中国股票场的意见分歧和股票回报.DOCVIP

深圳证券交易所第七届会员单位与基金公司研究成果评选终评会 中国股票市场的意见分歧和股票回报 - PAGE 6 - - PAGE 5 - 中国股票市场的意见分歧和股票回报 内容提要 本文以意见分歧和做空限制为理论框架考察中国股票市场。作者发现当股票组合的形成和持有时间都比较短时（不超过6个月），股票当前换手率高预示以后收益率低。如果延长组合的形成和持有时间，则此效应逐步减弱，甚至在小市值股票中发生逆转。此效应在大市值股票中较为持久。本文提出动态意见分歧模型，认为股票的价格运动与投资者意见分歧程度的变化有直接联系。 目 录 导言 相关研究 假设和样本 组合策略 回归分析 稳健性检验 讨论 结论 1. 导言 本文以意见分歧和做空限制为理论框架考察中国股票市场。作者以股票换手率指标反映投资者意见分歧，并提出高换手率预示低收益率的假设，此假设为检验结果所证实。 近来金融学界重又兴起一股潮流，对意见分歧和做空限制结合在一起时对资产定价的影响进行理论和实证研究(可参见 ADDIN EN.CITE EndNoteCiteAuthorDiether/AuthorYear2002/YearRecNum1/RecNumMDLREFERENCE_TYPE0/REFERENCE_TYPEREFNUM1/REFNUMAUTHORSAUTHORDiether, Karl B. /AUTHORAUTHORMalloy, Christopher J. /AUTHORAUTHORScherbina, Anna/AUTHOR/AUTHORSYEAR2002/YEARTITLEDifferences of opinion and the cross section of stock returns/TITLESECONDARY_TITLEThe Journal of Finance/SECONDARY_TITLEVOLUMELVII/VOLUMENUMBER5/NUMBERPAGES2113-2141/PAGESDATEOctober/DATE/MDL/Cite/EndNoteDiether, Malloy and Scherbina (2002), ADDIN EN.CITE EndNoteCiteAuthorChen/AuthorYear2002/YearRecNum10/RecNumMDLREFERENCE_TYPE0/REFERENCE_TYPEREFNUM10/REFNUMAUTHORSAUTHORChen, Joseph/AUTHORAUTHORHong, Harrison/AUTHORAUTHORStein, Jeremy C./AUTHOR/AUTHORSYEARstylesstyle font=12124/style/styles2002/YEARTITLEBreadth of ownership and stock returns/TITLESECONDARY_TITLEJournal of Financial Economics/SECONDARY_TITLEVOLUME66/VOLUMEPAGES171-205/PAGES/MDL/Cite/EndNoteChen, Hong and Stein (2002), and ADDIN EN.CITE EndNoteCiteAuthorGoetzmann/AuthorYear2001/YearRecNum39/RecNumMDLREFERENCE_TYPE0/REFERENCE_TYPEREFNUM39/REFNUMAUTHORSAUTHORGoetzmann, William N./AUTHORAUTHORMassa, Massimo/AUTHOR/AUTHORSYEAR2001/YEARTITLEDispersion of opinions and stock returns: Evidence from index fund investors/TITLESECONDARY_TITLEWorking paper, Yale University/SECONDARY_TITLE/MDL/Cite/EndNoteGoetzmann and Massa (2001))。本文意在为相关研究提供些许管窥之见。本文的基本观点源自 ADDIN EN.CITE EndNoteCiteAuthorMiller/AuthorYear1977/YearRecNum23/RecNumMDLREFERENCE_TYPE0/REFERENCE_TYPEREFNUM23/REFNUMAUTHORSAUTHORMiller, Edward M./AUTHOR/AUTHORSYEAR1977