摘要
本文首先考察了中国A股公司市盈率的截面和时间序列的变动行为,并探讨了市盈率与暂时性盈利、风险之间的关系,发现市盈率存在显著的均值回归现象,在长期中市盈率存在着收敛趋势,而这种趋势可以部分地由暂时性盈利的存在来解释。其次,本文发现与CAPM-β相比,Fama-French(1992)模型中的规模、账面/市价比率能更好地解释中国A股市盈率的截面变动。
This paper examines the behavior of P/E ratio on China＇s A share market, and explores the relation between transitory earning, risk and PIE ratio. The paper finds that P/E ratio demonstrates a notable mean reversion tendency and converges in the long run, which can be explained by the existence of transitory earnings. Meanwhile, this paper suggests that size and B/M factors in Fama- French （1992） significantly outperform CAPM-β in explaining the cross -sectional variation of P/E ratios.
出处
《数量经济技术经济研究》
CSSCI
北大核心
2007年第6期120-128,共9页
Journal of Quantitative & Technological Economics
基金
国家自然科学基金青年基金项目(项目号:70402008)资助
