资本市场效率与资产增长异象:源于“错误定价”还是“风险”

Market Efficiency and Asset Growth Anomaly in China:Mispricing or Risk-pricing?

中国资本市场上是否存在资产增长异象?如果存在,其究竟是由错误定价还是风险变动引起?这是近年来金融经济学研究的热点问题,关系到资本市场能否为金融资产进行正确定价。本文以1998-2013年沪深两市A股上市公司为研究对象,深入考察了中国资本市场上的资产增长异象问题,并在此基础上对"错误定价假说"和"风险定价假说"的解释能力做了对比分析。研究结果显示,中国资本市场上存在明显的资产增长异象,且以总资产增长率为代表的资产增长代理指标在捕捉该异象方面具有最佳的优势。对两大假说的对比研究发现,"错误定价假说"中的"过度投资假说"和"市场择时假说"对中国资产增长异象的成因具有较强的解释能力,但"有限套利假说"的解释能力则相对较弱;而"风险定价假说"则没能得到中国资本市场数据的支持。这说明,中国资本市场上的资产增长异象主要是由投资者对市场信息的反应存在系统性偏差而不是风险变动导致的。

Is there asset growth anomaly in China＇s capital market？ Is the anomaly caused by compensation for risk？ These are all hot issues in financial economics and are crucial for whether the capital market can price financial asset correctly. Using Chinese listed companies＇ data over the period of 1998-2013, this paper empirically tests the asset growth anomaly in China and conducts a comparison analysis on the explanatory power of Mispricing Hypothesis and Risk-pricing Hypothesis. The results show that there exists asset growth anomaly in China＇s capital market and the asset growth indices which are represented by total asset growth rate are the strongest predictor of future returns for this anomaly. In Mispricing Hypothesis, the over-investment hypothesis and market timing hypothesis can better explain China＇s asset growth anomaly, while the limits arbitrage hypothesis is weak in explaining the anomaly. Risk-pricing Hypothesis cannot get support from the data of China＇s capital market. In conclusion, the asset growth anomaly in China is mainly caused by the systematic bias of investors＇ reaction on market information rather than risk changes.