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本文以企业投资与股票收益模式之间的关系为切入点,就股票市场上价值效应成因的投资角度解释进行了分析,并运用GRS时间序列回归检验和广义矩横截面估计的方法对该理论解释进行了实证检验。研究发现,以投资资本比为指标所构建的投资因子,包含着与Fama-French三因素模型中账面市值比因子相近的信息,并且能够与账面市值比因子一样好地解释价值效应。该发现为撤资代价及反周期风险价格是导致价值效应的动因这一理论提供了经验证据,也为经济决策者更好地理解我国企业投资、经济周期和金融市场波动性之间的系统相关性提供了依据。
Based on the relationship between the corporate investment and the stock return model, this paper analyzes the explanation of the investment perspective of the causes of the value effect on the stock market and explains the theory by using GRS time series regression test and generalized moment cross-section estimation Conducted an empirical test. The study found that an investment factor constructed on the basis of investment-to-capital ratio contains information similar to the book-to-market ratio factor in the Fama-French three-factor model and can explain the value effect as well as the book-to-market ratio factor. This finding provides empirical evidence for the theory that divestment costs and countercyclical risk prices are the drivers of value effects and also provides the economic decision-makers a better understanding of the systematic correlation between Chinese business investment, business cycles and financial market volatility Provided the basis.