宏观经济周期、企业生产与股票资产定价——基于沪市上市公司的经验研究  

Business Cycles,Production and Stock Index Returns——An Empirica Analysis of Shanghai Listed Companies

作　　者：张红伟[1] 杨琨[1] 向玉冰[1] 

机构地区：[1]四川大学经济学院

出　　处：《国际金融研究》2017年第5期76-85,共10页Studies of International Finance

基　　金：四川省社科规划重大招标项目"金融与实体经济协调发展研究"(SC14ZD02)资助

摘　　要：本文从中国经济现状出发,尝试在代表性企业跨期生产模型上,首次提出用生产资产比来考察宏观经济周期和企业生产对股票资产定价的影响。研究表明:第一,生产资产比反映了代表性企业根据时变预期收益率做出的生产决策,预期收益率是由宏观经济周期所决定。第二,2000年第一季度至2015年第四季度期间,沪市上市公司的生产资产比和股指收益率呈现出慢涨急跌的均值回归特征,两者存在明显的正相关关系。第三,生产资产比滞后一期和四期对股指收益率具有较强的解释和预测能力,说明企业生产提供股票价值中枢,生产资产比间接测度企业的预期收益率,能显著预测股指收益率对价值中枢的短期偏离程度。Based on China＇s economy, the paper constructs the typical company＇s intertemporal production decision, and first comes up with the production-to-asset ratio to reveal the relationship between the ratio and Chinese Stock Market Index quarterly returns from 2000 to 2015. The research demonstrates： Firstly, the production-to-asset ratio depicts the relationship between stock index return and business cycles. Secondly, the production-to-asset ratio and stock index return share the characteristics of asymmetrical mean reversion. Finally, the production-asset ratio is strong predictors of both quarterly Shanghai and Shenzhen Stock Market Index returns, especially for the ratio one and four terms lagging behind. Specifically, the production of the companies equally provides the trend of the stock while the production-asset ratio measures the deviation from the trend which summarizes agents＂ expectations of future returns on the market.

关 键 词：宏观经济周期 企业生产 生产资产比 市场收益率 股票资产定价 

分 类 号：F831[经济管理—金融学]