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资产增长效应的存在对市场有效性理论提出了挑战,近年来该异象受到金融学界的关注.学者们提出了多种衡量资产增长的实证性指标,这些指标或仅考察了部分资产成分的增长,或笼统地考察总资产的增长而没有剔除其中的噪音成分,导致以往研究结论存在一定的局限性.基于此,文章试图在剔除噪音资产成分的基础上,将更多的与未来股票收益负向相关的资产成分纳入指标的构建,提出使用经营资产增长率指标来衡量上市公司资产变动状况,并运用分组法、Fama-MacBeth横截面回归法、时间序列回归法以及非重叠套利投资战略等工具,以1994-2012年A股市场中非金融类上市公司为样本,实证分析了各种资产增长率指标和股票收益之间的关系.研究表明:经营资产增长率能够全面度量上市公司的资产增长状况,充分反映资产增长效应,是度量资产增长的代表性指标,依据该指标形成的套利组合获得的收益也是最高的,从而为投资决策提供更为准确的依据.
The existence of asset growth effect poses a challenge to the theory of market effectiveness, which has attracted the attention of the financial scholars in recent years.Searchers have proposed a variety of empirical indicators to measure asset growth, which only examine the growth of some asset components , Or examining the growth of total assets without removing the noise components, leading to some limitations of the previous research conclusions.Therefore, the article attempts to eliminate the noise component of assets, based on the more and the future stock returns negative Put forward the construction of index to related assets, put forward the use of indicators of growth rate of business assets to measure the changes of assets of listed companies, and use grouping method, Fama-MacBeth cross-sectional regression, time series regression and non-overlapping arbitrage investment strategy tools , This paper empirically analyzes the relationship between various assets growth rate indicators and stock returns with the sample of non-financial listed companies in A-share markets from 1994 to 2012. The results show that the growth rate of operating assets can comprehensively measure the growth of assets of listed companies Status, fully reflect the effect of asset growth, is a representative measure of asset growth, according to the indicator Earnings to a combination of arbitrage is the highest obtained to provide a more accurate basis for investment decisions.