盈利冲击能解释盈利异象吗?——来自中国的启示

Do Profitability Shocks Matter for Profitability Anomalies?——Insights from China

本文从市场未预期现金流冲击的角度探究中国A股市场盈利异象的根源。为了确保结果的可靠性和稳健性,本文采用了多维度的盈利指标,并通过调整未预期现金流冲击来修正这些衡量已实现收益的指标以及事前预期收益指标。实证证据表明,盈利溢价与盈利冲击之间存在显著的正相关关系,盈利冲击可以显著地正向解释盈利溢价。此外,盈利异象的稳定性和盈利冲击的解释能力来源于盈利冲击的持续性,这使得盈利冲击的解释效果可以持续24个月。本文研究为理解盈利溢价的机制提供了新的视角,丰富了有关盈利异象的文献。

From the perspective of unexpected cash flow shocks in the market,this study explores the source of profitability anomalies in the Chinese A-share market.We hypothesize that the expectation bias for a firm's profitability information leads to unexpected firm's future cash flows,and the cash flow shocks thus give rise to the variations in stock returns,which appear as the differences in cross-sectional returns among firms with different levels of profitability.Specifically,profitability shocks can positively explain profitability anomalies,and the higher(lower)the profitability shocks of firms are,the unexpected firms profitability is higher(lower),the more(less)the firm's profitability are undervalued,thus generating a higher(lower)stock return.To investigate whether cash flow shocks can explain profitability anomalies,we use the expected profitability from a cross-sectional profitability model to proxy for the expected cash flows.The major advantages of the cross-sectional profitability model include the substantially wider cross-sectional and time-series coverage,lower levels of forecast bias and more precise earnings response coefficients;thus,it can capture a large portion of the variations in expected profitability across firms.Then,as the proxy for cash flow shocks,we calculate the profitability shocks by taking the difference between the realized profitability and the expected profitability based on the cross-sectional profitability model.It's important to note the meaning of profitability shock is different from the notion of expectation error for profitability or earning surprise in the existing literature.First,the theoretical basis of profitability shocks based on present-value model suggests a firm's stock returns are driven by shocks to expected cash flows and/or shocks to discount rates.Second,the profitability shocks can objectively reveal the profitability deviations by using firms operating information that can forecast the firms future profitability for cross-sectional regression.Third,the explanation of cash flow shocks is more in line with the fact that the profitability anomalies can be stable and persistent,dispelling the argument about the paradox of mispricing for firm's profitability in behavioral finance.The reasons that we take the Chinese A-share market as the study sample can be summarized as follows.First,the Chinese stock market is the most rapidly growing and upgrading market worldwide.However,investors trading philosophy,information environment,and system design in the Chinese stock market are quite different from those of mature stock markets,and these unique factors prominently affect the asset pricing mechanism.Second,firm profitability in China is more unstable than that in developed countries,making it more difficult for the ex ante expectation of firms future profitability,thus inducing a higher likelihood of unexpected profitability shocks.To ensure the reliability and robustness of the results,our analysis of profitability shock explanation for profitability anomalies proceeds in three steps.First,we provide solid evidence of the profitability anomalies in the Chinese A-share market and analyze the relationship between firms profitability and profitability shocks.We employ multidimensional indicators of profitability—CBGP(Cash Base Gross Profitability),GP(Gross Profitability),OP(Operating Profitability),and ROA(Return on Assets).Second,we explore the source of profitability premium by double sorts on profitability and profitability shocks,regressions of profitability portfolio returns on the mimicking profitability shock factor,and the profitability premium adjusted by profitability shocks.Third,we conduct several robust checks to dispel the doubt that the explanatory power of cash flow shocks for the profitability premium is unstable.The empirical evidence indicates that there is a notable positive relationship between the profitability premium and profitability shocks and that the latter can significantly explain the former in a positive way.Furthermore,the profitability premium measured by ex ante expected returns disappear or significantly declines if we remove the impact of profitability shocks.In addition,the stability of profitability anomalies and the explanatory power of profitability shocks are due to the persistence of profitability shocks,which allow the explanatory effect of profitability shocks to last for 24 months.Our investigation provides a new perspective to understand the mechanisms of the profitability premium,which enriches the literature on profitability anomalies.The contribution of this paper can be summarized as follows.First,we explore the source of profitability anomalies from a new perspective,namely,the component of the market's unexpected cash flow shocks in unexpected stock returns.The results highlight the importance of in-sample cash flow shocks for understanding cross-sectional return variation caused by firm profitability.The traditional explanations regarding mispricing focus on the micro individuals expectation biases on stock future profitability information,and are related to forecast errors just using of the simple extrapolation for past earnings or the inaccurate analysts forecasts for firms profitability in time-series.Furthermore,the explanation based on irrational mispricing cannot dispel the arguments about the stable and persist existence of profitability anomaly.However,the explanation of cash flow shocks measures the market's systematical expectation biases on stock future profitability information,which explores the profitability premium from a wider market dimension.Most related to our work is Hou and Van Dijk(2019),who highlight the importance of profitability shocks in understanding the size effect.Our work extends their work by digging the explanatory role of profitability shocks for profitability anomalies.Second,our paper enriches recent literature that develops alternative proxies of expected returns to be used in asset pricing tests.We employ ex ante expected returns by adjusting unexpected cash flow shocks for ex post realized returns,which exclude the noisy interference of unexpected returns.Finally,combined with the unique market features in the Chinese stock market,the explanation of profitability shocks based on the market's systematical expectation bias for firm profitability provides some insight for understanding the asset pricing mechanism of this emerging stock market.