公开信息与股票回报率相关性的实证研究

苏宝通1,陈炜2,陈浪南3(1,361005;2,518000;3,510275):采用1995年7月~2001年12月中国股票市场的月度数据,考察了公开信息与股票回报率的相关性研究结果发现,公司规模账面市值比现金红利率和流通股比例对中国股票回报率有着显著的影响,而资本结构股票价格市盈率和前一年持股回报率对中国股票回报率影响不显著;还发现四因素模型对中国股票市场存在的规模效应账面市值比效应现金红利率效应和流通股比例效应的解释能力强于资本资产定价模型和三因素模型;通过对Carhart的四因素模型进行改进,即将四因素模型中的前一年回报率因素替换为流通股比例因素,可以增强其解释能力:因素模型;公开信息;股票回报率:F83091:A:1672-0334(2004)06-0067-09AnEmpiricalStudyoftheRelationshipbetweenPublicInformationandMarketActivitiesSUBaotong1,CHENWei2,CHENLangnan3(1CollegeofEconomics,XiamenUniversity,Xiamen361005,China;2PostDoctoralLaboratory,TheShenzhenStockExchange,Shenzhen518000,China;3InstituteforEconomics,ZhongshanUniversity,Guangzhou510275,China)Abstract:ThispaperinvestigatestherelationshipbetweenpublicinformationandstockreturnsbyutilizingthemonthlydatafromChinesestockmarketfromJuly1995toDecember2001.Theresultsclearlyindicatethesizeeffect,booktomarketratioeffect,D/Pratioeffect,liquid-stockshareeffectinChinesestockmarket.ThispaperalsocomparesCAPM,Fama-FrenchsthreefactormodelandCarhartsfourfactormodel.TheresultsshowthatthefourfactormodeloutperformsCAPMorthreefactormodel.TheimprovedCarharsfourfactormodelbysubstitutingthepreviousoneyearreturnfactorforliquidstocksharefactorprovestobethebestmodel.Keywords:Factormodel;Publicinformation;Marketactivities:2004-10-15:(03AJY008);(01JB790026);:(1974-),,,,,:176200412MANAGEMENTSCIENCESINCHINAVol.17No.6December,20041,SharpeLintner(capitalassetpricingmodel,CAPM),,,[1,2]MertonRossICAPMAPT,,[3,4]Roll,[5]EMH,CAPM,20,,[6-11]BanzReinganumNYSECAPM,Banz(smallsize(smallcap)effect);[6,12]BasuE/PCAPM,D/PB/M,(,E/PD/PB/M);[7]FamaFrench131975~1995[13]1993FamaFrench,FamaFrench,,[14],CarhartFamaFrench,,[15],CAPM,;[16]1997~1999,;[17],,;[18];[19];[20];[21][22][23-25],A,CAPM,,,,Carhart,,22.1,Fama-Macbeth,,,;,,t;,t2.2,,,,65,,1,4;,,,6;,2.3CAPM68200412CAPM,CAPMRit-Rft=ai+bi(RMt-Rft)+itt=1,2,,T(1)Rit-Rft=ai+bi(RMt-Rft)+siSMBt+hiHMLt+itt=1,2,,T(2)Rit-Rft=ai+bi(RMt-Rft)+siSMBt+hiHMLt+piPR1YRt+itt=1,2,,T(3),Ritti;Rftt;RMttA;SMBtt;HMLtt;PR1YRtt;ai;bisihipi;itSMBtHMLt:6,(BS),(HML),30%,40%;6(BHBMBLSHSMSL),,,,6;6tSMBHML,SMBt=(SH+SM+SL)t3-(BH+BM+BL)t3HMLt=(SH+BH)t2-(SL+BL)t2PR1YRt:,(HML),30%,40%;,,,;3tPR1YR,PR1YRt=Ht-Lt2.4Carhart,,Rit-Rft=ai+bi(RMt-Rft)+siSMBt+hiHMLt+liLSTSt+itt=1,2,,T,LSTStt;li;LSTSt:,(HML),30%,40%;,,,6;3tLSTS,LSTSt=Ht-Lt3,1995,,,,19957~200112,,19967~2001,66,A,44.1,(ME),6,6Rit=t+tlnMEit+iti=1,2,,N,(BE)/(ME),6,Rit=t+tln(BEME)it+iti=1,2,,N,,(E)/(P),6,6,6961Fama-MacbethTME-0.0134590920.003185264-4.225423917BE/ME0.0127493280.0075669451.684871235E/P-0.137072580.146570968-0.935195978E/Pdummy0.0086348060.0077385771.115813101A/BE0.0004475640.0027816750.160897205LS/TS0.0053211740.003247191.638701119D/P0.2845849060.1449153341.963801199D/Pdummy0.0082168060.005586711.470777248P-0.0143982270.009679233-1.487538124PR1YR0.0012615570.0045737840.275823504,1,,Rit=t+1t(EP)it+2t(EPdummy)it+iti=1,2,,N,(A)/(BE),6,Rit=t+tln(ABE)it+iti=1,2,,N,(LS)/(TS),6,6Rit=t+tln(LSTS)it+iti=1,2,,N,(D)/(P),6,6Rit=t+1t(DP)it+2t(DPdummy)it+iti=1,2,,N,(P),,Rit=t+tlnPit+iti=1,2,,N,(PR1YR),,11(:2000619997~20005)Rit=t+tPR1YRit+iti=1,2,,N1Fama-Macbeth1,(ME),T-4.23,Fama-Macbeth,,;(BE/ME)0.05,T1.68,Fama-Macbeth,,,;(LS/TS)0.05,T1.64(LSTST0.053),Fama-Macbeth,,;(D/P),D/PT1.96,,0.05,,T1.47,0.05,(D/P)0.05,,,,(E/P)(A/BE)702004122TME10.0372503860.0138459542.69034436820.0286840010.0124292522.30778165330.0211491040.0116830771.81023401140.0157146640.011019781.42604158950.0069977950.0100214930.698278705BE/ME10.0086719880.0108374350.80018822320.0092636850.0104923070.88290263330.0153312710.0105195671.45740514640.0167700570.0113366371.47927974650.0230121610.0118051871.949326218LS/TS10.0101477740.0098159721.03380226920.0163670580.0108241461.51208766730.0155278190.0106952241.45184597840.0186795260.0121658591.53540552250.020397290.0130739331.56014951D/P10.0150936850.0119852071.25935956620.0047735210.0100623440.47439453330.0092753180.0105066130.88280767340.0154705450.0116076991.33278305850.021091790.0107770821.957096581(P)(PR1YR)T-0.940.16-1.490.28,0.05,(E/P)(A/BE)(P)(PR1YR)4.2,22:(1),,19967~200112(ME1)(ME5)3.025%;(2),,19967~200112(BE/ME5)(BE/ME1)1.434%;(3),,,19967716~200112(D/P5)(D/P2)1.632%;(4),,19967~200112(LS/TS5)(LS/TS1)1.025%,4.3CAPMCAPM,CAPM(1)(2)(3)33CAPMCAPMaibiA-R2aibisihiA-R2aibisihipiA-R2ME10.02261.230.687-0.0021.081.2390.2850.97-0.0021.081.2370.2750.1220.9722.898512-0.6632.915.825.807-0.6033416.435.792.49820.01451.180.784-0.0021.070.8510.2220.959-0.0021.070.8480.2120.1210.9622.493915.4-0.89131.210.394.328-0.84332.110.734.2472.36230.00741.130.812-0.0051.050.540.2840.94-0.0051.050.5360.2680.1840.9481.454816.8-1.52427.15.8254.886-1.52928.86.2194.9333.29840.00211.110.888-0.0041.070.2620.2020.937-0.0041.060.2580.1880.1650.9440.571822.7-1.45528.42.9113.59-1.44429.93.0493.5223.0285-0.0061.040.939-0.0031.06-0.290.2080.956-0.0031.05-0.290.1930.1690.966-2.39531.6-1.3137-4.244.846-1.33941.5-4.885.074.326BE/ME1-0.0051.090.8860.00031.12-0.17-0.210.9230.00071.1-0.17-0.230.270.945-1.29322.50.0827.2-1.71-3.430.264331.7-2.1-4.55.0342-0.0041.090.934-0.0081.060.263-0.1