盈利能力、投资者认知偏差与资产增长异象

Prof itability,Investor Cognitive Biases and Asset Growth Anomaly

近期的许多研究表明,股票收益率同滞后期资产增长率存在负向关系,此即著名的资产增长异象。本文以1999-2011年A股上市公司为样本,实证研究了A股市场的资产增长异象,并基于不同市场背景进一步考察了投资者认知偏差能否解释这种异象。研究发现:(1)A股市场整体上存在较弱的资产增长异象,主要由低盈利公司中较强的资产增长异象所致;(2)纵向来看,投资者情绪高涨时,A股市场存在较显著的资产增长异象;(3)投资者情绪高涨时,低盈利公司的资产增长异象最强;投资者情绪低落时,低盈利公司仍存在显著的资产增长异象。本文从投资者认知偏差的视角证明和解释了A股市场的资产增长异象,并为投资者情绪影响资产定价提供了直接证据。

Recently, many researches find that different kinds of as- set growth negatively affect future stock return, which is called as- set growth anomaly. Based on the sample of listed firms in A share market during 1999 and 2011, this paper empirically investigates the existence of asset growth anomaly in A share stock market, and further investigates whether investor cognitive biases can explain this kind of anomaly. We find that： （1） asset growth anomaly in A share stock market is not significant, but asset growth anomaly in low profitability companies is more significant and evident; （2） the asset growth anomaly in low profitability company is most signif- icant and evident when investor sentiment is high, and which is also significant and evident when investor sentiment is low; （3） the asset growth anomaly doesn＇t exist in high profitability company, and investor sentiment doesn＇t affect the asset growth anomaly in high profitability company. In generally, we believe that investor systematically overestimates the value of asset growth in low prof- itability company and the market sentiment has no significant effect on this kind of overestimation. So we conclude that investors＇ over- valuation on the asset growth of low profitability company is the main cause of asset growth anomaly in A share stock market. This paper provides new evidence on asset growth anomaly in emerging stock market and expands the research on asset pricing based on investment. What＇s more, this study proves that investor sentiment can also affect the stock price through the biased evaluation of asset growth. Our findings are useful for companies to make investment decision to maximize the value of the firm, and also helpful for investor to make investment decision in stock market. But the short- coming of this paper is that we do not know which kinds of cogni- tive biases affect the evaluation on asset growth, so it＇s valuable to do more detailed research following the framework of this paper and thus obtain more detailed evidence.