银行借款信息的有用性与股票投资回报——来自A股上市公司的经验证据

The Availability of the Information in Debt Contracts and the Stock Returns:Evidence from A-Share Listed Companies

作为国内最大的金融中介机构,银行在资源配置方面发挥着重要的作用。本文以上市公司披露的长期借款信息为研究对象,发现银行作为中介机构具有一定的信息优势,银行借款信息能够预测公司未来的财务业绩。本文还发现,政府干预并未显著降低银行借款信息的有用性。在此基础上,本文利用银行借款信息构建了对冲策略,买入获得信用借款且借款利率不高于央行设定的基准利率的公司,卖出获得非信用借款且借款利率高于央行设定的基准利率的公司,该对冲策略可获得显著的超额回报。这说明中国证券市场的投资者并未完全理解银行借款所包含的信息。

As the biggest financial intermediation in China, commercial banks play an important role in resources allocation. In this study, the authors investigate the usefulness of information in debt contracts disclosed by listed companies, and find that debt contracts information can predict companies＇ future financial performance. Also, the paper finds that government intervention does not impair the usefulness of information in debt contracts. Thus the paper proposes a trading strategy that can generate significant abnormal return. Finally, the paper concludes that the investors in China＇s securities market are not yet to fully understand the information in debt contracts.