成长型公司财务报表分析与股票未来收益——来自中国上市公司的经验证据  

Financial Statement Analysis of Growth Companies and Future Stock Return——Evidence from Chinese Listed Companies

作　　者：孔宁宁[1] 张新民[1] 李寅迎[1] 

机构地区：[1]对外经济贸易大学,100029

出　　处：《会计研究》2010年第6期37-43,共7页Accounting Research

基　　金：对外经济贸易大学"211工程"三期重点学科建设项目(73400050);对外经济贸易大学学术创新团队资助项目的阶段性研究成果

摘　　要：本文选取2001-2005年沪深两市低账面市值比公司作为研究样本,构造可用于判别成长型公司财务状况的综合财务指标G指数,旨在帮助投资者发现成长型公司的投资价值。研究结果表明,G指数投资分析方法对于判别我国成长型公司的投资价值是有效的,投资者可以通过构建恰当G指数投资组合获取超额收益。本文提出的指数分析理念有助于提升传统财务报表分析的价值,同时为账面市值比效应产生于定价偏误提供了证据支持。This paper tests whether a strategy called G_score based on financial statement analysis is successful in helping investors identify the value of Growth companies in terms of future stock performance by using financial data of Chinese listed companies from 2001 to 2005.The research shows that G_score strategy based on buying high G_score firms and shorting low G_score firms consistently earns significant excess returns.Further,the paper proves the effectiveness of analyzing financial statement by using score in differentiating between winners and losers of growth stocks,and supports the mispricing based explanation for the BM effect.

关 键 词：账面市值比效应 成长型股票 G指数股票收益率 

分 类 号：F275[经济管理—企业管理] F832.51[经济管理—国民经济]