【摘要】 本文深入研究了我国资本市场价值因子背后的逻辑。横截面上,价值因子超额收益全部来自估值和基本面背离的组合;控制基本面相符后,估值水平不再对期望收益率有明显区分。时间序列上进一步研究发现,盈余公告作为更新市场信息、广泛吸引投资者注意的时间窗口,价值因子超额收益显著集中产生于资产价格在未来盈余公告日的修正回归。本文的结果有力地支持了行为金融框架下的错误定价假说,为错误定价和价格回归提供了直接证据。更多还原

【Abstract】 The paper examines the logic behind the value factor in China’s A share market in details. In the cross section of stock returns, the abnormal return of value factor in China substantially comes from the valuation-fundamental mismatched portfolios; after controlling for the matched fundamental strengths, the single valuation level will not predict the expected returns anymore. In the time series, using the earnings announcements as the window of investor attention and salient information updates, we find that the alpha of valuation-fundamental mismatched portfolios significantly concentrates on future earnings announcement window when the asset prices finally correct to the fundamentals. The findings effectively support the behavior finance hypothesis, providing direct empirical evidence to mispricing and subsequent price corrections.更多还原