财务困境风险、资产定价效率与动量效应——来自我国科技类上市公司的经验证据

Financial Distress Risk, Asset Pricing Efficiency and Momentum Effect——Empirical Evidence from Listed Science and Technology Firms in China

通过建立规模、净市比（B/M）、动量与财务困境风险的Carhart四因素模型,考察了中国沪深两市科技类上市公司财务困境风险的市场定价问题。研究发现,与有效市场风险定价理论相悖,困境公司的股票回报低于非困境公司,财务困境风险不能解释规模效应和B/M效应。与市场反映不足假说一致,在样本期内困境股票存在动量效应,这意味着困境风险驱动了动量效应。在定价模型中加入困境因子后,动量效应的解释力被消除了,这表明目前在科技类上市公司中,市场对于特定风险的定价缺乏效率,其原因主要是股市中大量个人投资者存在处置效应,导致了市场反应不足。

Aiming to establish the Carhart four-factor model of size, net market ratio（B/M）, momentum and financial distress risk,this paper examined the market pricing of financial distress risk in listed technology firms in Shanghai and Shenzhen stock exchange.The study found that, contrary to the theory of effective market risk pricing, the stock return of distressed firms was lower than that of the non-distressed firms, and the financial distress risk couldn＇t explain the size effect and the B/M effect. Consistent with the insufficient market reaction hypothesis, there was a momentum effect in the stock during the sample period, which meant that the distressed risk had driven the momentum effect. However, after adding the distressed factor to the pricing model, the explanatory power of the momentum effect was eliminated. The results showed that the market was not effective in the pricing of specific risks in listed technology firms, the reason of which was mainly the insufficient market reaction caused by the disposal effect existing in most individual investors in stock market.