Financial Analyst Journal, Volume 69, Issue6, 2013

会计信息与宏观经济：总价格水平对个股的影响

作者：Yaniv Konchitchki (University of California)

摘要：作者运用财务报表分析的方法，考察了总价格水平变化对个体公司的系统性股票估值的影响，其中重点研究了对研究人员和投资从业者的影响。他发现：（1）以现有信息为基础的通货膨胀型投资策略可以产生显著的风险调整回报；（2）利用通货膨胀对企业净货币持有量的影响进行投资具有不显著的异常对冲收益，然而利用通货膨胀对对公司非货币持有量的影响进行投资则会产生经济上和统计上均显著的异常对冲收益。综上所述，这项研究为通货膨胀的横截面效应提供了新的视角，对股票估值有重要影响。

Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks

Yaniv Konchitchki (University of California)

ABSTRACT

The author used financial statement analysis to examine systematic stock-valuation effects of aggregate price-level changes on individual companies, focusing on the implications for researchers and investment practitioners. Among other insights, he showed that (1) inflation-based investment strategies conditioned on available information resulted in significant risk-adjusted returns and (2) investing using the inflation effect on companies’ net monetary holdings resulted in insignificant abnormal hedge returns whereas investing using the inflation effect on companies’ nonmonetary holdings consistently yielded economically and statistically significant abnormal hedge returns. Taken together, the study sheds new light on the cross-sectional effects of inflation, with substantial implications for valuation.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v69.n6.3

翻译：秦秀婷