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根据关于账面市值比效应的财务风险论和过度反应论分别推导了账面市值比与盈余-回报相关性的关系,以A股上市公司为样本做了分组研究。实证结果支持过度反应论,没有证据支持财务风险论。对高BM值和低BM值的公司,当前期的过度反应在本期得到纠正时,盈余-回报相关性强,否则盈余-回报相关性弱;对期初BM值居中的公司,如果本期没有发生过度反应,那么盈余-回报相关性强,否则盈余-回报相关性弱。在短期内,账面市值比效应并不普遍存在。
According to the financial risk theory and the overreaction theory about the book-to-market ratio effect, this paper deduces the relationship between the book-to-market ratio and earnings-return respectively, and makes a group study on the A-share listed companies. Empirical results support overreaction theory, there is no evidence to support the theory of financial risk. For companies with high BM and low BM, current-period overreaction will be corrected in the current period with strong earnings-return correlation or else earnings-return weakness. For companies with mid-early BM, if the current period is not Overreaction occurs, then the earnings-return correlation is strong, otherwise the earnings-return weakness. In the short run, the book-to-market ratio effect is not ubiquitous.