摘要
我国上市公司参与金融投资活动十分普遍,这一行为极大地增加了公司估值的复杂性。当投资者存在有限注意时,金融投资收益很可能引起系统性的估值偏误。本文以A股非金融类上市公司为对象,考察金融投资收益对股票长期回报率的影响。研究发现,投资者倾向于高估金融投资盈利较高的股票,低估没有金融投资收益(金融投资亏损)的股票,构造对冲组合的超额回报高达每年12%。进一步地,这一估值偏误与投资者有限的信息处理能力、错误地选择估值基准以及忽视隐含信息相关。本文的发现对理解市场有效性、企业真实盈余管理以及影子银行监管具有重要参考价值。
Financial investments are very popular among China's listed firms,which has greatly increased the complexity of stock valuation. When investors' attention is limited,return on financial investment probably causes systematic valuation biases. This paper aims to investigate how return on financial investment affects firm valuation using a sample of non- financial listed firms in China'A share market. Our evidence shows that investors tend to overvalue firms that have larger gains on financial investment and undervalue those that lose money from financial investment or that have no financial income.The profit of a hedge strategy based on this phenomenon is as large as 12% per year. Further,the valuation biases are related to factors including investors' limited information processing ability,wrong choice of valuation basis and ignoring implicit information of financial investment. Our findings shed lights on market efficiency,earnings management through real activities,and supervision of shadow banking.
出处
《会计研究》
CSSCI
北大核心
2015年第10期82-88,97,共7页
Accounting Research
基金
国家自然科学基金项目(71502034和71541005)
教育部人文社科研究项目(14YJA630097)
中国企业"走出去"协同创新中心科研项目(201501YY002B)
对外经贸大学教师学术创新团队资助项目(CXTD6-02)对本文的资助
