企业投资预期对股票预期收益的影响--基于Fama-MacBeth回归法的实证研究  

The Impact of Enterprise Investment Expectation on the Stock Expected Return--Empirical Evidence Based on Fama-MacBeth Regression Method

作　　者：范佩霞[1] Fan Peixia(School of Accounting and Finance,Anhui Xinhua University,Hefei,Anhui 230088,China)

机构地区：[1]安徽新华学院财会与金融学院,安徽合肥230088

出　　处：《保定学院学报》2022年第2期9-16,共8页Journal of Baoding University

基　　金：2021年度安徽高校人文社会科学研究项目重点项目“碳中和的产业升级约束机制及安徽对策研究”(SK2021A0774)。

摘　　要：从风险理论、期权理论、托宾Q理论以及总量投资层面和企业投资层面理论分析了企业投资预期对股票预期收益的影响,并提出假设。通过构建企业投资预期变量,基于Fama-MacBeth(1973)回归法,利用2007—2019年中国A股上市企业数据实证检验了企业投资预期对股票预期收益的影响。研究发现,企业投资预期对股票预期收益具有显著的预测能力,投资预期增长率与企业未来收益率之间存在显著的负相关关系,投资预期增长率最低的企业,未来股价表现显著好于投资预期增长率最高的企业。From the risk theory,option theory and Tobin’s Q theory,total investment level and corporate investment level theories analyze the impact of corporate investment expectations on the expected return of stocks,and proposes hypotheses.By constructing enterprise investment expectation variables,based on the Fama-MacBeth(1973)regression method,the data of Chinese A-share listed enterprises from 2007 to 2019 was used to empirically test the impact of corporate investment expectation on the stock expected return.The study found that enterprise investment expectation has significant predictive power for expected stock return,and there is a significant negative correlation between the expected growth rate of investment and the future rate of return.Investing in enterprises with the lowest expected growth rate will have a significantly better future stock price performance than investing in enterprises with the highest expected growth rate.

关 键 词：企业投资预期 股票预期收益 Fama-MacBeth 

分 类 号：F832.48[经济管理—金融学] F275.1