非流动性、投资者情绪与股票定价.PDFVIP

第9 卷第7 期 Vol.9 No.7 2016 年4 月 April 2016 非流动性、投资者情绪与股票定价 ——基于面板数据的实证分析 傅国荣，黄 薇* （重庆大学数学与统计学院，重庆 401331 ） 摘要：基于沪市A 股2007 年 1 月至2014 年 12 月股票交易数据构建偏度、非流动性成本和投资者情绪等指标， 以非流动性成本和换手率作为流动性的衡量指标。鉴于传统资本资产定价模型（capital asset pricing model ， CAPM ）理论假设的严苛性以及与实际的种种不符，建立了包含上述指标的面板数据回归模型。实证检验结果 表明，非流动性成本和投资者情绪显著影响了资产定价过程，证实了“非流动性补偿”的存在以及中国股市 存在大量的噪音交易者。同时表明系统风险系数和系统偏度对资产收益缺乏解释力，传统的 CAPM 在中国股 市不成立。 关键词：金融数学；面板数据回归模型；资本资产定价模型；非流动性成本；投资者情绪；偏度 中图分类号：F830.91 文献标识码：A 文章编号：1674-2850(2016)07-0676-07 Illiquidity, investor sentiment and stock pricing: the empirical analysis based on panel data FU Guorong, HUANG Wei (College of Mathematics and Statistics, Chongqing University, Chongqing 401331, China) Abstract: In this paper, skewness, illiquidity cost and investor sentiment factors are built based on the trading data of Shanghai A-share from January 2007 to December 2014 and illiquid cost and turnover rate are taken as measure of liquidity. Considering the rigorous and impractical assumption of traditional capital asset pricing model (CAPM) theory, a panel data regression model incorporating above factors is established. The results show that illiquidity cost and investor sentiment have significant impact on the asset pricing process by empirical test, hence reveal the existence of illiquidity compensation as well as vast noise traders in Chinese stock market. Meanwhile, the results show that system risk factor and skewness factor have no explanatory power