中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--资产定价
工作论文
2011-08-30 第4卷 第4期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

盈余管理、价值相关性和公司估值

赵益康 中国石油大学(北京)工商管理学院
郝洪 中国石油大学(北京)工商管理学院

Persistence of Size and Value Premia and the Robustness of the Fama-French Three Factor Model in the Hong Kong Stock Market

Gilbert V. Nartea Lincoln University, New ZealandFaculty of Commerce
Christopher Gan Lincoln University, New ZealandFaculty of Commerce
Ji Wu Lincoln University, New ZealandFaculty of Commerce

On China’s Monetary Policy and Asset Prices

Shujie Yao University of Nottingham, UKSchool of Contemporary Chinese Studies
Dan Luo University of Nottingham, UKSchool of Contemporary Chinese Studies
Lixia Loh University of the West of EnglandCentre of Global Finance, Bristol Business School

The Impact of Chinese Exchange Rate Policy on Global Stock Markets:Evidence from Firm-Level Data

Barry Eichengreen University of California at BerkeleyEconomics Department
Hui Tong International Monetary FundResearch Department

BOOMS AND BUSTS IN CHINA’S STOCK MARKET: ESTIMATES BASED ON FUNDAMENTALS

Gabe J. de Bondt EUROPEAN CENTRAL BANKRESEARCH CENTRE
Tuomas A. Peltronen EUROPEAN CENTRAL BANKRESEARCH CENTRE
Daniel Santabárbara EUROPEAN CENTRAL BANKRESEARCH CENTRE


论文摘要

盈余管理、价值相关性和公司估值

赵益康 中国石油大学(北京)工商管理学院
郝洪中国石油大学(北京)工商管理学院

盈余和股东权益的账面价值是投资者最常用的估值基础。然而盈余的可靠性(用盈余管理程度表示)可能会影响其价值相关性,继而可能影响账面价值的价值相关性。本文通过分析盈余管理对这两个估值基础价值相关性的影响,将盈余管理、价值相关性和公司估值这三者联系起来。笔者在Ohlson模型中加入盈余管理虚拟变量观察盈余管理对盈余和账面价值的价值相关性的影响。实证结果表明盈余管理虽然不会降低盈余的价值相关性,但是会在一定程度上提高账面价值在估值中作用。在此基础上,笔者研究了基于盈余信息的市盈率模型(P/E)和基于账面价值信息的市净率模型(P/B)在我国资本市场上的估值实务,结果表明盈余管理不会影响P/E和P/B相对估值模型的准确度,但在我国P/B模型的表现要优于P/E模型。

Persistence of Size and Value Premia and the Robustness of the Fama-French Three Factor Model in the Hong Kong Stock Market

Gilbert V. Nartea Lincoln University, New ZealandFaculty of Commerce
Christopher Gan Lincoln University, New ZealandFaculty of Commerce
Ji Wu Lincoln University, New ZealandFaculty of Commerce

We use Hong Kong stock market data for 1982-2001 to test the persistence of the size and value premia and the robustness of the Fama-French (FF) three-factor model in explaining the variation in stock returns. We document a statistically significant and persistent size effect or size premium that is robust even for non-January months but is heightened in January. We also find that the reversal of the size effect in January reported by Chui and Wei (1998) is unique to their study period, while the general reversal of the size effect reported by Lam (2002) may be due to a sample dominated by firms with low to medium book equity-to-market ratios. The book to market effect or value premium is weaker than the size effect and less consistent than in Fama and French (1993) and Drew and Veeraraghavan (2003). Our results also support the explanation that the size and value premia are rewards for risk bearing consistent with the efficient market hypothesis. We further find a large improvement in explanatory power provided by the French and Fama model relative to the CAPM but that the FF model is mis-specified for the Hong Kong market.

On China’s Monetary Policy and Asset Prices

Shujie Yao University of Nottingham, UKSchool of Contemporary Chinese Studies
Dan Luo University of Nottingham, UKSchool of Contemporary Chinese Studies
Lixia Loh University of the West of EnglandCentre of Global Finance, Bristol Business School

This paper investigates the dynamic and long-run relationships between monetary policy and asset prices in China using monthly data from June 2005 to September 2010. Johansen’s cointegration approach based on vector autoregression (VAR) and Granger causality test are used to identify the long-run relationships and directions of causality between asset prices and monetary variables. Empirical results show that monetary policies have little immediate effect on asset prices, suggesting that Chinese investors may be ‘irrational’ and ‘speculative’. Instead of running away from the market, investors rush to buy houses or shares whenever tightening monetary actions are taken. Such seemingly irrational and speculative behavior can be explained by various social and economic factors, including lack of investment channels, market imperfections, cultural traditions, urbanization and demographic changes. The results have two important policy implications. First, China’s central bank has not used and should not use interest rate alone to maintain macro-economic stability. Second, both monetary and non-monetary policies should be deployed when asset bubbles loom large to avoid devastating consequences when they burst.

The Impact of Chinese Exchange Rate Policy on Global Stock Markets:Evidence from Firm-Level Data

Barry Eichengreen University of California at BerkeleyEconomics Department
Hui Tong International Monetary FundResearch Department

This paper examines the impact of renminbi revaluation on foreign firm valuation and, by implication, firm prospects. To deal with the potential endogeneity of exchange rate movements, we consider not just official announcements of exchange rate policy but also 27 instances of market-perceived changes in China’s currency policy driven by domestic or foreign political pressure. Using information on 12,300 firms in 44 countries, we find that stock returns increased with renminbi revaluation expectations. This reaction was related as much to improved market sentiment as to specific trade channels, however. In terms of trade channels, we find that expectations of renminbi appreciation reduce the relative stock returns of firms providing components and raw materials to China as inputs for the country’s exports. There is also some evidence that expectations of renminbi appreciation reduce the stock prices of financiallyconstrained firms.

BOOMS AND BUSTS IN CHINA’S STOCK MARKET: ESTIMATES BASED ON FUNDAMENTALS

Gabe J. de Bondt EUROPEAN CENTRAL BANKRESEARCH CENTRE
Tuomas A. Peltronen EUROPEAN CENTRAL BANKRESEARCH CENTRE
Daniel Santabárbara EUROPEAN CENTRAL BANKRESEARCH CENTRE

This paper empirically models China’s stock prices using conventional fundamentals: corporate earnings, risk-free interest rate, and a proxy for equity risk premium. It uses the estimated long-run stock price misalignments to date booms and busts, and analyses equity market reforms and excess liquidity as potential drivers of these stock price misalignments. Our results show that China’s equity prices can be reasonable well modelled using fundamentals, but that various booms and busts can be identified. Policy actions, either taking the form of deposit rate changes, equity market reforms or excess liquidity, seem to have significantly contributed to these misalignments.


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