财务困境风险、市场异象与资产定价效率

Financial Distress Risk, Market Anomalies and Market Pricing Efficiency

依据1997年至2008年间的数据,我们将中国A股上市公司按照财务困境风险高低进行区分,通过检验和分析股票市场中存在的规模、B/M和中期动量效应,发现财务困境公司的收益要显著高于非财务困境公司的收益,但并没有证据表明财务困境风险是规模、B/M效应背后的驱动因素,财务困境公司与非财务困境公司在六个月的动量效应表现上并不完全一致。财务困境风险溢价在中国市场上的高区分度说明中国的资本市场对特定风险的定价是有效的。

By making use of the data from 1997 to 2008, this paper classifies China＇s A-share companies in accordance with the degrees of financial distress risks. Through tests and analysis of the size, B/M and medium-term momentum effect existing in the stock market, it is discovered that the earnings of the companies with financial difficulties are significantly higher than that of the companies without financial difficulties, however, no evidence can show that financial distress risk is the driving factor behind the size effect and B/M effect. The companies with financial difficulties are not fully consistent with the companies without financial difficulties in their performances of the six-month momentum effect. The highly distinctive premiums for the financial distress risk in the Chinese market shows that China＇s capital market is effective in pricing the specific risk factors.