Market-Wide Cost of Capital Impacts on the Aggregate Earnings-Returns Relation: Evidence from Japan
Market-Wide Cost of Capital Impacts on the Aggregate Earnings-Returns Relation: Evidence from Japan
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整个市场的资本成本对总收益与回报关系的影响：来自日本的证据
DOI：
10.11640/tjar.6.2016.04
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
Yuto Yoshinaga
中科院分区：
文献类型：
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作者：
Ishida;M.;and Arai;T.;Генити ИКУМА;Yuto Yoshinaga
本研究旨在通过提供日本的证据来阐明在总体水平上观察到的令人惊讶的收益与回报关系的机制。与公司层面的证据不同，最近的宏观会计研究报告称，当对个别公司的盈利变化和股票回报进行横截面汇总时，在美国市场上无法观察到显着的正相关关系。为了解释这一令人费解的发现，Kothari 等人（2006）提出了一个假设，即整个市场资本成本变化的负面影响抵消了总盈利变化对股票总回报的积极影响。尽管这一假设在美国市场得到了实证支持，但该假设的有效性在日本市场尚未得到充分研究。因此，我们检验了这一假设并发现它在日本得到了强有力的支持。我们的结果表明，总盈利变化对总股票回报的积极影响被整个市场资本成本的影响所抵消。我们还发现
This study aims to clarify the mechanism of the surprising earnings-returns relation observed at the aggregate level by offering evidence from Japan. Unlike firm-level evidence, recent Macro-Accounting research reports that when earnings changes and stock returns of individual firms are cross-sectionally aggregated, a significantly positive relation cannot be observed in the US market. To explain this puzzling finding, Kothari et al.(2006) propose a hypothesis that negative effects of changes in the market-wide cost of capital cancel out positive effects of aggregate earnings changes on aggregate stock returns. Although this hypothesis is empirically supported in the US market, the validity of this hypothesis has not been sufficiently investigated in the Japanese market. Thus, we test the hypothesis and find it robustly supported in Japan. Our results show that positive effects of aggregate earnings changes on aggregate stock returns are canceled out by the effects of the market-wide cost of capital. We also find