中国资产管理研究中心论文推送-455-会计基本面在时间序列和横截面中的定价和错误定价

Posted 2021-05-02 中国资产管理研究中心

会计基本面在时间序列和横截面中的定价和错误定价

Contemporary Accounting Research • V olume 34, Issue 3 • Fall 2017

摘要：本研究考察了仅包含公开可用的历史会计信息的简约和一般横截面评估模型能在多大程度上解释横截面中的股价、识别市场错误定价更加普遍的时期、以及确定哪些股票在那些横截面中更有可能被错误定价。我们的模型仅包括了历史账面价值、收益、股息和增长，但它平均解释了1975-2011区间年度估计中股价横截面变化的60％以上。我们还研究了残差在多大程度上表现了错误定价程度。我们的模型中选择的在控制股票规模后最有可能被低估的五分之一股票，在接下来的12个月的表现，比最有可能被高估的五分之一股票的表现平均高9.9%。我们还预测并发现价值残差是未来异常收益的更好预测指标：（i）在未被分析师涵盖的公司中；（ii）在面临较少会计度量挑战的公司中；和（iii）当我们按行业/年份来估计价值模型参数时。我们也预测并发现，我们的方法在基本面映射到价格较弱的时期效果更好。这项研究提供了一种将会计基本面映射为股价，以便在时间序列和横截面中确定错误定价的新颖直观的方法。

Pricing and Mispricing of Accounting Fundamentals in the Time-Series and in the Cross Section

D. Craig Nichols（Syracuse University）,James M. Wahlen（Indiana University）,Matthew M. Wieland（Miami University）

ABSTRACT

This study examines the extent to which parsimonious and general cross-sectional valuation models, restricted to include only publicly available historical accounting information, explain share prices in the cross section, identify periods when market mispricing maybe more pervasive, and also identify which shares within those cross sections are more likely to be mispriced. Our model simply includes historical book value, earnings, dividends, and growth, but it explains on average over 60 percent of the cross-sectional variation in share prices in annual estimation sacross 1975–2011. We also examine the extent to which the residuals indicate mispricing. The quintile of stocks picked by our model as most likely underpriced outperform the quintile of stocks picked as most likely overpriced by an average of 9.9 percent over the following 12 months, after controlling for size. We also predict and find that value residuals are better predictors of future abnormal returns: (i) among firms that are not covered by analysts;(ii) among firms that face fewer accounting measurement challenges; and (iii)when we estimate value model parameters by industry/year. We also predict and find our approach works better in periods when the mapping of fundamentals into prices is weaker. This study contributes a novel and straightforward approach to map accounting fundamentals into share prices in order to identify mispricing in time-series and in the cross section.

翻译：何杉

中央财经大学中国资产管理研究中心

        中央财经大学中国资产管理研究中心依托于中央财经大学金融学院成立，中心致力于针对中国资产管理市场实践的独立学术研究，为中国资产市场发展提供基于学术研究的政策建议，为中国资产管理机构提供咨询服务。“以学术服务市场，以市场检验学术”，努力打造成在中国资产管理市场中具有一定影响力的智库。

论文请点击下方“阅读原文”

↓↓↓