市场错误定价、价值投资超额收益及其成因研究  

Market Mispricing and Stock Returns:Heterogeneous Beliefs or Invement Risk?

作　　者：卿小权[1] 王化成[1] 张伟华[2] 马晓逵[1] 

机构地区：[1]中国人民大学,北京100872 [2]北京工商大学,北京100037

出　　处：《中国经济问题》2012年第1期92-102,共11页China Economic Studies

基　　金：国家自然科学基金项目(70872106);国家自然科学基金项目(70501029);教育部人文社会科学研究项目(07JA790005);北京工商大学研究生科研学术创新基金项目资助

摘　　要：本文以1999—2008年沪深A股上市公司为样本,系统地检验了市场错误定价与横截面股票收益之间的关系,并对价值投资策略能获取超额收益的成因进行探讨。实证结果表明,市场错误定价现象常年存在,且对横截面股票收益具有较强的预测作用,持有价值型股票组合在未来1年能获取正的超额收益;价值投资的超额收益主要归因于投资者异质信念与上市公司的财务困境风险,与股票系统风险并不显著相关。Basing on the data from Shanghai and Shenzhen A-share listed companies, this paper examines the relation between the market mispricing and cross-sectional stock returns, and then we explore the reason for value strategies can obtain abnormal returns. The results show that the market mis-prieing phenomenon always exists, and by which we can predict cross-sectional stock returns well, to buy and hold a portfolio of value stocks can obtain positive abnormal returns in the coming year;moreover, the abnormal returns for value portfolio mainly due to heterogeneous investors＇ beliefs and risks of companies＇ financial distress, but not significantly related to the systematic risk of stocks.

关 键 词：市场错误定价 股票收益 异质信念 投资风险 

分 类 号：F224[经济管理—国民经济] F832.51