盈余、资产质量与银行股价预测力——基于中国16家上市银行的实证检验

Earnings, Asset Quality and the Ability to Predict the Prices of Bank Stocks——An Empirical Test Based on Chinese 16 Listed Banks

本文采用小波分析法分别考察盈余和资产质量两类财务信息对银行股价的预测力。研究发现,盈余信息可作为预测未来短期银行股价的有效依据,预测力在"熊市"更显著。单个盈余指标对银行股价的有效预测频域多限于半年内,其中每股净利润对股价预测的效果最好,能有效预测未来短期和中期的股价波动,而总资产报酬率的解释力相对较小。资产质量信息对银行股价的有效预测主要在未来中长期,单个指标对股价的预测在2012年之后显著,其中,资本充足率对股价的预测较为显著,但不良贷款率的解释作用则很微弱。

The authors of this paper use the Wavelet Method to examine the ability of earnings and asset quality, the two kinds of financial information, to predict the prices of bank stocks. It is found that the earnings information can be used as an effective basis to predict the prices of bank stocks in the future short-term, and the ability is more significant in ＂bear market＂; the single earning index can predict the prices of bank stocks only within half a year, and the ability of the net profit per share is the best and it can effectively predict the fluctuation in stock price in the short or medium term; the ability of return on total assets is relatively low; the prediction of the asset quality information is effective only in the future medium or long term, and the single index can predict significantly only after 2012;the ability of capital adequacy ratio is more significant, but the exlalanatoryv ability of non-performing-loan rate is low.