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异质信念与股票收益——基于我国股票市场的实证研究

Author

Listed:
  • 陈国进
  • 胡超凡
  • 王景

Abstract

本文以经调整后的换手率和收益波动率作为投资者异质信念的代理指标，采用1997－2007间的样本数据，分别运用资产组合分析法和截面收益回归法，直接验证了在我国股票市场上投资者异质信念对股票收益的影响。我们的发现支持了基于异质信念假设的资产定价理论：在卖空限制约束下，异质信念导致当期股价高估，与股票未来收益负相关。我们的结论经FF四因素模型调整后依然成立。我们还发现，与美国股票市场相比，我国股票市场高估程度更严重，持续时间更长。因此，引入卖空机制可以在一定程度上解决我国股票市场高估问题。

Suggested Citation

  • 陈国进 & 胡超凡 & 王景, 2013. "异质信念与股票收益——基于我国股票市场的实证研究," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:001978
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