公司特征指标对中国股票市场横截面收益预测能力的实证研究

发布时间：2018-01-31 06:02

本文关键词： 公司特征指标变量收益可预测性横截面股票收益中国股票市场　出处：《中国科学技术大学》2017年硕士论文　论文类型：学位论文

【摘要】：中国股票市场近年来发展迅猛,在中国的经济增长中扮演着越来越活跃的角色。本文旨在检验中国A股市场横截面收益率的可预测性,并与美国股票市场进行对比。我们选取了 15个公司层面的特征指标作为变量,现有文献已经发现这些指标在美国股票市场上具有预测横截面股票收益的能力。我们的目的是检验这些变量是否可以在中国股票市场预测横截面股票收益,并与美国股票市场的检验结果进行对比,样本的时间区间为1996-2015年。通过资产组合分析和Fama-MacBeth横截面回归分析,我们发现中国股票市场的收益可预测性是相对较弱的。对中国A股市场和美国股票市场进行相同的实证检验,经Fama-French三因子模型调整后的收益率结果显示,在中国,只有五个公司层面的特征指标变量可以显著预测股票横截面收益;而在美国股票市场,十一个变量可以显著解释横截面股票收益的变化。因此,中国的股票市场存在收益可预测性,但是这个可预测性比美国股票市场要弱。收益可预测性通常被看作是市场无效率的标志,但中国A股市场的弱可预测性似乎不太可能归因于较高的市场效率。我们对中国股票市场的弱可预测性提出了两种可能的解释,并分别进行检验。一个可能的解释是收益预测因子在中国股票市场中的同质性比在美国股票市场中更强;另一个可能的解释是在中国股票市场中股票价格的无效率程度比较高,股价持续地存在大量噪音。我们的实证结果显示,收益预测因子在中国市场中的同质性确实比在美国市场中强,但这不是中国股票市场可预测性弱的全部原因,较低的收益可预测性也和较低的价格有效性相关。
[Abstract]:The stock market in China has developed rapidly in recent years and plays an increasingly active role in China's economic growth. This paper aims to test the predictability of cross-sectional returns in China's A-share market. And compared with the American stock market, we selected 15 corporate level characteristic indicators as variables. The existing literature has found that these indicators have the ability to predict cross-sectional stock returns in the US stock market. Our purpose is to test whether these variables can predict cross-sectional stock returns in Chinese stock markets. And compared with the test results of the American stock market, the time interval of the sample is 1996-2015. Through portfolio analysis and Fama-MacBeth cross-section regression analysis. We find that the return predictability of Chinese stock market is relatively weak. The return rate adjusted by Fama-French three-factor model shows that in China, only five characteristic index variables at firm level can significantly predict cross-section returns. In the American stock market, eleven variables can explain the change of cross-section stock return significantly. Therefore, the Chinese stock market has the predictability of return. But this predictability is weaker than in the U.S. stock market. Earnings predictability is often seen as a sign of market inefficiency. However, the weak predictability of China's A-share market seems unlikely to be attributed to higher market efficiency. We offer two possible explanations for the weak predictability of China's stock market. One possible explanation is that the homogeneity of income forecasting factors in Chinese stock market is stronger than that in American stock market. Another possible explanation is that there is a high degree of inefficiency in the stock market in China, and the stock price continues to have a lot of noise. Our empirical results show that. The homogeneity of earnings forecast factor in Chinese market is stronger than that in American market, but this is not the whole reason for the weak predictability of Chinese stock market. Lower earnings predictability is also related to lower price efficiency.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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