Critical Finance Review · 2016, 5
对市场反应的有形和无形信息的再研究
作者：Joseph Gerakos (University of Chicago Booth School of Business, USA)
Juhani T. Linnainmaa (University of Chicago Booth School of Business and NBER, USA)
摘要：Daniel and Titman (2006)提出的价值溢价是由于投资者对无形信息过度反应。因此，他们将公司账面市值比的5年期变化分解为股票收益率和残差项，残差项是基于会计业绩表现（“账面收益”）的有形信息代理变量。与投资者对于无形信息反应过度一致，他们发现只有和账面回报正交的股票收益反转。我们发现，他们分解创造的账面回报受到过去账面市值比、股票收益、净发行和分红的影响。根据经验，五分之二的账面收益变化是由这些因素造成的。此外，Daniel and Titman (2006)的结果对于不同的方法是敏感的。当我们利用股票账面价值的变化作为有形信息的代理变量时，只有股票回报的有形部分反转了。此外，当前账面市值比具有无形的收益预测横截面平均回报的能力，这对账面市值比能够对市场回报进行预测是因为它是无形回报的一个很好的代理变量形成了质疑。
关键词：价值溢价，收益反转，过度反应
Market Reactions to Tangible and Intangible Information Revisite
Joseph Gerakos (University of Chicago Booth School of Business, USA)
Juhani T. Linnainmaa (University of Chicago Booth School of Business and NBER, USA)
ABSTRACT
Daniel and Titman (2006) propose that the value premium is due to investors overreacting to intangible information. They therefore decompose five-year changes in firms’ book-to-market ratios into stock returns and a residual that is a proxy for tangible information based on accounting performance (“book returns”). Consistent with investors overreacting to intangible information, they find that only stock returns orthogonal to book returns reverse. We show that their decomposition creates a book return polluted by past book-to-market ratios, stock returns, net issuances, and dividends. Empirically, two-fifths of the variation in book returns is due to these factors. In addition, the Daniel and Titman (2006) result is sensitive to methodological choices. When we use the change in the book value of equity as a proxy for tangible information, only the tangible component of stock returns reverses. Moreover, current book-to-market subsumes the intangible return’s power to predict the cross-section of average returns, which casts doubt on the argument that book-to-market forecasts returns because it is a good proxy for the intangible return. Keywords: Value premium, Return reversals, Overreaction.
原文链接: http://cfr.ivo-welch.info/readers/pub/cfr-030.pdf
翻译：施懿
