资产增长度量指标新论——经营资产增长率指标的提出与实证分析  

The new research on measures of asset growth——The proposal and empirical analysis of the operating asset growth

作　　者：张腊凤[1] 刘维奇[2,3] 

机构地区：[1]山西大学经济与管理学院,太原030006 [2]山西大学管理与决策研究中心,太原030006 [3]山西财经大学财政与金融学院,太原030006

出　　处：《系统工程理论与实践》2016年第6期1382-1391,共10页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金面上项目(71371113);教育部人文社科研究项目(14YJA790034)~~

摘　　要：资产增长效应的存在对市场有效性理论提出了挑战,近年来该异象受到金融学界的关注.学者们提出了多种衡量资产增长的实证性指标,这些指标或仅考察了部分资产成分的增长,或笼统地考察总资产的增长而没有剔除其中的噪音成分,导致以往研究结论存在一定的局限性.基于此,文章试图在剔除噪音资产成分的基础上,将更多的与未来股票收益负向相关的资产成分纳入指标的构建,提出使用经营资产增长率指标来衡量上市公司资产变动状况,并运用分组法、Fama-MacBeth横截面回归法、时间序列回归法以及非重叠套利投资战略等工具,以1994-2012年A股市场中非金融类上市公司为样本,实证分析了各种资产增长率指标和股票收益之间的关系.研究表明:经营资产增长率能够全面度量上市公司的资产增长状况,充分反映资产增长效应,是度量资产增长的代表性指标,依据该指标形成的套利组合获得的收益也是最高的,从而为投资决策提供更为准确的依据.The effect of asset growth poses a chMlenge for the efficient market hypothesis, which has drawn the attention of financial circles in recent years. Scholars have proposed a variety of empirical measures of asset growth that either only cover parts of asset growth or roughly examine the total asset growth without eliminating the noisy components, which leads to some limitations in the conclusions about the previous research. Based on this, the paper aims to put forward the operating assets growth for measuring the asset changes of listed companies by eliminating noisy asset components and incorporating more asset components negatively correlated to future stock returns into the construction of measures. Also, with the sample of non-financial listed companies in A stock market during the period of 1994 to 2012, the paper gives an empirical analysis of the relationship between the various asset growth measures and the stock returns by sorting, Fama-MacBeth cross-section regression, time series regression and nonoverlap hedge strategy. It shows in the study that the operating asset growth, the standard measure of asset growth, can serve as a comprehensive measure of the asset changes of listed companies and give a full reflection of the asset growth effect in stock market; the hedging portfolio from this measure can ensure the biggest return and offer a more precise criteria for investment decisions.

关 键 词：资产增长效应 资产增长度量指标 经营资产增长率 总资产增长率 

分 类 号：F832[经济管理—金融学]