摘要
本文以Barberis&Huang(2008)的理论研究为起点,主要基于公司特质风险即股票个体波动和个体偏度研究我国股票市场投资者的投机行为。为此,本文首先构建了投资者关注股票个体特征的理论模型,说明投资者除了考虑如传统金融学认为的股票市场总体风险外,也关注公司特质风险。在实证研究上利用资产组合分组和Fama-MacBeth(1973)横截面回归方法,考察了两变量的具体效应,即在当期股票个体波动和个体偏度与收益正相关,而他们的滞后一期值与收益率负相关。本文的结论是:我国股票市场投机性较重,投资者偏好公司特质风险大的彩票型股票,并给予这些股票过高的估价,从而导致这些股票随后取得较低的收益。
This paper investigates investors speculation behaviors based on Barberis and Huang （2008） in China stock market. The theory model developed in the paper suggests that invertors care about stock idiosyncratic characters （e. g. idiosyncratic volatility and skewness） as well as system risks which are emphasized by classical finance economics. Empirically we first documents Portfolio level analyses, we also examine the cross-sectional relation between stock idiosyncratic characters and expected returns at the firm level using Fama and MacBeth （1973） regressions. Controlling for multiple effects or factors simultaneously the firm-level cross-sectional regressions indi- cate a positive and significant relation between the stock return over the current period and the stock idiosyncratic volatility and skewness, and a negative relation between the stock return and the stock idiosyncratic volatility and skewness over the lagged period. The conclusion of this paper is that investors who care more about short horizon speculation than long horizon investment in China stock market overprice stocks which have more idiosyncratic volatility and skewness and get lower returns from them in the subsequent period.
出处
《经济管理》
CSSCI
北大核心
2010年第12期127-136,共10页
Business and Management Journal ( BMJ )
基金
上海财经大学研究生科研创新基金项目"中国上市公司特质风险研究"(CXJJ-2010-331)
