论文部分内容阅读
近年来,大量研究发现,资产增长与未来股票收益之间呈负向关系,这就是资本市场上著名的资产增长异象。本文以2000-2010年A股上市公司为样本,实证考察了资产增长异象在A股市场的表现形式,并考察了投资者成熟度、信息透明度、套利风险及套利成本四类套利局限性因素能否解释这种异象。研究发现:(1)A股市场的资产增长异象不同于成熟资本市场,表现为总资产增长率正向影响未来股票超额收益率;(2)股价同步性所体现的套利风险、三年期操控性应计所体现的公司信息透明度及Amuhuid的非流动性指标所体现的套利成本,均能解释这种异象,而体现投资者成熟度的机构投资者持股比例并不能对这种资产增长异象做出解释。
In recent years, a large number of studies have found that there is a negative relationship between asset growth and future stock returns. This is a well-known vision of asset growth in capital markets. This paper takes the 2000-2010 A-share listed companies as a sample to empirically examine the form of asset growth in the A-share market and to examine the limitations of four types of arbitrage such as investor maturity, information transparency, arbitrage risk and arbitrage cost Can explain this vision. The findings are as follows: (1) The abnormal growth of assets in A-share market is different from that of mature capital markets, showing that the growth rate of total assets positively affects the excess return of stock in the future; (2) The transparency of corporate information embodied in manipulative accruals and the arbitrage costs embodied in Amuhuid’s non-liquidity indicators explain this vision, and the institutional investors’ shareholding that reflects investor maturity does not justify this asset Explain the growth vision.