定价误差、成长机会与账面市值比异象——基于连续性过度反应与价格修正速度的分析

Mispricing,Growth opportunity and Book-to-Market Anomaly:An Analysis From The Perspective Of Continuing Overreaction And Speed Of Pricing Correction

十九大报告中,可持续发展思想是经济增长的重要概念,在微观领域中,多将市值账面比视为成长机会的变量,本研究通过将市值账面比拆解为定价误差以及成长机会,运用中国沪深A股数据对账面市值比异象展开分析,研究结果发现了定价误差与成长机会对绩效的相反作用。之后文章建构了连续性过度反应与价格修正速度变量,探究二者对定价误差的影响,并检验了投资人是否对成长机会过度反应以及定价误差的现象是否能藉由价格修正速度而得到改善。研究发现,第一,单纯采用市值账面比建构投资组合无法取得显著的绩效;第二,高成长机会投资组合的绩效优于低成长机会投资组合,而高定价误差投资组合未来绩效会较差;第三,股票价格修正速度越快,改善定价误差对股票价值的负向冲击效果越好。

As report at 19^th CPC National Congress suggested that sustainable development is the main concept in economic grow th. In the field of micro economic,researcher alw ays use the Book-to-M arket as the proxy variable of grow th opportunity. This paper investigates Book-to-M arket anomaly by decomposing the M arket-to-Book ratio into mispricing and grow th opportunity. Based on the analysis of the market value of the Shanghai and Shenzhen A-share data,this study finds the opposite effect of the pricing error and the grow th opportunity on the performance of the market value.In addition,w e construct variables of continuing overreaction and the speed of pricing correction to test w hether the investor overreact on grow th opportunity by the continuing overreaction variable and examine that does mispricing decrease by the speed of pricing correction. Our result could be summarized as follow ： first,portfolio returns based on market-to-book are not significant. Second,the performance of high grow th opportunity portfolios is superior than low grow th opportunity portfolios,stock w ith high mispricing is underperformance. Third,higher speed of price correction can reduce the negative impact of mispricing on stock value.