基本面分析在中国A股市场有用吗?——来自季度财务报表的证据  

The Value of Fundamental Analysis in Chinese A-share Stock Market:Evidence from Quarterly Financial Statement

作　　者：汪荣飞 张然[1] Wang Rongfei;Zhang Ran(Guanghua School of Management, Peking University, Beijing, 100871)

机构地区：[1]北京大学光华管理学院

出　　处：《金融学季刊》2018年第1期81-105,共25页Quarterly Journal of Finance

基　　金：国家自然科学基金(71273013和71132004);教育部人文社科研究项目(12YJA630186);光华思想力(#22)研究项目的阶段性成果

摘　　要：本文基于季度财务报表构建六组基本面指标,展示了在中国A股市场进行基本面分析的价值。研究发现,利用基本面指标能够有效预测未来盈余,并且分析师和投资者均未充分意识到基本面指标对未来盈余的指示作用,从而导致可预测的分析师盈余预测偏差和未来股票收益。利用基本面综合指标构建投资策略,套利组合可获得约12.7%的年化收益。本文的结论对于理解会计信息价值、提高我国证券市场效率具有重要意义。This paper investigates the value of fundamental analysis in Chinese A-share stock market.Based on six fundamental signals from quarterly financial statements,we show that fundamental signals are able to predict future earnings.Furthermore,both analysts and investors fail to fully recognize the value of fundamental signals,resulting in predictable earnings forecast errors and future stock returns.Hedge portfolios based on composite fundamental signal earn annual return of 12.7%.Our findings shed lights on the value of accounting information as well as the promotion of market efficiency.

关 键 词：基本面分析 季度财务报表 市场效率 投资策略 

分 类 号：F832.51[经济管理—金融学]