现金流信息、现金流风险与股票收益定价研究  

Cashflownews,cashflow risk and pricing of stock returns

作　　者：宿成建[1,2] 

机构地区：[1]贵州财经大学金融学院,贵阳550025 [2]四川大学锦城学院金融系,成都611731

出　　处：《管理科学学报》2016年第5期102-113,126,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71572052;71572091);贵州省科学技术基金资助项目(黔科合J字[2013]2088号)

摘　　要：研究了现金流信息、现金流风险与股票收益定价的关系,建立了包含现金流信息的多变量股票非预期收益定价模型,并采用2002年1月至2011年4月间中国股票市场的有关交易数据、机构会计收益预测数据和财务数据,检验了理论模型和实证模型的预测,发现:1)由证券分析师盈余预测修正估计出的正现金流信息对股票非预期收益、股票实际收益、股票超额收益均具有稳健的解释能力;2)由证券分析师盈余预测估计出的现金流风险反映了股票的系统风险,可以对股票预期收益定价;3)在解释股票超额收益方面,由现金流信息、现金流风险、分析师跟踪人数与宿成建3变量模型构成的多变量模型优越于Fama-French 3因子模型变量与现金流信息、现金流风险构成的多变量模型.The paper derives and tests the relationship between current-period unexpected returns and unexpected earnings that incorporates cashflow news and cashflow risk. A new multi-variable model based on a three-variable model is established to explain the unexpected individual stock returns. The paper estimates the model using data for individual stocks in China＇ s market from 2002 to 2011. The main findings are： （i）The result of the cashflow news derived by revisions in forecasts of future earnings is an important determinant of cross-sectional unexpected stock returns and realized stock returns and excess stock returns; （ ii ） The cash- flow risk thus derived to reflect systematic risk can explain expected stock returns ; （ iii ） The new multi-varia- ble model based on the three-variable of model and considering cashflow news and cashflow risk dominates the multi-variable model based based on the three-factor model Fama-Freneh and considering cashflow news and cashflow risk in explaining excess stock returns.

关 键 词：股票预期收益 股票非预期收益 现金流信息 现金流风险 

分 类 号：F830.91[经济管理—金融学]