全要素生产率、投资者外推预期与中国股票市场异象

Total Factor Productivity,Extrapolative Expectation and Anomalies of China’s Stock Market

为解释中国股票市场的低收益、超常波动和收益风险不匹配,在生产率定价模型中同时考虑生产率长期风险和股票市场的投资者外推预期,构建了基于外推预期的生产率长期风险模型,克服已有文献只能解释某个特定异象的缺陷。中国股票市场长期低迷与产出、投资和消费的高速增长相背离,但与生产率提升缓慢及其低水平徘徊相吻合;外推预期是引起超常波动率的关键;低收益率和过度波动的叠加造成收益风险不匹配。生产率增长率的长期冲击和短期冲击通过间接渠道和直接渠道引起股票市场异象,但前者影响更大、持续性更强;生产率冲击对固定资产投资和股票收益率的不对等影响是股票市场长期低迷及其背离经济高速增长的内在原因。

Using the U.S.stock market as a comparison,this paper identifies three unique anomalies in the Chinese stock market through the analysis of four groups of indices.The first group comprises the full-sample indices,including the Shanghai Composite(SSEC)Index,Shanghai A-Share Index,Shenzhen Composite Index and Shenzhen Component Index for the Chinese market,and the Russell 1000,Russell 2000 and Russell 3000 for the U.S.market.The second group represents major blue-chip indices,encompassing China’s CSI 300,CSI 800 and the S&P 500.The third group represents small and mid-cap blue-chip indices,including the CSI 500 and the Nasdaq Composite Index.The fourth group focuses on dividend-adjusted yield indices,including the yield indices of the CSI 300,FTSE 600,and S&P 500.The sample period for the first group of indices spans from 1992Q1 to 2021Q4,while the last three groups cover the period from 2005Q1 to 2021Q4.Based on the comparative analysis of the four index groups,we uncover three distinct anomalies in the Chinese stock market that differ from the U.S.market.First,the Chinese stock market exhibits significantly lower returns,in contrast to the observed high risk premium in the U.S.market.Second,although the U.S.stock market exhibits a volatility puzzle,the volatility in the Chinese market is much higher.Third,investors in China fail to achieve commensurate returns despite bearing high risks,contradicting the traditional theory of“high risk,high return”.In contrast to the characteristic of low returns and high risks in the stock market,the macroeconomic growth rate in China is much higher than that in the U.S..The prolonged stagnation of China’s stock market stands in stark contrast to the remarkable economic development.Regarding the low risk premium puzzle,we find that the SSEC index has a very weak correlation and no cointegration with China’s GDP,investment,and consumption.However,we find a cointegration relationship and a common trend between the SSEC index and total factor productivity.Empirical evidence suggests that rational expectations fail to explain the excess volatility puzzle observed in the Chinese stock market.Instead,models based on extrapolative expectations provide a better fit for capturing the volatility of the SSEC index.Therefore,this paper proposes a productivity-based long-run risk model with extrapolative expectations,which extends the production-based asset pricing model with rational expectations(Croce,2014)and the consumption-based long-run risk model(Bansal&Yaron,2004).In addition to Model 1 proposed by this paper,we examine three alternative models:the model proposed by Croce(2014)considering only long-run productivity risk(Model 2),the model considering only extrapolative expectations(Model 3),and the parsimonious model neglecting both aspects mentioned above(Model 4).Model 1 and Model 2,considering long-run productivity risk,can explain the puzzle of low returns in the Chinese stock market,while Model 3 and Model 4 fail to provide an explanation.Model 1 and Model 3,accounting for investor extrapolative expectations,effectively capture the pronounced volatility of the Chinese stock market,whereas Model 2 and Model 4,relying on rational expectations,are unable to do so.In short,Model 1 successfully explains all anomalies.The shock of the total factor productivity weakly impacts the returns and excess returns but significantly influences the stochastic discount factors(SDF).The low returns in the Chinese stock market are closely related to the sluggish increase in productivity.The positive(negative)extrapolative expectations shocks significantly reinforce investors’optimistic(pessimistic)beliefs in future stock price growth,which serves as a crucial mechanism driving the excess volatility of the Chinese stock market.Combining the low returns and the excess volatility helps to understand the mismatch between returns and risks in the Chinese stock market.The shocks of productivity have a substantial impact on fixed-asset investment but a particularly small effect on stock market returns.The slow increase in productivity,coupled with its asymmetric impacts on fixed-asset investment and stock prices,serves as an intrinsic mechanism for the divergence between China’s rapid economic growth and the prolonged downturn in its stock market.