摘要
从质量溢价驱动因素视角构建基于预期盈余增长(expected earnings growth,EEG)的质量测度指标,分析该指标与股票预期收益的关系,进一步构造EEG质量因子并将其纳入Fama-French三因子模型,研究该因子的定价能力.研究发现:EEG质量测度指标可以衡量公司的预期盈余增长;EEG质量测度指标与股票预期收益显著正相关,表明EEG质量溢价显著存在;EEG质量因子对股票横截面组合收益的解释能力较强;引入EEG质量因子的四因子模型比Fama-French类模型具有更高的定价效率.研究结论可以丰富资产定价相关理论,为投资者理性决策、监管者培育良好投资理念和提升市场定价效率提供参考.
From the perspective of quality premium drivers,a quality indicator based on expected earnings growth(EEG)is constructed.The relationship between the indicator and expected stock return is analyzed.Then,an EEG quality factor is constructed and incorporated into the Fama-French three-factor model for the purpose of studying the pricing power of this factor.The results show that the EEG quality indicator can measure a company’s expected earnings growth.There is a significantly positive correlation between the EEG quality indicator and expected stock returns,reflecting the significant presence of the EEG quality premium.The EEG quality factor has a strong explanatory power for cross-sectional portfolio returns.The four-factor model that introduces the EEG quality factor has higher pricing efficiency than the Fama-French class model,which may enrich the theories related to asset pricing and provide valuable references for investors to make rational decisions,and regulators to cultivate good investment philosophy and improve market pricing efficiency.
作者
刘月立
金秀
于金明
LIU Yue-li;JIN Xiu;YU Jin-ming(School of Business Administration,Northeastern University,Shenyang 110169,China)
出处
《东北大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2024年第1期145-152,共8页
Journal of Northeastern University(Natural Science)
基金
教育部人文社会科学基金资助项目(22YJA790027).
