硕士研究生学位论文
题目:
资产增长率与股票收益率之间的负相关关系
——资产增长效应在中国股票市场中的实证研究
姓 名: 崔舟航
学 号: 10647012
院 系: 深圳商学院
专 业: 西方经济学
研究方向:
导师姓名: Minsoo Lee
二00九 年 四 月
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资产增长率与股票收益率之间的负相关关系
-----资产增长效应在中国股票市场中的实证研究
摘 要
本文在Cooper,Gulen和Schill等学者的研究基础之上,选取了近十年内,七百多支中国上市公司的股票数据作为研究对象,以检验一种在美国股票市场中首先发现的奇特现象——资产增长效应,在中国的股票市场中是否依然存在.文章将上市公司其财务报表中所披露的年度总资产增长率作为解释变量,经过实证研究发现,在选取的数据中,中国股票市场中的上市公司其资产增长率与后续股票收益之间同样存在着显著的负相关关系,资产增长率是上市公司未来股价最有效的预测变量.在中国股市过去的十年中,总资产规模增长最慢的公司比总资产规模增长最快的公司组合,其每年的股票收益率平均来说要高出10%.此外,把其它一些决定公司股票收益率的指标(如账面价值/市场价值比率,资本总额,过去一年的股票收益率等)和公司总资产变化率相比,总资产增长率在中国的股票市场中被证明是最有效同时也是在统计上最为显著的解释变量.文章最后分析了资产增长效应在中国股票市场中存在的原因,一方面是因为总资产增长率这一解释变量囊括了所有与公司资产增长相关的解释变量,因而其它的那些与公司资产变化相关的子集变量的协同效应在这一总体变量中得到了很好的体现,总资产增长率自然便成为了未来股价最有效的预测变量;另一方面,由于中国股票市场有着其明显的中国特色——中国股票市场中存在着大量的非流通股,这一特点也在很大程度上决定了中国股票市场中必然存在着资产增长效应.资产增长效应的存在不仅值得广大投资者参考借鉴,更为中国政府制定相应的政策措施提供了一定的理论依据.
关键词:资产增长率;股票收益;中国股票市场
The negative relationship between asset growth and stock returns
------Empirical study in China stock market
Cui Zhouhang (Major in Economics)
Directed by Professor Minsoo Lee
Abstract
This paper follows CGS's methodology and uses more than 700 China stocks to test whether the asset growth effect which is found in U.S. equity market exists in China stock market. I use the year-on-year percentage change in total assets of Chinese firms as a test variable, the result is that there is also a pervasive negative relation between asset growth and subsequent stock returns in China stock market. Asset growth rates are strong predictors of future abnormal returns. Over the past 10 years, lowest asset growth stocks have maintained a return premium of 10% per year over highest asset growth stocks. When comparing asset growth rates with other determinants of the cross-section of returns, such as book-to-market ratios, firm capitalization, lagged returns, and other growth measures, I find that the firm's annual asset growth rate emerges as an economically and statistically significant predictor of subsequent China stock returns. Finally, I conclude that, the existence of asset growth effect in China is not only because, total asset growth is the sum of the subcomponents of growth measure and it synergistically benefits from the predictability of all subcomponents of growth, but also due to the particular characteristic of China stock market which consists of substantial non-tradable stock shares.

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