中国股票市场横截面收益率的可预测性研究——兼与美国对比

Empirical Test of Cross-sectional Return Predictability on Chinese Stock Market——in Comparison with That on the Stock Market in the United States

本文旨在检验中国股票市场横截面收益的可预测性。我们选取了15个公司层面的特征指标作为变量,现有文献已经发现这些指标在美国股票市场上具有预测横截面股票收益的能力。我们检验这些变量在中国股票市场是否可以用来预测股票收益,样本的时间区间为1996~2015年。我们发现这些变量在中国股票市场对股票横截面收益的预测能力是相对较弱的。我们对中国股票市场的弱可预测性提出了两种可能的解释:其一,可能是收益预测因子在中国股票市场中的同质性比在美国股票市场中更强;其二,在中国股票市场中股票价格的无效率程度比较高。两种解释我们都找到了实证依据来支撑。

We examine stock cross-sectional return predictability in China.We take 15 firm-specific variables that have been documented to predict cross-sectional stock returns in the U.S.and examine their relation withstock returns in China for the sample period from 1996 to 2015.We find relatively weak predictability ability for Chinese stocks.We test two explanations for the cause of weakreturns predictability in China.First,perhaps return predictors in China are less heterogeneously distributed than they are in the U.S.Second,stock prices are less informative in China than they are in the U.S.We find support for both explanations.