Journal of Banking and Finance ·Volume 87· February 2017

Q理论，错误定价和盈利溢价：来自中国的证据

作者：Fuwei Jiang (School of Finance, Central University of Finance and Economics)

Xinlin Qi (Global Market Department, Industrial and Commercial Bank of China (ICBC))

Guohao Tang(College of Finance and Statistics, Hunan University)

摘要：我们使用各种实证方法发现，在中国，盈利能力较高的公司产生的未来股票收益率远高于盈利能力较低的公司。盈利能力对预期收益的正面影响在控制其他公司特征和风险后依然稳健。我们发现，低投资摩擦的公司的盈利溢价较强，这与基于投资的Q理论资产定价模型的含义是一致的。然而，套利限制较高的公司的溢价并不高，这与行为错误定价的解释相矛盾。

关键词：盈利溢价，中国股票市场，投资摩擦，Q理论，错误定价

Q-theory, mispricing, and profitability premium: Evidence from China

Fuwei Jiang (School of Finance, Central University of Finance and Economics) Xinlin Qi (Global Market Department, Industrial and Commercial Bank of China (ICBC)) Guohao Tang(College of Finance and Statistics, Hunan University)

ABSTRACT

Using various empirical measures, we find that, in China, firms with high profitability generate substantially higher future stock returns than those with low profitability. This positive effect of profitability on expected returns is robust to controlling for other firm characteristics and risks. We show that the profitability premium is stronger among firms with low investment friction, which is consistent with the implications of investment-based q-theory asset pricing models. However, the premium is not stronger among firms with high limits to arbitrage, contradicting behavioral mispricing explanations.

Keywords: Profitability premium, Chinese stock market, Investment frictions, Q-theory, Mispricing

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426617302480

翻译：张展