价值溢价:基于上市公司财务基本面的预期差解释

Value Premium: An Explanation of Expectation Error Based on Financial Fundamentals of Listed Firms in China’s A-Share Markets

本文从净市率和财务基本面两个维度刻画了投资者预期差,在行为金融学理论框架下,检验了A股市场投资者预期差和价值溢价的因果关系。研究发现,价值溢价主要存在于基本面质量较好的价值型公司和基本面质量较差的成长型公司这两类非一致预期公司之间,而在基本面质量较差的价值型公司和基本面质量较好的成长型公司这两类一致预期公司之间并不存在价值溢价。进一步,从投资者意见分歧角度研究发现,由于高估值的成长型公司更难以估值,在限制卖空的机制下,股票价格更倾向于反映乐观投资者的估值预期,造成较大的投资者意见分歧,成为预期差形成的重要原因。

This paper investigates how expectation error in behavioral finance affects value premium by considering investors’expectation and firms’fundamentals comprehensively in China’s A-Share Markets.It is found that the value premium exists substantially between value firms with strong fundamentals and growth firms with weak fundamentals.There is no value premium between value firms with weak fundamentals and growth firms with strong fundamentals.I explore how expectation error appears from the notion of difference of opinions among investors.It is found that growth stocks are harder to be valuated and stock prices are more likely to reflect expectation of optimistic investors under short sale restriction mechanism.This makes larger difference of opinions and becomes an important reason for the formation of expectation error.