns, which may be induced by mispricing. But after 2005, the variance of market-to-asset ratios is mostly correlated to future profitability. As comparison, in the NASDAQ market, which also include lots of high-growth firms, variance in expected investments also cause a large fraction of cross-sectional dispersion of stock valuation, which is similar to the Chinese case. This evidence supports that in a high-growth market, expected investments are more important for stock valuation. |
| 文章编号 | WP1365 |
| 登载时间 | 2019-04-23 |
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