R D投入、账面市值比效应与股票收益率--来自我国创业板上市公司的数据研究

摘要

Using the data from China's GEM (growth enterprise market)listing corporations,we veri-fied the presence of BM (book to market)effect on different types of stocks,and then through analy-zing the R&D investment intensity and risk factors,we analyzed the explanatory power of BM effect on stock returns. Our analysis shows that,after controlling the effect of scale and risk factors,the stocks of the GEM corporations show a BM effect,but at the same time R&D investment intensity has an in-versely relationship with the BM effect. Secondly,BM effect can explain the return of stocks which have different intensity of R&D investment,but the explanation degree is various and the lower R&D investment has bigger explanatory power. Further analysis shows that the ability of BM ratio to explain stock returns comes from the reversal effect on profitability rather than from the risk factors.%利用我国创业板市场数据，本文验证了账面市值比效应在创业板上市公司股票的存在性，进而从R＆D投入强度、风险因素等方面入手，分析了账面市值比效应对股票收益率的解释能力。研究结果显示，在控制了规模效应和风险因素后，创业板上市公司股票的确存在账面市值比效应，但同时R＆D投入强度与账面市值比效应成反比关系。其次，账面市值比对不同R＆D投入的股票的收益率都有解释力，但从解释程度上看，R＆D投入强度越低，账面市值比对股票收益率的解释力越强。进一步的分析表明，账面市值比对股票收益率的解释能力更多来自于投资者对盈利能力反转效应，而不是风险因素。