供应链间经济关联和股票收益可预测性——基于错误定价视角的异象检验  

Stock Return Predictability and Economic Ties to Supply Chains: Anomaly Testing from a Mispricing Perspective

作　　者：高杨 董青 周方召 Gao Yang;Dong Qing;Zhou Fangzhao(School of Economics,Huazhong University of Science and Technology,Wuhan 430074,Hubei,China;School of Business,Jiangnan University,Wuxi 214122,Jiangsu,China)

机构地区：[1]华中科技大学经济学院,湖北武汉430074 [2]江南大学商学院,江苏无锡214122

出　　处：《金融经济学研究》2022年第5期62-77,共16页Financial Economics Research

基　　金：国家自然科学基金青年项目(72103070);教育部人文社会科学研究项目(20YJA790095)。

摘　　要：跨公司经济关联的股票收益异象是实证资产定价领域的重要研究内容。从客户—供应商的供应链关联视角出发,基于2009—2020年中国沪深A股制造业上市公司数据,采用组合分析和因子研究方法对跨公司供应链关联的收益可预测性和异象来源进行分析,研究结果表明,制造业公司股票收益存在明显的共同季节性效应,通过供应链关联的多空对冲组合在同期可以产生显著的正收益。供应链关联对冲套利在下一个月出现显著的反转异象,该异象在股市下行阶段和非国有上市公司中尤为明显。供应链关联投资组合的超额收益主要来源于错误定价,而非风险补偿。因此,公司应重视供应链间的管理与合作,加强客户关系维护,与主要客户建立稳固、互惠的长期合作关系,形成稳定的信息反馈;相关部门也应加强投资者金融素养教育,提升市场定价效率和维护市场稳定。Stock return anomalies arising from cross-firm economic linkages serve as important research content in the area of empirical asset pricing.This study analyzed return predictability and anomaly arising from cross-firm supply chain linkages using portfolio analysis and factorial research methods from the perspective of customer-supplier supply chain linkages based on the data of Chinese A-share listed manufacturing firms in Shanghai and Shenzhen from 2009 to 2020.The results showed that there is evidently a common seasonal effect in the stock returns of manufacturing firms, and significant positive returns can be generated within the same period using a long-short hedging portfolio with supply chain linkages.After a hedge and arbitrage on supply chain linkages, a significant reversal anomaly shows up in the next month.This anomaly is especially clear when the stock market is going down and among firms that are not owned by the government.Mispricing, rather than risk compensation, was the primary driver of excess returns on the investment portfolio that leveraged supply chain interlinkages.Therefore, businesses should prioritize supply chain management and collaboration;increase their efforts to retain customers;cultivate long-term, mutually beneficial relationships with their most important clients;and set up a reliable information feedback mechanism.Also, the relevant agencies should do more to promote investor education in financial literacy, price efficiency in the market, and market stability.

关 键 词：供应链经济关联 收益可预测性 季节性效应 反转异象 错误定价 

分 类 号：F832.5[经济管理—金融学]