Critical Finance Review, 2016, 5: 85–128

再探实质和非实质信息的市场反应

作者：Joseph Gerakos (University of Chicago Booth School of Business), Juhani T. Linnainmaa (University of Chicago Booth School of Business)

摘要：Daniel和Titman (2006) 指出，价值溢价源于投资者对非实质信息的过度反应。因此，他们将公司五年账面市值比的变动分解为股票收益和残余项，后者是会计表现所反应的实质信息的代理变量(“账面收益”)。与投资者对非实质信息反应过度相一致，他们发现只有与账面收益正交的股票收益会反转。我们证明，他们的分解所创造出的账面收益受到了过去的账面市值比，股票收益，净发行量和股利的污染。实证显示，账面收益变化的五分之二是由于这些因素。此外，Daniel和Titman (2006)的结果对方法的选择很敏感。当我们用权益账面价值的变化作为实质信息的代理变量时，只有股票收益的实质成分反转。此外，目前的账面市值包括了非实质收益预测平均收益横截面的能力，这对以下论点提出了质疑，即因为账面市值比是非实质收益的良好代理变量，所以它能够预测收益。

关键词：价值溢价，收益反转，过度反应

Market Reactions to Tangible and Intangible Information Revisited

Joseph Gerakos (University of Chicago Booth School of Business), Juhani T. Linnainmaa (University of Chicago Booth School of Business)

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：任兆月