中国A股市场存在品质溢价吗?

Is There a Quality Premium in the Chinese A-share Market?

本文从价值投资的核心理念出发,基于盈利性、成长性、安全性、分红能力四个维度构建复合品质指标,并通过分析品质溢价在中国A股市场中的存在性来探讨价值投资的可行性和有效性。实证结果表明:(1)中国A股市场上存在显著为正的品质溢价,且品质溢价在控制其他相关变量后依然稳健存在;(2)高品质股票具有大市值、高成长特征,且品质溢价在大市值、高盈利的分组中更加显著;(3)品质溢价在不同时期下均能稳定存在;(4)中国A股市场上的品质溢价并非源于高风险承担,相反,由正向反馈偏好、博彩偏好、套利限制引起的错误定价有助于解释品质溢价。本文结论佐证了价值投资策略在中国A股市场的可行性和有效性,为培育良好投资理念、抑制过度投机、促进中国股市合理健康发展等提供了经验证据。

The availability of value investments on the Chinese market is a controversial issue. The Chinese stock market has attracted a large number of retail investors who prefer to speculate and tend to make irrational investments. In this respect, the speculative nature of the Chinese market is likely to induce more mispricing and question the idea of value investments. However, the question remains as to whether value investment strategies really do not work in the Chinese A-share market. Can investing firms with good fundamentals earn significant excess returns? How do we quantify the concept of value investment? These questions have rarely been examined in the literature.The traditional value investment strategies are based solely on valuation indicators. However, these indicators may not correctly identify the intrinsic value of a company. Warren Buffett extended the traditional concept of value investment by arguing that holding "brilliant" companies is more important than holding companies with cheap prices. Recently, Frazzini et al.(2018) used a quantitative investment method to analyze Buffett’s performance, and concluded that the key to seeking "brilliant" companies can be specifically quantified as investing in high "quality" firms, which is regarded as a new feasible pricing factor. Considering the differences in the market microstructure and degree of development of the Chinese and U.S. markets, we wish to determine whether the quality premium exists in China. Following Asness et al.(2019), we quantify a firm’s quality using a composite indicator comprising four dimensions, namely, profitability, growth opportunity, safety, and payout. We conduct one-way sorting and two-way sorting analyses to investigate whether a firm’s quality provides incremental predictive information about future stock returns. We then test whether a firm’s quality still has predictability using Fama-Macbeth regressions after controlling some of the firm characteristics in the cross-section. Our empirical results show that high quality firms in the Chinese market have higher returns than low quality firms, and the quality premium remains stable after controlling other relevant variables. Furthermore, the relatively high quality firms exhibit larger market capitalizations and lower B/M ratios than the relatively low quality firms. Next, we explore the effectiveness of a quality strategy using different sample sub-intervals in time-varying tests, and find that the quality premium is stable across all periods, which is inconsistent with the evidence from the U.S.(Asness et al., 2019). Finally, to test whether this predictive power is a manifestation of rational pricing based on compensation for the risk or irrational mispricing, we conduct empirical tests to explore the rational risk and behavioral mispricing explanations. We find that the results do not support the argument based on the compensation for rational risk. With respect to the quality effect arising from irrational mispricing, we find that positive feedback trading, gambling preferences and the limits of arbitrage are the main sources of the mispricing in the quality premium. Our contributions can be summarized as follows. First, our analysis mostly contributes to the research on the anomalies associated with quality premium. Instead of focusing on developed markets, we explore the existence of a quality premium in the Chinese market, which is growing rapidly and has become an important part of the global capital market. We also focus on the Chinese market because the anomalies observed in mature markets may not exist in emerging markets owing to their typical characteristics, such as over-speculation and unsophisticated investors. Second, our quality indicator contains comprehensive information because we measure four different dimensions of firm performance, whereas the literature tends to only focus on some of these factors. Third, in contrast with results from the U.S. market showing that the predictability of quality is time varying, we find that the quality premium in China exists stably across all periods. Fourth, we provide evidence that the quality effect is more likely attributable to behavioral mispricing than to the rational risk-based explanations.