Accounting Review. Nov2013, Vol. 88 Issue 6, p2213-2240. 28p. 6 Charts

账面市值比与股票收益率分布的偏度

作者：Xiao-Jun Zhang (University of California, Berkeley)

摘要：本文论证了低账面市值比的股票（亦被称作魅力股）比高账面市值比的价值股的收益率分布具有更明显的正偏性。同时，投资者对魅力股（价值股）所偿付的溢价（折价）也显著与两种股票收益率分布偏度的差异相关。这个发现说明了投资者具有对股票收益率分布正偏性的偏好，因此可以部分解释价值股/魅力股之谜。投资者这种对收益率分布偏度的偏好恰好与其倒S型效用函数相一致，并且这种偏好在彩票购买及赌博等消费者行为中也存在。同时，本文还发现一些会计指标，如账面收益率等，对股票收益率偏度具有很好的预测能力。

关键词：会计稳健性，账面市值比，增长，偏度，价值股/魅力股，

Book-to-Market Ratio and Skewness of Stock Returns

Xiao-Jun Zhang (University of California, Berkeley)

ABSTRACT

This study demonstrates that stocks with low book-to-market ratios, also known as glamour stocks, have significantly more positive skewness in their return distributions compared to the return distributions of value stocks with high book-to-market ratios. The premium (discount) investors apply to these glamour (value) stocks also correlates significantly with the difference in return skewness. These findings suggest that the value/glamour-stock puzzle is partially explained by investor preference for positive skewness in stock returns. Such preference for skewness, which is consistent with investors having inverse S-shaped utility functions, is observed in such consumer behaviors as lottery purchases and gambling. This paper further documents significant predictive power of accounting-based measures, such as the book rate of return, with respect to the skewness of stock returns.

Keywords: accounting conservatism; book-to-market ratio; growth; skewness; value/glamour stocks

原文链接：http://web.b.ebscohost.com/ehost/detail/detail?vid=3&sid=ee350d58-cdbd-4b19-80e1-e352ae556d32%40sessionmgr104&hid=107&bdata=Jmxhbmc9emgtY24mc2l0ZT1laG9zdC1saXZl#AN=91960049&db=bth

翻译：汪国颂