融资融券制度与资产增长效应

发布时间：2018-01-03 12:16

本文关键词：融资融券制度与资产增长效应　出处：《会计研究》2017年06期 　论文类型：期刊论文

【摘要】：关于资产增长效应的成因,学术界存在错误定价与理性预期两种解释,本文以我国推出融资融券制度的准自然实验来区分这两种假说。本文的研究发现,在我国推出融资融券制度后,资本市场出现了明显的资产增长效应,且这种效应仅体现在可卖空公司中,这说明资产增长效应随着定价效率的提高而增强,而不随套利难度的提高而增强。此外,本文的研究还发现,不论是否可卖空,过度投资、择时融资和盈余管理这些与错误定价相关的因素对资产增长效应均不产生影响。本文的研究结果与理性预期假说相符,而不支持错误定价假说。本文不仅揭示了我国资本市场资产增长效应的表现形式与变化趋势,也为资产增长效应的成因这一理论命题提供了新的证据。
[Abstract]:As to the cause of asset growth effect, there are two explanations in academic circles: mispricing and rational expectation. This paper distinguishes these two hypotheses by the quasi-natural experiment of introducing margin and margin system in China. After the introduction of the margin financing system in China, the capital market has an obvious asset growth effect, and this effect is only reflected in the short-selling companies, which indicates that the asset growth effect increases with the improvement of pricing efficiency. And not with the increase of arbitrage difficulty. In addition, this study also found that, whether or not short-selling, over-investment. Timing financing and earnings management, which are related to mispricing, have no effect on asset growth. The results of this paper are consistent with the hypothesis of rational expectations. This paper not only reveals the manifestation and trend of asset growth effect in China's capital market, but also provides new evidence for the theoretical proposition of the cause of asset growth effect.
【作者单位】：暨南大学管理学院;
【基金】：国家自然科学基金面上项目(71672077) 广东省哲学社会科学十二五规划项目(GD15CYJ07)的资助
【分类号】：F832.51
【正文快照】： 一、引言资产增长效应是近年来学术界发现的一种重要的资本市场现象,它表明公司资产的增长与其后一期股票收益率负相关(Fama and French,2006、2008)。资产增长对收益率的跨期间影响揭示了公司的投资决策对股票收益率的影响模式,然而关于其形成原因,仍然富有争议。资产增长

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