S/P、D/E、BV/MV、MVE谁更具有解释力

S/P, D/E, BV/MV, MVE, which is more explanatory

国外的一些研究发现,账面市值比(BV/MV)、净市值(MVE)可以解释股票的横截面收益的波动;另外,国外也有一些学者研究发现其他的两个变量资产销售比率(S/P)和资产负债比率(D/E)比BV/MV、MVE拥有更大的解释力度。以上的研究均是基于NYSE的数据。本文应用中国市场的数据,研究以上四个因素对股票收益的解释力度,发现S/P拥有最强的解释力度,D/E拥有最弱的解释力度,D/E的解释力度可以完全被S/P捕获。这说明资本结构(D/E)对股票收益没有解释力度,S/P、BV/MV、MVE在对中国市场的横截面收益波动的解释中发挥了主要作用。

Many studies have documented that the cross-sectional volatility of stock returns can be predicted by the book value to market value ratio （BV/MV） and the market value of equity （MVE）. Other researchers argued that sales to price ratio （S/P） and the debt to equity ratio （D/E） have more explanatory power than BV/MV and MVE in explaining the crosssectional volatility of stock returns. These results are based on NYSE＇ s data. In this article, we studied the four factors＇ explanatory power by using data from China stocks market. We found that： （1） S/P has the most significant explanatory power beyond the other three factors. （2） D/E has the weakest explanatory power among the four factors. （3） S/P, BV/MV and MVE play very important roles in predicting cross-sectional volatility of stock returns in China.