宏观经济周期、企业生产与股票资产定价——基于沪市上市公司的经验研究

发布时间：2018-03-27 14:24

本文选题：宏观经济周期　切入点：企业生产　出处：《国际金融研究》2017年05期

【摘要】：本文从中国经济现状出发,尝试在代表性企业跨期生产模型上,首次提出用生产资产比来考察宏观经济周期和企业生产对股票资产定价的影响。研究表明:第一,生产资产比反映了代表性企业根据时变预期收益率做出的生产决策,预期收益率是由宏观经济周期所决定。第二,2000年第一季度至2015年第四季度期间,沪市上市公司的生产资产比和股指收益率呈现出慢涨急跌的均值回归特征,两者存在明显的正相关关系。第三,生产资产比滞后一期和四期对股指收益率具有较强的解释和预测能力,说明企业生产提供股票价值中枢,生产资产比间接测度企业的预期收益率,能显著预测股指收益率对价值中枢的短期偏离程度。
[Abstract]:Based on the current situation of Chinese economy, this paper attempts to use the production-asset ratio to investigate the impact of macroeconomic cycle and enterprise production on the pricing of stock assets in the intertemporal production model of representative enterprises. The production-asset ratio reflects the production decisions made by representative enterprises on the basis of time-varying expected rates of return, which are determined by the macroeconomic cycle. Second, between the first quarter of 2000 and the fourth quarter of 2015, The ratio of production assets to the yield of the stock index of listed companies in Shanghai stock market shows the characteristics of average regression of slow rise and sharp decline, and there is an obvious positive correlation between them. Third, The ratio of production assets to the first and fourth periods has a strong ability to explain and predict the return of stock index, which shows that the production of enterprises provides the center of stock value, and the ratio of production assets indirectly measures the expected rate of return of enterprises. It can predict the short-term deviation degree of the stock index return to the value center.
【作者单位】：四川大学经济学院;
【基金】：四川省社科规划重大招标项目“金融与实体经济协调发展研究”(SC14ZD02)资助
【分类号】：F832.51

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