股市盈余惯性及其形成机制研究  

The Formation of Earnings Momentum

作　　者：程昆[1] 吕嘉琪 刘佳嫒 张祺 CHENG Kun;LV Jia-qi;LIU Jia-ai;ZHANG Qi(College of Economics and Management,South China Agricultural University,Guangzhou510642,Guangdong;Guangzhou Securities Co.,Ltd,Guanghzou510623,Guangdong;Faculty of Arts and Science,University of Toronto,Toronto,Ontario,Canada;Beijing Branch,Bank of China Limited,Chaoyang District,Beijing 100005)

机构地区：[1]华南农业大学经济管理学院,广东广州510642 [2]广州证券股份有限公司,广东广州510623 [3]加拿大多伦多大学人文与科学学院 [4]广发银行股份有限公司北京分行,北京朝阳100005

出　　处：《商学研究》2018年第4期56-65,共10页Commercial Science Research

基　　金：国家社会科学基金一般项目(14BJY186)

摘　　要：中国A股上市公司在盈余公告后,标准化的未预期盈余(SUE)高的股票组合在下一期的股票回报率高,呈现盈余惯性现象。本文研究了盈余的决定,进而分析了盈余惯性的形成机制。如果上市公司在上一期的边际q及其增长率低,投资资本比也低,会使得当期的产出资本比增长率高和利息费用增长率低,因此,其未预期盈余较高。盈余惯性的形成机制为,SUE高的上市公司因为当期投资资本比和边际q低,使得其在下一期资本的边际产出高,红利收益率高,而且,在盈余增长较快的"好消息"刺激下,企业在下一期会增加投资,投资资本比提高,资本的边际价值增长幅度大,资本利得高,从而导致其资本回报率高,而高资本回报率决定了其股票回报率也高。In China＇s A-share stock market, the stock portfolios with higher standardized unexpected surprising earnings （SUE） have higher returns in the next period after post-earnings announcement, which is called earnings momentum. This paper studies the decision mechanism of earnings and the formation mechanism of earnings momentum. The firms with low marginal q and low q growth rates in period t-1, coinciding with low investment-to-capital ratios, have high growth rates of marginal capital output and low growth rates of financial expenses in period t. Therefore, they have high SUEs. The formation mechanism of earnings momentum is that the firms with high SUEs have high marginal outputs and high dividend yields in period t＋1 due to low investment-to-capital ratios and low marginal q in period t. Moreover, the good news of high earning growth rates encourages the firms to increase investment in period t＋1, then the growth rates of capital value and the capital gains increase with high investment-to-capital ratios. Consequently, the firms have high returns on investment, and they have high returns on stock accordingly.

关 键 词：未预期盈余 盈余惯性 边际q 股票回报率 

分 类 号：F830.91[经济管理—金融学]