Critical Finance Review, 2016, 5: 85–128
再探實質和非實質信息的市場反應
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，價值溢價源于投資者對非實質信息的過度反應。因此，他們将公司五年賬面市值比的變動分解為股票收益和殘餘項，後者是會計表現所反應的實質信息的代理變量(“賬面收益”)。與投資者對非實質信息反應過度相一緻，他們發現隻有與賬面收益正交的股票收益會反轉。我們證明，他們的分解所創造出的賬面收益受到了過去的賬面市值比，股票收益，淨發行量和股利的污染。實證顯示，賬面收益變化的五分之二是由于這些因素。此外，Daniel和Titman (2006)的結果對方法的選擇很敏感。當我們用權益賬面價值的變化作為實質信息的代理變量時，隻有股票收益的實質成分反轉。此外，目前的賬面市值包括了非實質收益預測平均收益橫截面的能力，這對以下論點提出了質疑，即因為賬面市值比是非實質收益的良好代理變量，所以它能夠預測收益。
關鍵詞：價值溢價，收益反轉，過度反應
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.
原文鍊接：
http://cfr.ivo-welch.info/readers/pub/cfr-030.pdf
翻譯：任兆月
