公司盈利能力、异质投资者信念和股票回报的变化

IF 5.4 2区 管理学 Q1 BUSINESS, FINANCE Journal of Management Science and Engineering Pub Date : 2023-06-01 DOI:10.1016/j.jmse.2022.10.004
Yifang Liu, Baochen Yang, Yunpeng Su
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引用次数: 0

摘要

在这项研究中,我们发现盈利能力的变化可以预测公司的股票回报率和未来的盈利能力。我们构建了三个基于地平线的盈利能力变化,包括短期、中期和长期变化。我们发现,中国股市的盈利水平并不包含盈利能力短期变化的预测信息。我们还发现,短期盈利能力的变化会在不同的市场状态下产生不对称的溢价。此外,我们发现贝塔异常嵌入了盈利能力短期变化产生的溢价中。此外,我们还探讨了盈利能力溢价的潜在机制,并提出了一个异质投资者信念渠道来解释盈利能力溢价。我们发现基于风险的q理论也有助于解释盈利能力溢价。因此,盈利能力溢价的来源是混合的,不能完全用单一的理论来解释。
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Changes in firm profitability, heterogeneous investor beliefs, and stock returns

In this study, we show that changes in profitability predict a firm's stock returns and future profitability. We construct three horizon-based profitability changes, including short-, medium-, and long-term changes. We find that the predictive information for short-term changes in profitability is not subsumed by the profitability level in the Chinese stock market. We also find that short-term profitability changes generate an asymmetrical premium across different market states. Furthermore, we find that the beta anomaly is embedded in the premium generated by a short-term change in profitability. In addition, we explore the underlying mechanisms of the profitability premium and propose a heterogeneous investor belief channel to explain the profitability premium. We find that risk-based q-theory also helps explain the profitability premium. Therefore, the profitability premium comes from a mixed source and cannot be entirely explained by a single theory.

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来源期刊
Journal of Management Science and Engineering
Journal of Management Science and Engineering Engineering-Engineering (miscellaneous)
CiteScore
9.30
自引率
3.00%
发文量
37
审稿时长
108 days
期刊介绍: The Journal of Engineering and Applied Science (JEAS) is the official journal of the Faculty of Engineering, Cairo University (CUFE), Egypt, established in 1816. The Journal of Engineering and Applied Science publishes fundamental and applied research articles and reviews spanning different areas of engineering disciplines, applications, and interdisciplinary topics.
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