文澜金融论坛（第338期）

摘要：

We revisit the ongoing debate on the link between operational efficiency (OE) and stock returns. We show that the conventional OE measure, constructed based on a stochastic frontier model (SFM), may be subject to estimation bias, thereby invalidating its application in studying stock performance. We address these issues by adopting a novel OE measure within a semiparametric SFM framework, aiming to provide an accurate measure of OE for valid inference on stock returns. Using a large sample of US listed firms from 1972 to 2020, we observe significant discrepancies in OE estimates between the conventional and semiparametric models, with the former positively and the latter negatively related to stock returns. These discrepancies lead to mispricing and subsequent negative returns. Furthermore, an arbitrage portfolio based on mispricing yields significant abnormal returns. Our findings indicate that increased OE is associated with higher cash flow volatility, higher stock return volatility, and notably greater downside risks. Our results provide robust evidence of the impact of OE on stock returns and provide a new paradigm for future studies on operational management.

主讲人介绍：

王钊，首都经济贸易大学国际经济管理学院副教授，硕士生导师，美国罗德岛大学金融学博士。研究方向为实证公司金融。相关研究发表在Financial Analysts Journal、Pacific-Basin Finance Journal、Economic Modelling等期刊。担任全国研究生教育评估检测专家库专家、《会计研究》在库审稿专家。参与国家自然科学基金面上项目一项。