中国上市银行效率与股票收益的关系研究

The Relationship between Efficiency of China's Listed Banks and Stock Returns

应用DEA窗口分析和面板回归模型研究中国上市银行效率变化与股票收益之间关系的结果显示,无论是技术效率,还是纯技术效率,都与股票收益之间呈现显著的正相关关系,但没有证据表明规模效率与股票收益之间存在相关关系。进一步分析发现,技术效率和纯技术效率都比净资产收益率(ROE)更好地解释股票收益的变化。因此,技术效率和纯技术效率是对股票投资者极为有用的信息。

Based on DEA Window analysis and Panel TOBIT Model,the relationship between the efficiency change of China＇s listed banks and the stock returns indicates that both technical efficiency and pure technical efficiency have positive correlation with stock returns.However,no evidence has been found that scale efficiency change is related with stock returns.Thus,it can be concluded that technical efficiency and pure technical efficiency will better explain the changes of stock returns comparing to ROE,which is one of the traditional measures of accounting profits,and provide the most useful information for shareholders who wish to explain stock returns.