坐庄行为、股票价格对会计盈余的过度反应与资本配置效率  

Manipulation, Overreaction of Stock Price to Earnings, and Fund Allocation Efficiency of A Share Market

作　　者：鲁桂华[1] 

机构地区：[1]中央财经大学会计学院

出　　处：《南开管理评论》2012年第6期25-33,共9页Nankai Business Review

基　　金：国家自然科学基金面上项目(70772037);中央财经大学211工程第三期资助

摘　　要：用市盈率来衡量,A股估值无疑是偏高的,A股需要独立的估值体系这一观点显然无法解释。我们以1998-2009年全部数据可得的非金融上市公司为样本进行研究发现,坐庄行为在会计盈余等基本面数据之外,对股票回报率和股票价格具有增量的解释能力;坐庄行为导致股票回报率和股票价格对会计盈余过度反应;坐庄行为与未来现金流量并不具有显著的相关性。这表明坐庄行为并不具有价格发现功能,而是导致A股估值相对于基本面偏高,将对A股市场资源配置效率产生不利影响。我们的发现也为A股市盈率高的企业提供了一种可能的解释。Compared with matured stock markets in developed countries, the price multiples such as Price - Earnings ratio and Price to Book value ration in emerging Chinese A Share market is significantly higher. How can we interpret the higher price multiples of A Share stocks？ Does A share market need an in- dependent valuation system？ Are Chinese A shares overvalued？ If so, does it mean that Chinese A share market＇s fund alloca- tion efficiency is poor in relation to developed markets？ Using a sample of all data available non-financial listed companies from 1999 to 2008 of SHSE and SZSE, we find that： （1） In ad- dition to fundamental variables such as accounting earnings, and book value of equity etc., proxies of stock price manipula- tion has significant incremental explanation power in both price model and return model, which means the manipulation behav- ior influenced the stock price significantly; （2） Proxies of stock price manipulation have significant positive intercept effects and positive slope effects in both return model and price model, which means stock price or stock return overreacts to account- ing earnings and other fundamental variables in both SHSE and SZSE; （3） We use models in which future earnings level, future earnings change, future cash flow from operating and its change are regressed on proxies of stock price manipulation to inves- tigate whether there arc positive correlations between them. We find no evidence of manipulation positively correlated with future operating cash flow. This suggests that the manipulation causes A share over-valued with respect to fundamental per- spective instead of price discovery, which will impair the effi- ciency of fund allocation of A share market, and which provide a reasonable explanation for the high PE ratio of listed Chinese companies. No matter which proxy for stock price manipulation is used, we get the same results. It means our empirical findings are dependent upon our research design.

关 键 词：坐庄 股票价格 会计盈余 过度反应 资源配置 

分 类 号：F224[经济管理—国民经济] F275F832.51