公司基本面、投资者认知及股票回报  

Company Fundamentals,Investor Perception,and Stock Return

作　　者：雷光勇[1,2] 张英[2] 姜彭[2] 

机构地区：[1]对外经济贸易大学国际财务与会计研究中心,北京100029 [2]对外经济贸易大学国际商学院,北京100029

出　　处：《会计与经济研究》2013年第6期8-16,共9页Accounting and Economics Research

基　　金：国家自然科学基金项目(71372060;71102076)

摘　　要：新中国股市从最初建立至今,其主要功能一直是上市公司的融资市场,而投资市场的投资功能,即投资者依据上市公司基本面进行投资决策能否获取较高回报,则仍存在争议。通过检验公司基本面对股票回报的影响,以及基本面对股票回报的解释力,研究发现,只有具有持续性的公司基本面才能对股票回报产生显著影响;影响公司基本面的新消息只有在坏消息的情况下,才能对股票回报具有显著作用。当公司处于较为稳定的外部环境或经营周期时,投资者的投资机会较少,而当市场出现坏消息时,投资机会大增。研究还发现,除公司基本面之外,投资者认知也是解释股票回报的重要因素;而只在新消息是坏消息时,其对股票回报的影响才显著。The main function of China＇s stock market is capital financing for public companies since its foundation.However,the investment function,that is,whether investors get high returns when they make investment decisions according to company fundamentals,has been controversial.Through testing the effect of fundamentals on stock return,and the explanatory power of fundamentals on stock return,the paper finds that only fundamentals of continuous nature and bad news of company fundamentals have significant effect on stock return.When the firm goes into a stable environment or an operating cycle, investment opportunities are few.On the other hand,investment opportunities are significantly increased for bad news in the market.In addition,besides fundamentals,stock return is also explained by investor perception,whose impact is insignificant only when the news is good.

关 键 词：公司基本面 投资者认知 股票回报 

分 类 号：F830.91[经济管理—金融学]