会计基础知识的定价和错误定价:全球证据

IF 2.9 3区 经济学 Q1 ECONOMICS
Siegfried Köstlmeier
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引用次数: 0

摘要

本文将 Nichols 等人(2017 年)基于基本面的估值模型扩展到全球发达股票市场。该模型平均能够解释全球股市 81% 的横截面股价变化。为了适用于国际市场,该模型使用了实际现金流而不是干净的盈余会计数字,以反映世界各地股息和股票回购的不同重要性。在对规模、市价账面值、经营利润率、投资和发展势头进行控制后,被认定为价值被低估的公司每年比价值被高估的公司高出 0.62%。此外,类似彩票的股票偏好(MAX、特异波动率、偏度)、错误定价相关变量(FSCORE、ΔXFIN)或股票发行都无法解释这种溢价。为了支持与错误定价相关的解释,我们发现由价值被低估的股票组成的易被利用的多头投资组合在公布后回报率显著下降。结合我们对投资者情绪、投资组合转换和套利不对称性的分析,我们提供的证据表明,股价偏离模型估计值表明实际定价错误,相应的回报不太可能是对风险敞口的补偿。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Pricing and mispricing of accounting fundamentals: Global evidence

This paper extends the fundamentals-based valuation model in Nichols et al. (2017) to global, developed equity markets. The model is able to explain, on average, 81% of the cross-sectional share price variation among global stocks. To be applicable among international markets, actual cash-flow streams instead of clean surplus accounting figures are used to reflect the different importance of dividends and share repurchases around the world. Firms identified as undervalued outperform overvalued firms by 0.62% p.m. after controlling for size, book-to-market, operating profitability, investment, and momentum. This premium is further not explained by lottery-like stock preferences (MAX, idiosyncratic volatility, skewness), mispricing related variables (FSCORE, ΔXFIN), or stock issuances. In support of a mispricing related explanation, we detect a significant post publication return decline in the easily exploitable long portfolio leg comprising undervalued stocks. Together with our analysis on investor sentiment, portfolio transitions, and arbitrage asymmetry, we provide evidence that deviations of the share price from the model’s estimated value indicate actual mispricing and according returns are unlikely to be a compensation for risk exposure.

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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
118
期刊介绍: The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.
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