盈利冲击能解释盈利异象吗?——来自中国的启示  

Do Profitability Shocks Matter for Profitability Anomalies?——Insights from China

作　　者：尹力博[1] Libo Yin(School of Finance,Central University of Finance and Economics)

机构地区：[1]中央财经大学金融学院

出　　处：《经济管理学刊》2023年第4期195-238,共44页Quarterly Journal of Economics and Management

基　　金：国家自然科学基金面上项目(71871234)。

摘　　要：本文从市场未预期现金流冲击的角度探究中国A股市场盈利异象的根源。为了确保结果的可靠性和稳健性,本文采用了多维度的盈利指标,并通过调整未预期现金流冲击来修正这些衡量已实现收益的指标以及事前预期收益指标。实证证据表明,盈利溢价与盈利冲击之间存在显著的正相关关系,盈利冲击可以显著地正向解释盈利溢价。此外,盈利异象的稳定性和盈利冲击的解释能力来源于盈利冲击的持续性,这使得盈利冲击的解释效果可以持续24个月。本文研究为理解盈利溢价的机制提供了新的视角,丰富了有关盈利异象的文献。From the perspective of unexpected cash flow shocks in the market,this study explores the source of profitability anomalies in the Chinese A-share market.We hypothesize that the expectation bias for a firm's profitability information leads to unexpected firm's future cash flows,and the cash flow shocks thus give rise to the variations in stock returns,which appear as the differences in cross-sectional returns among firms with different levels of profitability.Specifically,profitability shocks can positively explain profitability anomalies,and the higher(lower)the profitability shocks of firms are,the unexpected firms profitability is higher(lower),the more(less)the firm's profitability are undervalued,thus generating a higher(lower)stock return.To investigate whether cash flow shocks can explain profitability anomalies,we use the expected profitability from a cross-sectional profitability model to proxy for the expected cash flows.The major advantages of the cross-sectional profitability model include the substantially wider cross-sectional and time-series coverage,lower levels of forecast bias and more precise earnings response coefficients;thus,it can capture a large portion of the variations in expected profitability across firms.Then,as the proxy for cash flow shocks,we calculate the profitability shocks by taking the difference between the realized profitability and the expected profitability based on the cross-sectional profitability model.It's important to note the meaning of profitability shock is different from the notion of expectation error for profitability or earning surprise in the existing literature.First,the theoretical basis of profitability shocks based on present-value model suggests a firm's stock returns are driven by shocks to expected cash flows and/or shocks to discount rates.Second,the profitability shocks can objectively reveal the profitability deviations by using firms operating information that can forecast the firms future profitability for cross-sectional regression.Third,the expla

关 键 词：盈利异象 盈利冲击 预期股票收益 资产定价测试 

分 类 号：F830.9[经济管理—金融学]