卖空和借贷约束、有限参与和资产收益率偏度理论模型和实证分析.pdfVIP

VoJ. 33 , No.6 统计研究 第 33 卷第6 期 Sta岱sticaJ Researcb JUD. 2016 2016 年6 月 卖空和借贷约束、有限参与和资产 收益率偏度:理论模型和实证分析 吴良范曦1)各高斌 内容提要:中国股票市场融资融券业务同时开展，因此实证研究两融对股票偏度的影响需要同时考虑融资和 融券的影响。本文建立了一个完整的一期模型，研究同时存在卖空和借贷约束的资产定价问题。约束条件影响偏 度的机制是约束挤出了部分投资者，造成投资者的有限参与，改变了市场价格对信息反应的对称性，从而影响到价 格的偏度。理论分析发现在有较强的卖空限制下资产价格是信息的凸函数，资产价格正偏;而若存在较强的借贷 约束，或者借贷约束很小但卖空限制较弱时，资产价格转而为信息的凹函数，资产价格负偏。进一步理论计算给出 了不同约束条件下资产的偏度，最后提出并在中国股票市场实证检验了三个假设:①融券会降低股票收益率的偏 度;②当融券规模很小时，股票收益率仍然会正偏;③控制融券下，融资会增加股票收益率的偏度。 关键词:融资融券;有限参与;偏度;非对称价格反应 DOI: 10. 19343/j. cnki. II - 1302/c. 2016. 06. 006 中国分类号:C812 文献标识码:A 文章编号:1002 -4565(2016)06 -0052-10 Short Sale and Borrowing Constraints , Limited Participation and Skewness of Return on Assets: A Theoretical and Empirical Analysis Wu Liang Fan Xilin Gao Bin Abstract: The Chinese markets adopt the policy of margin finance and short sales simultaneously. Empirical studies of the effects of the policy on skewness need to take the two effects into consideration. In this paper , we construct a one-period asset pricing model when investors are under both short sale and borrowing constraints. The mechanism behind the effects of the two constraints on the skewness is that the price is responding asymmetrically to the news once the constraints are imposed to the investors. A theoretical analysis reveals that the price is a convex function of the ne胃s and thus positively skewed when the investors are under strict short sale constraints. However , when the