摘要
根据关于账面市值比效应的财务风险论和过度反应论分别推导了账面市值比与盈余-回报相关性的关系,以A股上市公司为样本做了分组研究。实证结果支持过度反应论,没有证据支持财务风险论。对高BM值和低BM值的公司,当前期的过度反应在本期得到纠正时,盈余-回报相关性强,否则盈余-回报相关性弱;对期初BM值居中的公司,如果本期没有发生过度反应,那么盈余-回报相关性强,否则盈余-回报相关性弱。在短期内,账面市值比效应并不普遍存在。
The relation between the book-to-market and earnings-return association has been deduced in this paper based on financial crisis theory and overreaction theory. Empirical study has been done with firms from China A share market. The results support financial crisis theory, and no evidence is found to support overreaction theory. As to the high or low book-to-market firms, if the overreaction has been corrected, the earnings-return association is high. Otherwise it is low. As tothe firms with moderate book-to-market, if no overreaction occurs, the earnings-return association is high. Otherwise it is low. At last, the book-to-market effect is not universal in short-time period.
基金
对外经济贸易大学‘211工程’三期重点学科建设项目"‘走出去’战略中企业信用评价相关法律制度研究"(项目号:73400050)的阶段性研究成果
关键词
账面市值比
盈余
相关性
过度反应
Book-to-market
Earnings
Association
Overreaction
