Critical Finance Review, 2016, 5: 165–175

再论实质和非实质信息的市场反应

作者：Kent Daniel (Columbia University and NBER), Sheridan Titman (University of Texas, Austin and NBER)

摘要：正如Gerakos和Linnainmaa (2016)指出的，Daniel和Titman (2006)将收益率分解为实质和非实质成分可能是指代不明的。具体而言，DT用来作为衡量长期业绩的实质性度量的账面收益率，即经过调整的每股账面价值增长率，除了受到其盈利的影响外，还可能被公司选择发行股票或者回购所影响。本文澄清了总账面价值增长率、我们的账面收益率变量和我们的股票发行合成变量之间的关系，证明了我们之前的结论是强有力的。我们也提供了样本外测试。

关键词：资产定价，股票收益率，市场有效性

Another Look at Market Responses to Tangible and Intangible Information

Kent Daniel (Columbia University and NBER), Sheridan Titman (University of Texas, Austin and NBER)

ABSTRACT

As Gerakos and Linnainmaa (2016) point out, the Daniel and Titman (2006) decomposition of returns into tangible and intangible components can potentially be ambiguous. In particular DT’s book-return, the adjusted growth rate in book value per-share which DT use as a tangible measure of long-term performance, can be affected by a firm’s issuance and repurchase choices as well as by its profitability. This paper clarifies the relation between total book equity growth, our book-return measure, and our composite share issuance variable, and shows that our earlier conclusions are robust. We also provide out-of-sample tests.

Keywords: Asset Pricing; Stock Returns; Market Efficiency

原文链接：http://cfr.ivo-welch.info/readers/pub/cfr-031.pdf

翻译：任兆月