非预期资产增长，过度投资与股票收益

发布时间：2018-12-11 05:06

【摘要】：我国的股票市场虽然起步较晚,但自成立以来发展迅速。随着上市公司的增多,股票市场不断发展壮大,融资证券化趋向越来越明显,股票市场在国民经济中所起的作用越来越大,资源的合理配置更多地依赖于股票市场的价格机制来实现。然而,越来越多的经验证据告诉我们,现实中的股票市场似乎并没有发挥出优化配置资源的功能,股票市场对实际投资活动的定价存在一定的偏差。公司资产规模的扩张与其随后的股票收益率呈负相关关系,我国的股票市场上存在显著的资产增长异象(Asset Growth Anomaly)。本文在Titman, Wei and Xie等学者的研究基础上,以1998年至2010年为样本区间,利用我国上海、深圳证券交易所A股上市公司的财务数据和股票交易数据,对造成我国股票市场上的资产增长异象的动因做进一步研究验证。文章主要运用SAS计量软件,用Fama-Macbeth横截面回归分析方法进行实证分析。用总资产增长率作为资产规模变化的替代变量,根据拓展的托宾Q理论,将总资产增长率分为预期的资产增长部分(PAG)和非预期的资产增长部分(RAG)。按照非预期资产增长的正负又将其分为过度投资(RAG0)和投资不足(RAG0)两部分。文章分别验证了预期资产增长和非预期资产增长,以及正的和负的非预期资产增长与股票收益之间的相关关系,并重点讨论了在控制了系统性风险因素和股票的错误定价的影响之后资产增长异象的过度投资解释,探究造成我国资本市场上资产增长所带来的股票超常低收益的真正动因。对我国股票市场的实证检验表明,在整个样本期间(1998至2010年),我国股票市场上存在显著的总资产增长效应,在控制了系统性的风险因素及股票的错误定价等相关定价因素后,总资产增长仍负向影响着未来的股票收益。2006年的股权分置改革解决了我国股票市场存在的诸多问题,公司的股权结构发生重大变化,资本市场的运作效率也得到明显的提高。对资产增长异象的分解研究结果显示,在1998至2005年间,非预期和预期的资产增长对未来股票收益均没有显著的影响。在2006年至2010年间,在控制了系统性的风险因素以及权益的错误定价因素等相关定价因素的影响之后,非预期的资产增长对未来的股票收益具有显著为负的影响,且这种负相关关系仅在存在过度投资的公司中显著。这一结果说明过度投资解释对于我国股票市场上存在的资产增长异象成立。投资过度所造成的无效率投资对未来的股票收益有显著为负的影响,投资不足所引起的非效率投资对资产增长异象的影响则不显著。对我国股票市场上资产增长异象的过度投资解释,一方面可以给投资者提供一种基本的投资策略,另一方面,对完善上市公司治理,促进股票市场健康发展也提供了一定的政策建议。本文还有许多不足之处。文章对我国股票市场上存在的资产增长异象给出了过度投资的解释,但对于究竟是什么造成了公司的过度投资没有进一步进行研究。此外,不同行业的上市公司的投资特征不同,造成其资产增长异象的动因也有所不同,文章的实证研究没有涉及这一方面。这些都有待于进一步研究。
[Abstract]:Although the stock market of our country is very late, it has developed rapidly since its establishment. With the increase of the listed companies, the stock market is growing, and the securitization trend of the financing is becoming more and more obvious. The role of the stock market in the national economy is becoming more and more important, and the rational allocation of the resources is more dependent on the price mechanism of the stock market. However, more and more empirical evidence tells us that the stock market in reality does not appear to have the function of optimizing the allocation resources, and the stock market has a certain deviation to the pricing of the actual investment activity. The expansion of the size of the company's assets has a negative correlation with its subsequent stock yield, and there is a significant asset growth anomaly in the stock market of our country. Based on the research of the scholars such as Titman, Wei and Xie, this paper takes the data of the financial data and stock trading of the AShare listed company of Shanghai and Shenzhen Stock Exchange in China from 1998 to 2010 as the sample interval. Further research and verification on the cause of the abnormal growth of the asset growth in the stock market of our country, according to the report. The paper mainly uses the SAS measuring software, and uses the Fama-Macbeth cross-sectional regression analysis method to carry out the empirical analysis. The total assets growth rate is divided into the expected asset growth part (PAG) and the non-expected asset growth part (RAG) according to the extended Tobin Q theory.). It is divided into over-investment (RAG 0) and underinvestment (RAG0) in terms of the positive and negative of the non-expected asset growth The article examines the correlation between expected asset growth and non-expected asset growth, as well as positive and negative non-expected asset growth and stock returns, respectively On the other hand, the paper mainly discusses the over-investment explanation of asset growth, after controlling the influence of the systemic risk factors and the error pricing of the stock, and probes into the real movement of the super-normal and low-income of the stock brought by the growth of the assets in the capital market of our country. The empirical test of China's stock market shows that, during the whole sample period (1998-2010), there is a significant increase in total assets in the stock market of our country, and the relevant pricing such as the systemic risk factors and the mispricing of the stock is controlled. After the factors, the growth of total assets is still negatively affecting the future stock returns. In 2006, the equity division reform has solved many problems in the stock market of our country. The equity structure of the company has changed greatly, and the operation efficiency of the capital market is also obvious. The results of the analysis of the difference image of the asset growth show that, during the period 1998-2005, the non-expected and expected asset growth has no significant effect on the future stock returns The impact of non-expected asset growth on future stock returns has a significant negative impact on future stock returns after the impact of relevant pricing factors, such as systematic risk factors and mispricing factors for equity, between 2006 and 2010. The effect of this negative correlation is only in the presence of over-investment companies The result shows that over-investment interpretation is different from the asset growth in the stock market of our country The unefficiency investment caused by the excessive investment has a negative effect on the future stock returns, and the effect of the non-efficiency investment caused by the insufficient investment on the difference image of the asset growth It is not obvious. It can provide a basic investment strategy to the investors on the one hand, on the one hand, to improve the governance of the listed companies and to promote the healthy development of the stock market. That's a suggestion. It's still here. There are many shortcomings. The paper gives an explanation of the over-investment in the growth of the assets in the stock market of our country, but what is the cause of the over-investment of the company is not in the first place. In addition, the characteristics of the investment of the listed companies in different industries are different, and the cause of the different image of the assets is different, and the empirical research of the article is not involved. and in this respect, these are to be
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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