我国上市公司股票收益率影响因素的实证研究
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摘要
随着我国证券市场的不断发展和日益规范，影响证券投资者行为和股票收益的因素也不断变化和日趋复杂，正确认识我国证券市场的运行特征和股票收益的影响因素，对于建立健全证券市场运行机制、提高上市公司的自身品质以及提高投资者的投资决策水平将提供可靠的依据和科学的指导，对于促进证券市场合理配置资源具有深远的意义。
本文对影响股票收益的因素从多个层面进行理论分析，总结了国内外关于投资分析的研究方法、研究模型及研究现状。在此基础上，主要从微观层面对可能影响我国上市公司股票收益率的因素进行了实证研究。实证分析选取的20个因素中，既有国内外普遍关注的一些影响因素，又有目前实证研究中极少考虑到的一些因素。这20个因素包括了反映市场因素的β值和反映上市公司经营状况的盈利能力、资产负债管理能力、偿债能力、现金流量能力、成长能力等方面的财务指标。实证研究采用多因素模型的理论框架，结合横截面回归方法和计量经济学检验手段，对2001年6月1日-2002年5月31日我国沪深两证券市场共计157家上市公司分行业进行了分析。
经过详细的实证研究，发现除个别行业外，β值是股票收益率的最主要的显著影响因素，且两者之间呈线性负相关，而两者之间呈线性负相关这一实证结果明显与传统的理论假设相违背。在对β值进一步的实证研究表明其极不稳定，其长期预测股票收益率的能力很差。研究还发现，不同行业股票收益率的影响因素有很大区别，说明行业因素也是股票收益率很重要的影响因素。
分析还表明，当证券市场股票价格处于下降通道中，财务指标对股票收益率基本不产生影响，这也说明我国证券市场总体上存在一定程度的“羊群行为”，但在个别行业显著影响因素中出现了财务信息综合性较强的指标，在某种意义上，又表明投资者已开始综合利用财务信息。
With the development and regulation of China's stock market, the factors which influence investor's behaviors and stock returns have become more and more complicated. To get a thorough understanding of these factors and the characters of our market will have a far-reaching significance in establishing a healthy running mechanism, improving the quality of listed companies and providing investors with reliable information and scientific guidance.
The paper theoretically analyzes the factors influencing stock returns from different aspects. On the basis of that, we have an empirical research on the possible factors which may influence stock returns of the our listed companies. From a micro aspect, we choose 20 factors which contain not only those widely focused from domestic and abroad, but those rarely considered in present empirical research. These 20 factors include β that can reflect the market, and financial indicators that reflect the managing status of the listed companies, such as balance-managing ability, liquidating ability, cash flow and potentiality of growth, ect. Our research uses multifactor model combined with cross-section regression and econometrics and analyzes 157 listed companies in Shanghai and Shenzhen Securities Markets from June 1st, 2001 to May 31st, 2002.
After careful empirical research, we find that β is the most dominating factor influencing the returns except one or two industries. We also find that β and stock returns are negative linearity correlativity which is obviously in contradiction with traditional theoretical hypotheses. In the meanwhile, we find β is very unstable and quite weak at long-term prediction of stock returns after the in-depth research. In addition, we also find that the factors influencing the stock returns in different industries are not the same, which shows that industry is also the important factor to influence stock returns.
Our research shows that when share prices are with downward tendency, financial indicators have impact on th stock returns as well. It also shows that "flock behaviours" exist in our stock market on the whole. However, in a couple of industries, stronger comprehensive financial information appear among these prominent factors. In a sense,
it indicates that investors have begun to utilize financial information in a comprehensive way.
本文对影响股票收益的因素从多个层面进行理论分析，总结了国内外关于投资分析的研究方法、研究模型及研究现状。在此基础上，主要从微观层面对可能影响我国上市公司股票收益率的因素进行了实证研究。实证分析选取的20个因素中，既有国内外普遍关注的一些影响因素，又有目前实证研究中极少考虑到的一些因素。这20个因素包括了反映市场因素的β值和反映上市公司经营状况的盈利能力、资产负债管理能力、偿债能力、现金流量能力、成长能力等方面的财务指标。实证研究采用多因素模型的理论框架，结合横截面回归方法和计量经济学检验手段，对2001年6月1日-2002年5月31日我国沪深两证券市场共计157家上市公司分行业进行了分析。
经过详细的实证研究，发现除个别行业外，β值是股票收益率的最主要的显著影响因素，且两者之间呈线性负相关，而两者之间呈线性负相关这一实证结果明显与传统的理论假设相违背。在对β值进一步的实证研究表明其极不稳定，其长期预测股票收益率的能力很差。研究还发现，不同行业股票收益率的影响因素有很大区别，说明行业因素也是股票收益率很重要的影响因素。
分析还表明，当证券市场股票价格处于下降通道中，财务指标对股票收益率基本不产生影响，这也说明我国证券市场总体上存在一定程度的“羊群行为”，但在个别行业显著影响因素中出现了财务信息综合性较强的指标，在某种意义上，又表明投资者已开始综合利用财务信息。
With the development and regulation of China's stock market, the factors which influence investor's behaviors and stock returns have become more and more complicated. To get a thorough understanding of these factors and the characters of our market will have a far-reaching significance in establishing a healthy running mechanism, improving the quality of listed companies and providing investors with reliable information and scientific guidance.
The paper theoretically analyzes the factors influencing stock returns from different aspects. On the basis of that, we have an empirical research on the possible factors which may influence stock returns of the our listed companies. From a micro aspect, we choose 20 factors which contain not only those widely focused from domestic and abroad, but those rarely considered in present empirical research. These 20 factors include β that can reflect the market, and financial indicators that reflect the managing status of the listed companies, such as balance-managing ability, liquidating ability, cash flow and potentiality of growth, ect. Our research uses multifactor model combined with cross-section regression and econometrics and analyzes 157 listed companies in Shanghai and Shenzhen Securities Markets from June 1st, 2001 to May 31st, 2002.
After careful empirical research, we find that β is the most dominating factor influencing the returns except one or two industries. We also find that β and stock returns are negative linearity correlativity which is obviously in contradiction with traditional theoretical hypotheses. In the meanwhile, we find β is very unstable and quite weak at long-term prediction of stock returns after the in-depth research. In addition, we also find that the factors influencing the stock returns in different industries are not the same, which shows that industry is also the important factor to influence stock returns.
Our research shows that when share prices are with downward tendency, financial indicators have impact on th stock returns as well. It also shows that "flock behaviours" exist in our stock market on the whole. However, in a couple of industries, stronger comprehensive financial information appear among these prominent factors. In a sense,
it indicates that investors have begun to utilize financial information in a comprehensive way.
引文
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[2] Sharpe W F, Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. The Journal of Finance,1964,19, P425-442
[3] Lintner J. The Valuation of Risk Assets and the selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economic and Statistics. 1965,47, P13-37
[4] Mossin J. Equilibrium in a Capital Asset Market. Econometrica,1966, 34, P768-783
[5] Brennen M. Taxes, market valuation and corporate financial policed. National Tax Journal, 1970,23(4) P417-427
[6] Black F. Capital market equilibrium with restricted borrowing. Journal of Business, 1972,45(7) P444-455
[7] Mayers D. Non-marketable assets and the capital market equilibrium under uncertainty. In: M Jensen (ed). Studies in the Theory of Capital Markets. New York: Praeger, 1972 P223-248
[8] Solnik B. An equilibrium model of international capital markets. Journal of Economic Theory, 1974,8(4), P500-524
[9] Roll R. A Critique of the Asset Pricing Theory' Tests. Journal of Financial Economics, 1977,3 P129-176
[10] Fama and French .The Cross-Section of Expected Stock Return.Journal of Finance, June 1992, P436
[11] 斯蒂芬．佩因曼著．刘力，陆正飞译．财务报表分析与证券定价．北京：中国财政经济出版社，2002年5月第1版，P80
[12] Sharpe W E A simplified model for portfolio analysis. Manangement Sciences, 1963, 9(3), P277-293
[13] Arnott, R.D., C. Kelso, S. Kiseadden and Macedo, "Forecasting Factor Returns: An Intriguing Possibility," Journal of Portfolio Management, Fall 1989,P28-35
[14] Fogler, H. Russell, "Common Sense on CAPM, APT, and Correlated Residuals," Journal of Portfolio Management Summer 1982, P20-28
[15] Fogler, H. Russell, "Common Stock Management in the 1990s", Joumal of Portfolio Management 16 (Winter 1990), P26-35.
[16] Ross S A. The arbitrage theory of capital asset pricing. Journal of Economic Theory, 1976, 13, P341-360
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Theory, The Journal of Finace 35, P1073-1103.
[18] Elton, E.J., M.J. Guber, and J. Rentzler. "The Arbitrage Pricing Model and Returns on Assets Under Uncertain Inflation." Journal of Finance (May 1983), P525-537
[19] Pari, Robert A. and Son-Nan Chen, "An Empirical Test of the Arbitrage Pricing Theory", Journal of Financial Research, Vol.7, No. 2, Summer 1984, 121-130. An abstract is reprinted in the Chartered Financial Analyst Journal. Winter 1985, P36-38.
[20] Chen, Nai-Fu, Richard Roll and Stephen A. Ross, "Economic Forces and the Stock Market", Journal of Business, Vol. 59, No. 3(1986), P383-403.
[21] Chan, Louis K., Yasushi Hamao, and Josef Lakonishok, 1991, Fundementals and stock returns in Japan, Journal of Finance 46, P1379-1789
[22] Fama and Fench, Common risk factors in the return on stocks and bonds, Journal of Financial Economics, 1993,33, P3-50
[23] 许均华，李启亚等．宏观政策对我国股市影响的实证研究．经济研究，2001年第9期 P12-21
[24] 叶中行，柯春雷，李宁．影响上海股市的因素筛选和统计分析．上海交通大学学报，1998年第32卷第3期，P133-135
[25] 胡继之，于华．影响中国股市价格波动若干因素的实证分析．中国社会科学，1999年第3期，P69-87
[26] 唐有瑜．对单指数模型与多因素模型适应性的比较与实证研究——以深圳股票市场为例．投资研究，1999年第7期，P30-37
[27] 李岳，王继平，归江．股价波动及相关冈素的实证研究．数理统计与管理，17卷6期1998年11月，P8-12
[28] 马树才，宋丽敏，王威．沪市股票市场价格影响因素的实证分析．统计研究，2000年第8期，P24-28
[29] 史美景．随机效应方差分量模型及应用——股票换手率及行业因素对收益率影响的定量分析．山西财经大学学报，2002年第1期，P99-101
[30] 陈信元，陈冬华，朱红军．净资产、剩余收益和市场定价——会计信息的价值相关性．金融研究，2002年第4期，P59-70
[31] 陆静，孟卫东，廖刚．上市公司会计盈利、现金流量与股票价格的实证研究．经济科学，2002第5期，P34-42
[32] 陈君宁，马治天，左殳．盈亏信息和股价变动关系的实证研究．经济师，2002年第2期，P29-30
[33] 李豫湘，刘星．股利决策对股价影响的实证研究．重庆大学学报，1997年9月第20卷第5期(自然科学版)P78-82
[34] 陈晓，陈小悦，倪凡．我国上市公司首次股利信号传递效应的实证研究．经济科学，1998年第5期，P33-43
[35] 魏刚．我国上市公司股利分配的实证研究．经济研究，1998年第6期，P30-36
[36] 施东晖．上海股票市场风险性实证研究．经济研究，1996年第10期，P44-48
[37] 任燮康，黄杰．深圳股市风险——收益研究．预测，1998年第1期，P41-44
[38] 刘志新，卢妲，黄昌利．中国股市预期收益率的横截面研究．经济科学，2000年第3期，P65-70
[39] 何治国．中国股市风险因素实证研究．经济评论，2001年第3期，P81-85
[40] 仪垂林，黄兴旺，王能民，杨彤．中国证券市场的三因素模型分析．南京经济学院学报，2001年第5期，P43-47
[41] 陈信元，张田余，陈冬华．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．金融研究，2001年第6期，P22-35
[42] Scholes, M., William, J., Estimating betas from nonsynchronous data, Journal of Financial Economics. 1977, 43, P701-719.
[43] 邹昊平，唐利民，袁国泉．政策性因素对中国股市的影响：政策对股票投资者的博弈分析．世界经济，2000年第11期，P20-28
[44] 孙培源，施东晖．涨跌幅限制降低了股份波动吗?证券市场导报，2001年第11期，P12-18
[45] 李心丹，王冀宁，傅浩．中国个体证券投资者交易行为的实证研究．经济研究，2000年第11期，P54-63
[46] King, Benjamin F., Market and Industry Factors in Stock Prices Behavior, Journal of Business 39, No.1, Part 2(January 1966), P139-190
[47] Reilly, Frank K., and Eugene Drzycimski, Alternative Industry Performance and Risk, Journal of Financial and Quantitative Analysis, No.3 (June 1974), P423-446
[48] 李梦军，万勇，王向晖．上市公司增发新股公告与资本利得的实证研究．技术经济与管理研究，2001第4期，P54-55
[49] Basu, S. Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hyppothesis. Journal of finance, 1977, vol.32, no.3, P663-681.
[50] 孙培源，施东晖．基于CAPM的中国股市羊群行为研究——兼与宋军、吴冲锋先生商榷．经济研究，2002年第2期，P64-70
[51] 周伟．我国证券市场机构投资者的发展取向初探．现代财经，2000年第3期，P28-29
[52] S.P.Kothori, Jay shanken, and Richard G.Sloan, Another look at the cross-section of expected stock returns, Journal of Finance VOLI, 1995, P185-224
[2] Sharpe W F, Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. The Journal of Finance,1964,19, P425-442
[3] Lintner J. The Valuation of Risk Assets and the selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economic and Statistics. 1965,47, P13-37
[4] Mossin J. Equilibrium in a Capital Asset Market. Econometrica,1966, 34, P768-783
[5] Brennen M. Taxes, market valuation and corporate financial policed. National Tax Journal, 1970,23(4) P417-427
[6] Black F. Capital market equilibrium with restricted borrowing. Journal of Business, 1972,45(7) P444-455
[7] Mayers D. Non-marketable assets and the capital market equilibrium under uncertainty. In: M Jensen (ed). Studies in the Theory of Capital Markets. New York: Praeger, 1972 P223-248
[8] Solnik B. An equilibrium model of international capital markets. Journal of Economic Theory, 1974,8(4), P500-524
[9] Roll R. A Critique of the Asset Pricing Theory' Tests. Journal of Financial Economics, 1977,3 P129-176
[10] Fama and French .The Cross-Section of Expected Stock Return.Journal of Finance, June 1992, P436
[11] 斯蒂芬．佩因曼著．刘力，陆正飞译．财务报表分析与证券定价．北京：中国财政经济出版社，2002年5月第1版，P80
[12] Sharpe W E A simplified model for portfolio analysis. Manangement Sciences, 1963, 9(3), P277-293
[13] Arnott, R.D., C. Kelso, S. Kiseadden and Macedo, "Forecasting Factor Returns: An Intriguing Possibility," Journal of Portfolio Management, Fall 1989,P28-35
[14] Fogler, H. Russell, "Common Sense on CAPM, APT, and Correlated Residuals," Journal of Portfolio Management Summer 1982, P20-28
[15] Fogler, H. Russell, "Common Stock Management in the 1990s", Joumal of Portfolio Management 16 (Winter 1990), P26-35.
[16] Ross S A. The arbitrage theory of capital asset pricing. Journal of Economic Theory, 1976, 13, P341-360
[17] Richard Roll and Stephen A. Ross, 1980, An Empirical Investigation of the Arbitrage Pricing
Theory, The Journal of Finace 35, P1073-1103.
[18] Elton, E.J., M.J. Guber, and J. Rentzler. "The Arbitrage Pricing Model and Returns on Assets Under Uncertain Inflation." Journal of Finance (May 1983), P525-537
[19] Pari, Robert A. and Son-Nan Chen, "An Empirical Test of the Arbitrage Pricing Theory", Journal of Financial Research, Vol.7, No. 2, Summer 1984, 121-130. An abstract is reprinted in the Chartered Financial Analyst Journal. Winter 1985, P36-38.
[20] Chen, Nai-Fu, Richard Roll and Stephen A. Ross, "Economic Forces and the Stock Market", Journal of Business, Vol. 59, No. 3(1986), P383-403.
[21] Chan, Louis K., Yasushi Hamao, and Josef Lakonishok, 1991, Fundementals and stock returns in Japan, Journal of Finance 46, P1379-1789
[22] Fama and Fench, Common risk factors in the return on stocks and bonds, Journal of Financial Economics, 1993,33, P3-50
[23] 许均华，李启亚等．宏观政策对我国股市影响的实证研究．经济研究，2001年第9期 P12-21
[24] 叶中行，柯春雷，李宁．影响上海股市的因素筛选和统计分析．上海交通大学学报，1998年第32卷第3期，P133-135
[25] 胡继之，于华．影响中国股市价格波动若干因素的实证分析．中国社会科学，1999年第3期，P69-87
[26] 唐有瑜．对单指数模型与多因素模型适应性的比较与实证研究——以深圳股票市场为例．投资研究，1999年第7期，P30-37
[27] 李岳，王继平，归江．股价波动及相关冈素的实证研究．数理统计与管理，17卷6期1998年11月，P8-12
[28] 马树才，宋丽敏，王威．沪市股票市场价格影响因素的实证分析．统计研究，2000年第8期，P24-28
[29] 史美景．随机效应方差分量模型及应用——股票换手率及行业因素对收益率影响的定量分析．山西财经大学学报，2002年第1期，P99-101
[30] 陈信元，陈冬华，朱红军．净资产、剩余收益和市场定价——会计信息的价值相关性．金融研究，2002年第4期，P59-70
[31] 陆静，孟卫东，廖刚．上市公司会计盈利、现金流量与股票价格的实证研究．经济科学，2002第5期，P34-42
[32] 陈君宁，马治天，左殳．盈亏信息和股价变动关系的实证研究．经济师，2002年第2期，P29-30
[33] 李豫湘，刘星．股利决策对股价影响的实证研究．重庆大学学报，1997年9月第20卷第5期(自然科学版)P78-82
[34] 陈晓，陈小悦，倪凡．我国上市公司首次股利信号传递效应的实证研究．经济科学，1998年第5期，P33-43
[35] 魏刚．我国上市公司股利分配的实证研究．经济研究，1998年第6期，P30-36
[36] 施东晖．上海股票市场风险性实证研究．经济研究，1996年第10期，P44-48
[37] 任燮康，黄杰．深圳股市风险——收益研究．预测，1998年第1期，P41-44
[38] 刘志新，卢妲，黄昌利．中国股市预期收益率的横截面研究．经济科学，2000年第3期，P65-70
[39] 何治国．中国股市风险因素实证研究．经济评论，2001年第3期，P81-85
[40] 仪垂林，黄兴旺，王能民，杨彤．中国证券市场的三因素模型分析．南京经济学院学报，2001年第5期，P43-47
[41] 陈信元，张田余，陈冬华．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．金融研究，2001年第6期，P22-35
[42] Scholes, M., William, J., Estimating betas from nonsynchronous data, Journal of Financial Economics. 1977, 43, P701-719.
[43] 邹昊平，唐利民，袁国泉．政策性因素对中国股市的影响：政策对股票投资者的博弈分析．世界经济，2000年第11期，P20-28
[44] 孙培源，施东晖．涨跌幅限制降低了股份波动吗?证券市场导报，2001年第11期，P12-18
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