科技创新与生产力
科技創新與生產力
과기창신여생산력
SCI-TECH INNOVATION & PRODUCTIVITY
2014年
3期
33-37
,共5页
资本资产定价%资产增长效应%过度外推
資本資產定價%資產增長效應%過度外推
자본자산정개%자산증장효응%과도외추
capital asset pricing model%assets growth effect%excessive extrapolation
以1992-2011年所有上市公司为研究对象，构造了7个表示企业成长性的指标，用分组做差法分别检验其是否对股票收益产生影响，并从7个指标中选取对股票收益预测能力最强的指标---总资产增长率，将其与股票收益率进行FM回归得出总资产增长率与股票收益的负向关系。目前对于资产增长效应原因的解释主要有两大类，分别是基于理性投资的解释和基于行为金融（错误定价）解释。实证研究发现，资产增长效应与未来公司的投资状况有关，说明我国证券市场支持错误定价解释。
以1992-2011年所有上市公司為研究對象，構造瞭7箇錶示企業成長性的指標，用分組做差法分彆檢驗其是否對股票收益產生影響，併從7箇指標中選取對股票收益預測能力最彊的指標---總資產增長率，將其與股票收益率進行FM迴歸得齣總資產增長率與股票收益的負嚮關繫。目前對于資產增長效應原因的解釋主要有兩大類，分彆是基于理性投資的解釋和基于行為金融（錯誤定價）解釋。實證研究髮現，資產增長效應與未來公司的投資狀況有關，說明我國證券市場支持錯誤定價解釋。
이1992-2011년소유상시공사위연구대상，구조료7개표시기업성장성적지표，용분조주차법분별검험기시부대고표수익산생영향，병종7개지표중선취대고표수익예측능력최강적지표---총자산증장솔，장기여고표수익솔진행FM회귀득출총자산증장솔여고표수익적부향관계。목전대우자산증장효응원인적해석주요유량대류，분별시기우이성투자적해석화기우행위금융（착오정개）해석。실증연구발현，자산증장효응여미래공사적투자상황유관，설명아국증권시장지지착오정개해석。
Taking all the listed companies from 1992 to 2011 as the research objects, the paper was constructed 7 indexes showed enterprise growth, testing impact on stock returns by using poor grouping method respectively; secondly, seven indica-tors were selected for their ability to predict stock returns the strongest indicators, total assets growth rate, with the stock yield FM regression total assets growth rate and stock returns a negative relationship. At present, there are two major cate-gories to explain reasons of asset growth effect, which was based on the rational explanation investment and based on behav-ioral finance (mispricing). Empirical studies have found that asset growth effect was related to future investment condition of company, which explained that securities market in China supported mispricing.
