Q-theory, mispricing, and profitability premium: Evidence from China

被引：46

作者：

Jiang, Fuwei ^{[1
]}

Qi, Xinlin ^{[2
]}

Tang, Guohao ^{[3
]}

机构：

[1] Cent Univ Finance & Econ, Sch Finance, Beijing, Peoples R China

[2] ICBC, Global Market Dept, Beijing, Peoples R China

[3] Hunan Univ, Coll Finance & Stat, Changsha, Hunan, Peoples R China

来源：

JOURNAL OF BANKING & FINANCE | 2018年 / 87卷

基金：

中国国家自然科学基金; 北京市自然科学基金;

关键词：

Profitability premium; Chinese stock market; Investment frictions; Q-theory; Mispricing; STOCK RETURNS; INVESTMENT; MARKET; MODEL; CASH;

D O I：

10.1016/j.jbankfin.2017.10.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using various empirical measures, we find that, in China, firms with high profitability generate substantially higher future stock returns than those with low profitability. This positive effect of profitability on expected returns is robust to controlling for other firm characteristics and risks. We show that the profitability premium is stronger among firms with low investment friction, which is consistent with the implications of investment-based q-theory asset pricing models. However, the premium is not stronger among firms with high limits to arbitrage, contradicting behavioral mispricing explanations. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：135 / 149

页数：15

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