中国股票市场资产增长效应存在性的实证分析

The Empirical Analysis of the Existence of Asset Growth Effect in the Stock Market of China

资产增长效应的存在对市场有效性理论提出了挑战,近年来该异象受到金融学界的关注。然而截至目前,关于我国股票市场资产增长效应的研究却很少,而且得出的结论也存在很大差异,鉴于此,选取总资产增长率等5个具有代表性的资产增长度量指标,以1994-2012年沪、深交易所非金融类上市公司为样本,使用分组方法、时间序列回归方法以及法马-麦克白斯(Fama-MacBeth)横截面回归的方法,分析了我国股票市场中资产增长和未来股票收益之间的关系。研究结果表明,资产增长与股票收益之间存在负相关关系,而且在控制了规模、账市比效应后,资产增长与股票收益之间负相关关系仍然显著存在,这表明我国股票市场存在显著的资产增长效应。

Because the existence of asset growth effect put forward challenge to Market Efficiency theory, financial circles concern this anomaly. But up to now, there are few researches on the asset growth effect in the stock market of China, and the conclusions are very different. The paper selects five typical measures which include total asset growth, upon the sample dating from 1994 to 2012 of non-financial listed company in Shanghai and Shenzhen Stock Exchanges, and uses the sorts method, time-series regression and Fama-MacBeth cross-section regression to analyze the relation between asset growth and the expected stock return. The result shows that there is a negative relation between asset growth and stock return, even after the control of size and BM the negative relation between asset growth and stock return remains significant. This means there is a significant asset growth effect in the stock market of China.