经济周期、货币供给周期动态影响下上市公司盈利波动和估值变动——A股市场周期波动的一个解释框架  

Profitability Volatility and Valuation Fluctuation Influenced by Business Cycle and Money-supply Cycle——A General Research Framework on A-share Market Cyclical Fluctuation

作　　者：陈一博[1] 宛晶[2] 

机构地区：[1]复旦大学管理学院,上海200433 [2]中国人民大学劳动人事学院,北京100872

出　　处：《广东金融学院学报》2012年第5期39-52,共14页Journal of Guangdong University of Finance

摘　　要：采用2006～2011年的数据,对A股加权平均净资产收益率(ROE)与实际GDP同比增长率、通货膨胀率之间的相关关系,以及A股平均滚动市盈率与M1同比增长率、居民储蓄存款余额同比增长率之间的相关关系进行了实证检验。研究结果表明,上市公司的盈利周期由经济周期决定,估值波动周期由货币供给周期决定,"经济周期——货币政策——货币供给周期"三者之间形成的动态循环是A股市场周期波动的内在驱动力。利用经济周期各个阶段中经济增长、通货膨胀、货币政策、货币供应量变化分别对上市公司盈利、估值的影响,构建了一个A股市场周期波动的解释框架,并运用该框架较好地解释了2006～2011年A股市场两轮牛熊市的形成机理。This paper conducted two empirical tests on the time - series data covering years from 2006 to 2011. The first is testing the correlation between the weighted average rate of return on common stockholders＇ equity of all A -share listed companies, the growth rate of real GDP and the rate of inflation. The second is testing the correlation between the average price -earnings ratio of trailing twelve months ,the growth rate of M1 and the growth rate of residents＇ savings deposits. The conclusion of this paper is, the profitability cycle of listed companies is determined by business cycle, the valuation fluctuation cycle of listed companies is determined by money -supply cycle. The dynamic loop between business cycle, monetary policy and money -supply cycle is the inner d.riving force of the A -share market cyclical fluctuation. This paper builds an interpretative framework for A-share market cyclical fluctuation, based on the impacts of economic growth, inflation, monetary policy, money supply to the listed companies＇ profitability and valuation in each stage of business cycle. This interpretative framework reveals the formation mechanism of the two market cycles from 2006 to 2011.

关 键 词：经济周期 货币供给周期 盈利波动 估值变动 

分 类 号：F830.9[经济管理—金融学]