生产效率能预测公司股票收益吗?——来自中国A股市场的经验证据

Can Productivity Predict Corporate Stock Returns?——Evidence from China's A-share Market

本文以1999-2020年上市公司为样本,实证检验了生产效率对股票收益的预测性,并从风险补偿和错误定价角度对异象来源进行了深入的探讨。具体研究结果表明:首先,与美股市场不同,A股市场的企业生产效率正向预测了未来的股票收益;其次,风险补偿机制不能对生产效率异象给出解释,基于行为金融的错误定价理论对生产效率异象的解释最为有效;最后,对错误定价中套利限制、正反馈效应、博彩效应和信息不确定性等因素的分析表明,投资者非理性认知和行为偏差持续存在,生产效率异象也就具有稳定的持续性。

Based on the sample of listed companies from 1999 to 2020,this paper empirically tests the predictability of stock re-turns of production efficiency,and explores the sources of anomalies from the perspective of risk compensation and mispricing.The specific results show that:firstly,unlike the US stock market,the production efficiency of A-share market positively predicts the future stock returns;secondly,the risk compensation mechanism can not explain the production efficiency anomaly,and the mispricing theory based on behavioral finance is the most effective explanation for the production efficiency anomaly.Finally,through the analysis of arbitrage constraints,positive feedback effect,betting effect and information asymmetry in the mispricing,it shows that investors'irrational cognition and behavioral bias persist,and the production efficiency anomaly is stable and persis-tent.