价格收益率与全要素生产率及信用等级的关系研究

A Study on the Relationship among Stock Return,TFP and the Credit Rating

首先利用索洛余值法计算了2001-2015年上市公司的全要素生产率,发现在2008年金融危机后,我国上市公司全要素生产率出现了分化,其中以互联网电子信息为代表的民营资本活跃、竞争充分且科技含量较高的产业TFP显著改善,部分劳动密集型产业和国有垄断企业则出现了TFP下滑。然后,通过收益率、TFP和信用指数的分布情况分析资本市场的效率,发现股票价格收益率并没有反映企业TFP的变化情况,甚至在部分年份出现了背离。实证分析结果发现,非国有企业的TFP效率提高会带动股票价格上涨,而国有企业则不然,其TFP效率的变化对股票价格影响并不大,因此成为阻碍中国资本市场资源配置效率改善的重要因素。

The paper uses listed companies＇ financial reports during 2001 to 2015 to calculate the total factor productivity （TFP） by using Solow residual method. We introduce the conception of user cost and estimate the price of capital service, which makes the estimation of capital input more precisely. The results show that the TFP performance of listed companies appeared differentiation after the financial crisis in 2008.For example, the ICT industry which gathered lots of competitive and high-tech private companies, shows some improvement in its productivity performance. But some labor-intensive industries and state-owned industries demonstrate a trend of stagnation or decline in total productivity. We also use the distribution of stock price returns,TFP, and credit ratings to figure out the resource allocation efficiency of capital market. It has been found that the change of price returns does not reflect the fluctuation of TFP and credit ratings. The regression result shows that the stock returns of state-owned companies have no significant relations with the TFP level,but the price returns of private companies can reflect the change of TFP. In a word, the SOE is the main cause of distortion of resource allocation in capital market.