中国股票市场收益率的可预测性研究
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摘要
构造了包括中国A股市场组合、行业组合、账面市值比组合和市值组合在内的31个投资组合,选取了8个预测因子(账面市值比、股利分配率、股息价格比、股息收益率、每股收益价格比、现金收益价格比、通货膨胀率、股票波动率),运用了可行拟广义最小二乘法对各因子对各投资组合收益率的可预测性进行了样本内和样本外检验.研究发现:1)中国股市收益率是可预测的,但是各投资组合收益率的可预测性在样本内、样本外、熊市和牛市均存在差异;2)绝大部分投资组合收益率的可预测性可由条件CAPM模型捕捉的时变系统风险溢价充分解释; 3)行业投资组合收益率的可预测性与行业集中度显著负相关,可由信息摩擦理论解释.
This paper investigates the return predictability to understand the theoretical foundation of quantitative investments in Chinese stock markets. Eight factors( book-to-market ratio,dividend-payout ratio,dividend-price ratio,dividend-yield ratio,earnings-price ratio,cash flow-price ratio,inflation rate,stock variance) are employed to carry out in-sample predictability tests by means of the feasible generalized least squares method( FQGLS). Out-of-sample predictability tests are conducted in different economic cycles. It is found that: 1) The portfolios can be successfully predicted and the predictability is dependent on the cycle and the portfolio type; 2) The predictability of most portfolios can be explained by the conditional CAPM model;and 3) The return predictability in industries is significantly negatively correlated with industry concentration.
This paper investigates the return predictability to understand the theoretical foundation of quantitative investments in Chinese stock markets. Eight factors( book-to-market ratio,dividend-payout ratio,dividend-price ratio,dividend-yield ratio,earnings-price ratio,cash flow-price ratio,inflation rate,stock variance) are employed to carry out in-sample predictability tests by means of the feasible generalized least squares method( FQGLS). Out-of-sample predictability tests are conducted in different economic cycles. It is found that: 1) The portfolios can be successfully predicted and the predictability is dependent on the cycle and the portfolio type; 2) The predictability of most portfolios can be explained by the conditional CAPM model;and 3) The return predictability in industries is significantly negatively correlated with industry concentration.
引文
[1]Fama E F,French K R. Common risk factors in the returns on stocks and bonds[J]. Journal of Financial Economics,1993,33(1):3-56.
[2]Fama E F,French K R. A five-factor asset pricing model[J]. Journal of Financial Economics,2015,116(1):1-22.
[3]Fama E F,French K R. Business conditions and expected returns on stocks and bonds[J]. Journal of Financial Economics,1989,25(1):23-49.
[4]Campbell J Y,Shiller R J. Stock prices,earnings,and expected dividends[J]. The Journal of Finance,1988,43(3):661-676.
[5]Banz,Rolf W. The relationship between return and market value of common stocks[J]. Journal of Financial Economics,1981,(9):3-18.
[6]Bhandari L C. Debt/equity ratio and expected common returns:Empirical and evidence[J]. Journal of Finance,1988,43:507-528.
[7]Rosenberg B,Reid K,Lanstein R. Persuasive evidence of market inefficiency[J]. Journal of Portfolio Management,1985,11:9-16.
[8]Basu S. The relationship between earnings yield,market value,and return for NYSE common stocks:Further evidence[J].Journal of Financial Economics,1983,(12):129-156.
[9]Hodrick R J. Dividend yields and expected stock returns:Alternative procedures for inference and measurement[J]. Review of Financial Studies,1992,5(3):357-386.
[10]Fama E,Kenneth F. Dividend yields and expected stock returns[J]. Journal of Financial Economics,1988,(22):3-25.
[11]Pontiff J,Lawrence S. Book-to-market ratios as predictors of market returns[J]. Journal of Financial Economics,1998,(49):141-160.
[12]Liu L X,Whited T M,Zhang L. Investment-based expected stock returns[J]. Journal of Political Economy,2009,117(6):1105-1139.
[13]Lamont O. Earnings and expected returns[J]. The Journal of Finance,1998,53(5):1563-1587.
[14]Zhang W,Wang G,Wang X,et al. Profitability of reversal strategies:A modified version of the Carhart model in China[J]. Economic Modelling,2018,69:26-37.
[15]俞红海,陈百助,蒋振凯,等.融资融券交易行为及其收益率可预测性研究[J].管理科学学报,2018,21(1):72-87.Yu Honghai,Chen Baizhu,Jiang Zhenkai,et al. Margin trading and stock return predictability[J]. Journal of Management Sciences in China,2018,21(1):72-87.(in Chinese)
[16]罗进辉,向元高,金思静.中国资本市场低价股的溢价之谜[J].金融研究,2017,439(1):191-206.Luo Jinhui,Xiang Yuangao,Jin Sijing. The puzzle of low price premium effects:Evidence from China[J]. Journal of Financial Research,2017,439(1):191-206.(in Chinese)
[17]Lawrenz J,Zorn J. Predicting international stock returns with conditional price-to-fundamental ratios[J]. Journal of Empirical Finance,2017,43:159-184.
[18]French K R,Schwert G W,Stambaugh R F. Expected stock returns and volatility[J]. Journal of Financial Economics,1987,19(1):3-29.
[19]Campbell J Y. Stock returns and the term structure[J]. Journal of Financial Economics,1987,18(2):373-399.
[20]Lettau M,Ludvigson S. Consumption,aggregate wealth,and expected stock returns[J]. The Journal of Finance,2001,56(3):815-849.
[21]Chen J P,Xiong X,Zhu J,et al. Asset prices and economic fluctuations:The implications of stochastic volatility[J]. Economic Modelling,2017,64:128-140.
[22]Brock W,Lakonishok J,Le Baron B. Simple technical trading rules and the stochastic properties of stock returns[J]. The Journal of Finance,1992,47(5):1731-1764.
[23]Jensen M C. Random walks:Reality or myth:Comment[J]. Financial Analysts Journal,1967,23(6):77-85.
[24]Neely C J,Rapach D E,Tu J,et al. Forecasting the equity risk premium:The role of technical indicators[J]. Management Science,2014,60(7):1772-1791.
[25]Wang S,Jiang Z Q,Li S P,et al. Testing the performance of technical trading rules in the Chinese markets based on superior predictive test[J]. Physica A,2015,439:114-123.
[26]Lin Q. Technical analysis and stock return predictability:Analigned approach[J]. Journal of Financial Markets,2018,38:103-123.
[27]吴世农,许年行.资产的理性定价模型和非理性定价模型的比较研究——基于中国股市的实证分析[J].经济研究,2004,(6):105-116.Wu Shinong,Xu Nianhang. A Comparative study on the rational asset pricing model and irrational asset pricing model:Evidence from stock market in China[J]. Economic Research Journal,2004,(6):105-116.(in Chinese)
[28]邓长荣,马永开.三因素模型在中国证券市场的实证研究[J].管理学报,2005,2(5):591-596.Deng Changrong,Ma Yongkai. Empirical research of the three-factor model in Chinese stock market[J]. Chinese Journal of Management,2005,2(5):591-596.(in Chinese)
[29]陈信元,张田余.预期股票收益的横截面多因素分析:来自中国证券市场的经验证据[J].金融研究,2001,(6):22-35.Chen Xinyuan,Zhang Tianyu. A cross-sectional multifactor analysis of expected stock returns:Empirical evidence from China stock market[J]. Journal of Finance,2001,(6):22-35.(in Chinese)
[30]范龙振,王海涛.上海股票市场股票收益率因素研究[J].管理科学学报,2003,6(1):60-67.Fan Longzhen,Wang Haitao. Study on the factors that affect average returns in SSE[J]. Journal of Management Sciences in China,2003,6(1):60-67.(in Chinese)
[31]刘昱熙,宋旺.股票回报与公司规模、市净率、市盈率之间的关系——基于中国A股市场的实证论证[J].财会通讯,2011,(6):85-86,96.Liu Yuxi,Song Wang. The relationship between stock returns and firm size,book value and P/E ratio:An empirical study based on China’s A-share market[J]. Communication of Finance and Accounting,2011,(6):85-86,96.(in Chinese)
[32]潘莉,徐建国. A股市场的风险与特征因子[J].金融研究,2011,(10):140-154.Pan Li,Xu Jianguo. Risk and characteristics factors in China’s A-share stock returns[J]. Journal of Financial Research,2011,(10):140-154.(in Chinese)
[33]苏宝通,陈炜,陈浪南.公开信息与股票回报率相关性的实证研究[J].管理科学,2004,17(6):67-75.Su Baotong,Chen Wei,Chen Langnan. An empirical study of the relationship between public information and market activities[J]. Journal of Management Sciences,2004,17(6):67-75.(in Chinese)
[34]王茵田,朱英姿.中国股票市场风险溢价研究[J].金融研究,2011,(7):152-166.Wang Yintian,Zhu Yingzi. On the cross-sectional risk premium of Chinese stock market[J]. Journal of Financial Research,2011,(7):152-166.(in Chinese)
[35]Nelson C R,Kim M J. Predictable stock returns:The role of small sample bias[J]. The Journal of Finance,1993,48(2):641-661.
[36]Stambaugh R F. Predictive regressions[J]. Journal of Financial Economics,1999,54(3):375-421.
[37]Cavanagh C L,Elliott G,Stock J H. Inference in models with nearly integrated regressors[J]. Econometric Theory,1995,11(5):1131-1147.
[38]田利辉,王冠英.我国股票定价五因素模型:交易量如何影响股票收益率?[J].南开经济研究,2014,(2):54-75.Tian Lihui,Wang Guanying. Asset pricing model of the Chinese stock market:How trading volumes influence the returns?[J]. Nankai Economic Studies,2014,(2):54-75.(in Chinese)
[39]欧阳志刚,李飞.四因子资产定价模型在中国股市的适用性研究[J].金融经济学研究,2016,(2):84-96.Ouyang Zhigang,Li Fei. The applicability of the four-factor asset pricing model in Chinese stock market[J]. Journal of Finance and Economics,2016,(2):84-96.(in Chinese)
[40]Clive W J,Granger I V,Namwon Hyung,et al. Spurious regressions with stationary series[J]. Applied Economics,2001,33(7):899-904.
[41]刘汉中.稳健的HAC法在多元平稳时间序列之间伪回归中的应用[J].数量经济技术经济研究,2011,(10):134-147.Liu Hanzhong. The application of robust HAC method in spurious regression under multivariate stationary time series[J].The Journal of Quantitative and Technical Economics,2011,(10):134-147.(in Chinese)
[42]Westerlund J,Narayan P K. Does the choice of estimator matter when forecasting returns?[J]. Financial Econometics,2012,36(9):2632-2640.
[43]Westerlund J,Narayan P. Testing for predictability in conditionally heteroskedastic stock returns[J]. Journal of Financial Econometrics,2014,13(2):342-375.
[44]Lewellen J. Predicting returns with financial ratios[J]. Journal of Financial Economics,2004,74(2):209-235.
[45]Rapach D E,Strauss J K,Zhou G. Out-of-sample equity premium prediction:Combination forecasts and links to the real economy[J]. Review of Financial Studies,2010,23(2):821-862.
[46]Rapach D E,Wohar M E. In-sample vs. out-of-sample tests of stock return predictability in the context of data mining[J].Journal of Empirical Finance,2013,13(2):231-247.
[47]Campbell J Y,Thompson S B. Predicting excess stock returns out of sample:Can anything beat the historical average?[J]. Review of Financial Studies,2008,21(4):1509-1531.
[48]姜富伟,徐俊,Rapach D E,等.中国股票市场可预测性的实证研究[J].金融研究,2011,(9):107-121.Jiang Fuwei,Xu Jun,Rapach D E,et al. How predictable is the Chinese stock market?[J]. Journal of Financial Research,2011,(9):107-121.(in Chinese)
[49]Welch I,Goyal A. A comprehensive look at the empirical performance of equity premium prediction[J]. Review of Financial Studies,2008,21(4):1455-1508.
[50]Narayan P K,Bannigidadmath D. Are Indian stock returns predictable?[J]. Journal of Banking&Finance,2015,58:506-531.
[51]Welch I,Goyal A. A comprehensive look at the empirical performance of equity premium prediction[J]. Review of Financial Studies,2008,21(4):1455-1508.
[52]Butler A W,Grullon G,Weston J P. Can managers forecast aggregate market returns?[J]. The Journal of Finance,2005,60(2):963-986.
[53]何兴强,周开国.牛、熊市周期和股市间的周期协同性[J].管理世界,2006,(4):35-40.He Xingqiang,Zhou Kaiguo. Bull,bear market cycle and the cyclical synergy between the stock market[J]. Management World,2006,(4):35-40.(in Chinese)
[54]Kadan O,Madureira L,Wang R,et al. Analysts’industry expertise[J]. Journal of Accounting and Economics,2012,54(2):95-120.
[55]Hong H,Torous W,Valkanov R. Do industries lead stock markets?[J]. Journal of Financial Economics,2007,83(2):367-396.
[56]Kong A,Rapach D,Strauss J,et al. How predictable are components of the aggregate market portfolio[EB/OL]. Available at:http://se. shufe. edu. cn/upload/htmleditor/File/090601014628. pdf
(2)报道链接:http://news. cnstock. com/paper,2017-01-23,774836. htm
[2]Fama E F,French K R. A five-factor asset pricing model[J]. Journal of Financial Economics,2015,116(1):1-22.
[3]Fama E F,French K R. Business conditions and expected returns on stocks and bonds[J]. Journal of Financial Economics,1989,25(1):23-49.
[4]Campbell J Y,Shiller R J. Stock prices,earnings,and expected dividends[J]. The Journal of Finance,1988,43(3):661-676.
[5]Banz,Rolf W. The relationship between return and market value of common stocks[J]. Journal of Financial Economics,1981,(9):3-18.
[6]Bhandari L C. Debt/equity ratio and expected common returns:Empirical and evidence[J]. Journal of Finance,1988,43:507-528.
[7]Rosenberg B,Reid K,Lanstein R. Persuasive evidence of market inefficiency[J]. Journal of Portfolio Management,1985,11:9-16.
[8]Basu S. The relationship between earnings yield,market value,and return for NYSE common stocks:Further evidence[J].Journal of Financial Economics,1983,(12):129-156.
[9]Hodrick R J. Dividend yields and expected stock returns:Alternative procedures for inference and measurement[J]. Review of Financial Studies,1992,5(3):357-386.
[10]Fama E,Kenneth F. Dividend yields and expected stock returns[J]. Journal of Financial Economics,1988,(22):3-25.
[11]Pontiff J,Lawrence S. Book-to-market ratios as predictors of market returns[J]. Journal of Financial Economics,1998,(49):141-160.
[12]Liu L X,Whited T M,Zhang L. Investment-based expected stock returns[J]. Journal of Political Economy,2009,117(6):1105-1139.
[13]Lamont O. Earnings and expected returns[J]. The Journal of Finance,1998,53(5):1563-1587.
[14]Zhang W,Wang G,Wang X,et al. Profitability of reversal strategies:A modified version of the Carhart model in China[J]. Economic Modelling,2018,69:26-37.
[15]俞红海,陈百助,蒋振凯,等.融资融券交易行为及其收益率可预测性研究[J].管理科学学报,2018,21(1):72-87.Yu Honghai,Chen Baizhu,Jiang Zhenkai,et al. Margin trading and stock return predictability[J]. Journal of Management Sciences in China,2018,21(1):72-87.(in Chinese)
[16]罗进辉,向元高,金思静.中国资本市场低价股的溢价之谜[J].金融研究,2017,439(1):191-206.Luo Jinhui,Xiang Yuangao,Jin Sijing. The puzzle of low price premium effects:Evidence from China[J]. Journal of Financial Research,2017,439(1):191-206.(in Chinese)
[17]Lawrenz J,Zorn J. Predicting international stock returns with conditional price-to-fundamental ratios[J]. Journal of Empirical Finance,2017,43:159-184.
[18]French K R,Schwert G W,Stambaugh R F. Expected stock returns and volatility[J]. Journal of Financial Economics,1987,19(1):3-29.
[19]Campbell J Y. Stock returns and the term structure[J]. Journal of Financial Economics,1987,18(2):373-399.
[20]Lettau M,Ludvigson S. Consumption,aggregate wealth,and expected stock returns[J]. The Journal of Finance,2001,56(3):815-849.
[21]Chen J P,Xiong X,Zhu J,et al. Asset prices and economic fluctuations:The implications of stochastic volatility[J]. Economic Modelling,2017,64:128-140.
[22]Brock W,Lakonishok J,Le Baron B. Simple technical trading rules and the stochastic properties of stock returns[J]. The Journal of Finance,1992,47(5):1731-1764.
[23]Jensen M C. Random walks:Reality or myth:Comment[J]. Financial Analysts Journal,1967,23(6):77-85.
[24]Neely C J,Rapach D E,Tu J,et al. Forecasting the equity risk premium:The role of technical indicators[J]. Management Science,2014,60(7):1772-1791.
[25]Wang S,Jiang Z Q,Li S P,et al. Testing the performance of technical trading rules in the Chinese markets based on superior predictive test[J]. Physica A,2015,439:114-123.
[26]Lin Q. Technical analysis and stock return predictability:Analigned approach[J]. Journal of Financial Markets,2018,38:103-123.
[27]吴世农,许年行.资产的理性定价模型和非理性定价模型的比较研究——基于中国股市的实证分析[J].经济研究,2004,(6):105-116.Wu Shinong,Xu Nianhang. A Comparative study on the rational asset pricing model and irrational asset pricing model:Evidence from stock market in China[J]. Economic Research Journal,2004,(6):105-116.(in Chinese)
[28]邓长荣,马永开.三因素模型在中国证券市场的实证研究[J].管理学报,2005,2(5):591-596.Deng Changrong,Ma Yongkai. Empirical research of the three-factor model in Chinese stock market[J]. Chinese Journal of Management,2005,2(5):591-596.(in Chinese)
[29]陈信元,张田余.预期股票收益的横截面多因素分析:来自中国证券市场的经验证据[J].金融研究,2001,(6):22-35.Chen Xinyuan,Zhang Tianyu. A cross-sectional multifactor analysis of expected stock returns:Empirical evidence from China stock market[J]. Journal of Finance,2001,(6):22-35.(in Chinese)
[30]范龙振,王海涛.上海股票市场股票收益率因素研究[J].管理科学学报,2003,6(1):60-67.Fan Longzhen,Wang Haitao. Study on the factors that affect average returns in SSE[J]. Journal of Management Sciences in China,2003,6(1):60-67.(in Chinese)
[31]刘昱熙,宋旺.股票回报与公司规模、市净率、市盈率之间的关系——基于中国A股市场的实证论证[J].财会通讯,2011,(6):85-86,96.Liu Yuxi,Song Wang. The relationship between stock returns and firm size,book value and P/E ratio:An empirical study based on China’s A-share market[J]. Communication of Finance and Accounting,2011,(6):85-86,96.(in Chinese)
[32]潘莉,徐建国. A股市场的风险与特征因子[J].金融研究,2011,(10):140-154.Pan Li,Xu Jianguo. Risk and characteristics factors in China’s A-share stock returns[J]. Journal of Financial Research,2011,(10):140-154.(in Chinese)
[33]苏宝通,陈炜,陈浪南.公开信息与股票回报率相关性的实证研究[J].管理科学,2004,17(6):67-75.Su Baotong,Chen Wei,Chen Langnan. An empirical study of the relationship between public information and market activities[J]. Journal of Management Sciences,2004,17(6):67-75.(in Chinese)
[34]王茵田,朱英姿.中国股票市场风险溢价研究[J].金融研究,2011,(7):152-166.Wang Yintian,Zhu Yingzi. On the cross-sectional risk premium of Chinese stock market[J]. Journal of Financial Research,2011,(7):152-166.(in Chinese)
[35]Nelson C R,Kim M J. Predictable stock returns:The role of small sample bias[J]. The Journal of Finance,1993,48(2):641-661.
[36]Stambaugh R F. Predictive regressions[J]. Journal of Financial Economics,1999,54(3):375-421.
[37]Cavanagh C L,Elliott G,Stock J H. Inference in models with nearly integrated regressors[J]. Econometric Theory,1995,11(5):1131-1147.
[38]田利辉,王冠英.我国股票定价五因素模型:交易量如何影响股票收益率?[J].南开经济研究,2014,(2):54-75.Tian Lihui,Wang Guanying. Asset pricing model of the Chinese stock market:How trading volumes influence the returns?[J]. Nankai Economic Studies,2014,(2):54-75.(in Chinese)
[39]欧阳志刚,李飞.四因子资产定价模型在中国股市的适用性研究[J].金融经济学研究,2016,(2):84-96.Ouyang Zhigang,Li Fei. The applicability of the four-factor asset pricing model in Chinese stock market[J]. Journal of Finance and Economics,2016,(2):84-96.(in Chinese)
[40]Clive W J,Granger I V,Namwon Hyung,et al. Spurious regressions with stationary series[J]. Applied Economics,2001,33(7):899-904.
[41]刘汉中.稳健的HAC法在多元平稳时间序列之间伪回归中的应用[J].数量经济技术经济研究,2011,(10):134-147.Liu Hanzhong. The application of robust HAC method in spurious regression under multivariate stationary time series[J].The Journal of Quantitative and Technical Economics,2011,(10):134-147.(in Chinese)
[42]Westerlund J,Narayan P K. Does the choice of estimator matter when forecasting returns?[J]. Financial Econometics,2012,36(9):2632-2640.
[43]Westerlund J,Narayan P. Testing for predictability in conditionally heteroskedastic stock returns[J]. Journal of Financial Econometrics,2014,13(2):342-375.
[44]Lewellen J. Predicting returns with financial ratios[J]. Journal of Financial Economics,2004,74(2):209-235.
[45]Rapach D E,Strauss J K,Zhou G. Out-of-sample equity premium prediction:Combination forecasts and links to the real economy[J]. Review of Financial Studies,2010,23(2):821-862.
[46]Rapach D E,Wohar M E. In-sample vs. out-of-sample tests of stock return predictability in the context of data mining[J].Journal of Empirical Finance,2013,13(2):231-247.
[47]Campbell J Y,Thompson S B. Predicting excess stock returns out of sample:Can anything beat the historical average?[J]. Review of Financial Studies,2008,21(4):1509-1531.
[48]姜富伟,徐俊,Rapach D E,等.中国股票市场可预测性的实证研究[J].金融研究,2011,(9):107-121.Jiang Fuwei,Xu Jun,Rapach D E,et al. How predictable is the Chinese stock market?[J]. Journal of Financial Research,2011,(9):107-121.(in Chinese)
[49]Welch I,Goyal A. A comprehensive look at the empirical performance of equity premium prediction[J]. Review of Financial Studies,2008,21(4):1455-1508.
[50]Narayan P K,Bannigidadmath D. Are Indian stock returns predictable?[J]. Journal of Banking&Finance,2015,58:506-531.
[51]Welch I,Goyal A. A comprehensive look at the empirical performance of equity premium prediction[J]. Review of Financial Studies,2008,21(4):1455-1508.
[52]Butler A W,Grullon G,Weston J P. Can managers forecast aggregate market returns?[J]. The Journal of Finance,2005,60(2):963-986.
[53]何兴强,周开国.牛、熊市周期和股市间的周期协同性[J].管理世界,2006,(4):35-40.He Xingqiang,Zhou Kaiguo. Bull,bear market cycle and the cyclical synergy between the stock market[J]. Management World,2006,(4):35-40.(in Chinese)
[54]Kadan O,Madureira L,Wang R,et al. Analysts’industry expertise[J]. Journal of Accounting and Economics,2012,54(2):95-120.
[55]Hong H,Torous W,Valkanov R. Do industries lead stock markets?[J]. Journal of Financial Economics,2007,83(2):367-396.
[56]Kong A,Rapach D,Strauss J,et al. How predictable are components of the aggregate market portfolio[EB/OL]. Available at:http://se. shufe. edu. cn/upload/htmleditor/File/090601014628. pdf
(2)报道链接:http://news. cnstock. com/paper,2017-01-23,774836. htm