价格时滞、投机性需求与股票收益
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| Title | Price Delay, Speculative Demand and Stock Returns
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| 作者 | 胡聪慧 刘玉珍 |
| Author | Hu Conghui and Liu Yuzhen |
| 作者单位 | 对外经济贸易大学国际商学院；北京大学光华管理学院 |
| Organization | University of International Business and Economics;Peking University |
| 作者Email | conghui_hu@163.com；yjliu@gsm.pku.edu.cn |
| 中文关键词 | 价格时滞；投机性需求；股票收益预测性；市场摩擦 |
| Key Words | Price Delay; Speculative Demand; Stock Return Predictability; Market Frictions |
| 内容提要 | 本文旨在借助Hou和MosKovitz (2005)提出的反映市场摩擦的综合指标——价格时滞，考察不同市场摩擦对A股市场股票收益的影响特征及内在机理。研究发现，价格时滞越严重的股票未来收益越低，套利组合的收益高达每月1.36%。这不仅与美国股票市场的证据不同，而且难以被经典理论解释。本文从投机性需求角度对此提出了一种新的解释。价格时滞表明投资者对公共信息反应滞后、过度依赖私有信息交易，这一行为会加剧投资者对股票估值的意见分歧，刺激投机性需求，放大股票中转售期权的价值，从而导致股价被高估。接着，本文证实价格时滞严重的股票具有较强的投机性特征，价格时滞对未来收益的预测性也主要源自股票的投机性特征。本文的研究表明，与美国市场不同，在中国股票市场，与投机性需求相关的市场摩擦对股票收益的影响要远大于与流动性、投资者认可度相关的市场摩擦。 |
| Abstract | This paper aims to investigate the impact and its internal mechanisms of various market frictions on stock returns in A share market by introducing price delay, a comprehensive measure for market frictions proposed by Hou and MosKovitz (2005). We find that stocks with stronger price delay are followed by lower subsequent returns and the average return of a hedge portfolio based on price delay is as high as 1.36% per month. This finding not only contrasts with the U.S evidence but is hard to reconcile with classical theories. We propose a new explanation for this phenomenon from the perspective of speculative demand. Slow price reactions to market-wide public information indicates that investors allocate more weights on private information when making decisions, which exacerbates different opinions about stock valuation, stimulates speculative demand, amplifies the value of stock resale options and finally results in the overvaluation of stock prices. Our further evidence confirms that stock with strong price delay share a number of common characteristics with speculative stocks and the predictability of price delay on future stock returns is mainly derived from the components related to speculative features. Our study indicates that unlike the U.S. stock market, the market friction related to speculative demand plays a more important role in Chinese stock market than those related to liquidity and investor recognition. |
| 文章编号 | WP931 |
| 登载时间 | 2015-10-08 |
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