股票回报:非线性与线性剩余收益模型的比较——来自中国A股市场的实证分析

Stock Return:A Comparison between Linear Residual Income Model and Non-linear Residual Income Model——Evidence from Chinese A-share Market

基于Ohlson(1995)的线性剩余收益定价模型和Zhang(2000)的非线性剩余收益模型,考察了沪深两市A股1999—2008年度10年间的回报与会计信息之间的相关性。主要研究了盈利回报率、盈利回报率变化、净资产账面价值变化、净资产收益率变化和增长机会对股价回报的解释能力。通过比较两种模型的解释能力和适用性,分析中国市场的特性,并为非线性剩余收益提供进一步的证据。研究结果发现:非线性剩余收益模型对于中国市场的解释能力更强,多年总体样本解释能力为22.4%;盈利回报率、净资产收益率变化以及增长机会与股票回报具有显著正相关关系。

model from Based on the linear residual income model from Ohlson （ 1995 ） and the non-linear residual income Zhang （2000）, the relationship between stock returns of A-share market and accounting variables in 1999--2008 is investigated. This study derives returns as functions of earnings yield, changes in earnings yield, changes in net asset, changes in ROE and growth opportunity. By comparing the explaining power and applicability of these two models, this study analyzed the traits of Chinese market and provided more evidences for non-hnear residual income relationship. The non-linear residual model explains 22. 4% of cross-sectional sample, which is stronger than that of linear residual income model;earnings yield, changes in ROE and growth opportunity have significant positive relation with stock return.