资本支出、公司规模与账面市值比效应——基于A股上市公司的研究

Capital Investment, Firm Size and Book-to-Market Anomaly: Empirical Evidence from China' s Stock Market

基于成熟资本市场的理论及实证研究表明,在不确定的环境下,公司最优资本支出提高了市场价值,降低了账面市值比,账面市值比对收益率的预测作用可以通过公司的最优投资行为来解释。基于这一机制,本文对我国上市公司规模、资本支出及账面市值比效应进行了研究。我们发现,第一,按照Fama-French(1992,1993)方法构建投资组合的潜在条件同样是公司前期的资本支出,本期资本支出在提高公司市场价值的同时,非但没有降低反而提高了小规模组公司期末账面市值比;第二,控制规模的情况下,资本支出较显著降低了公司的预期收益,在大规模公司中表现最明显;第三,本期资本支出对规模效应具有一定解释力,但对账面市值比效应并不具有显著解释力;第四,我国上市公司股票价格变动更多由会计业绩变动决定而非风险变动所决定,据此对上述发现作出了尝试性的解释。

Theories and empirical evidences based on the maturity market show that company＇s optimal capital investment can reduce the systematic risk of the firm, improve the market equity value, and thus reduce the book-to-market value of equity, and the BM anomaly can be explained by the optimal investment. Based on the theory, we study the relationship between firm size, investment and BM anomaly. We obtain some new findings. First, the portfolios＇ sorted by Fama-French（1992,1993）meth- ods is implied conditioned on the firms＇ capital investment, and the capital investment can improve the firm＇s current period market value, but this does not improve the firms＇ BM consequently. Second, controlling for the firms size, capital investment can significantly reduce the firm＇s expected market value. Third, capital investment can explain the size effect, but it can not explain the BM effect. Finally, we find that the variations of common stock market price can be determined by the variations of the accounting performance but risk.