有限套利能否解释A股市场资产增长异象

Does Limits-to-arbitrage Explain Asset Growth Anomalies in A-Share Market

近年来,大量研究发现,资产增长与未来股票收益之间呈负向关系,这就是资本市场上著名的资产增长异象。本文以2000-2010年A股上市公司为样本,实证考察了资产增长异象在A股市场的表现形式,并考察了投资者成熟度、信息透明度、套利风险及套利成本四类套利局限性因素能否解释这种异象。研究发现:(1)A股市场的资产增长异象不同于成熟资本市场,表现为总资产增长率正向影响未来股票超额收益率;(2)股价同步性所体现的套利风险、三年期操控性应计所体现的公司信息透明度及Amuhuid的非流动性指标所体现的套利成本,均能解释这种异象,而体现投资者成熟度的机构投资者持股比例并不能对这种资产增长异象做出解释。

In recent years, there are many studies indicated that different kinds of asset growth negatively affect future stock return in maturity capital market, which is called asset growth anomaly. Based on the financial and market trading data of listed compa- nies in A-share market from 2000 through 2010, we empirically study how asset growth anomaly manifests in A-share market, and further investigate wheiher shareholder sophistication, arbitrage risk, information uncertainty, and potential transaction costs can explain the asset growth anomaly in A-share market. We find that： （1） different with maturity capital market, asset growth positively affect future stock return in A-share market; （2） arbitrage risk, which is measured by idiosyncratic stock return volatility, infor- mation uncertainty, which is measured by average value of three years manipulated accounting accruals and arbitrage cost, which is measured by Amuhuid illiquidity index, all can explain the asset growth anomaly in A-share market; （3） shareholder sophistication, which is measured by institutional ownership, cannot explain the asset growth anomaly in A-share market. The results above are all robust under different robust tests. In short, the manifestation of asset growth in A-share market is different from maturity capital market, arbitrage cost and arbitrage risk can explain this kind of anomaly, but shareholder sophistication cannot explain this anoma- Ly. This study has important implications. First, these results of this 3aper reveals that arbitrage cost and arbitrage risk have important fffect on the allocation of rare economic resource. Second, share- 1older sophistication cannot help to eliminate the asset growth ,nomaly in A-share market, which implies that the institutional nvestors in A-share market are also not completely rational. Third, his paper also expands the research of asset anomaly region and reproves our understanding of asset growth anomaly. Finally, the esearch method and research view in this paper can also be used for reference in other anomaly research.