套利限制、投资者情绪与倒“V”型证券市场线——基于我国A股市场的证据

Limits of Arbitrage, Investor Sentiment and Inverted V-Shape Security Market Line——Evidence from China’s A-Share Markets

本文基于资产定价领域贝塔异象(Beta Anomaly)的研究,结合投资者情绪对我国A股市场证券市场线的具体形态和特征进行了检验,并从套利限制角度进一步探究了贝塔异象的形成机制。研究发现,A股市场总体呈现负溢价,且在投资者情绪高涨时负溢价现象更为明显,而在投资者情绪低落时负溢价与零无差异。特别地,证券市场线的具体形态与资产的系统性风险属性紧密相关:低Beta资产呈现显著正溢价,而高Beta资产呈现显著负溢价,导致证券市场线呈现倒"V"型特征,这表明A股总体负溢价主要是由高风险资产负溢价所导致。进一步基于Miller(1977)的研究发现,A股套利限制使高风险资产当期价格被高估,是形成市场总体负溢价的重要原因。

This paper studies the specific shape and characteristics of security market line based on research about Beta Anomaly associated with investor sentiment in China’s A-share markets. I further investigate the formation mechanism of beta anomaly. It is found that the security market line is generally of negative slope with negative equity risk premium. This phenomenon is much more obvious when investor sentiment is optimistic, while it is not significant any more when sentiment becomes pessimistic. The specific shape of security market line is closely related with assets systematic risk exposure. The asset returns are positively correlated with asset betas when they are lower than unit, while they are negatively correlated when the asset betas are larger than unit,which causes the security market line possessing inverted V-Shape. This special characteristic confirms that it is the high systematic risk assets with significantly negative equity premium that make the security market line express inverted V-shape. I further give empirical tests from limits of arbitrage based on the seminal research of Miller(1977), and find that the existence on limits of arbitrage in A-Share Markets makes high risk asset over-priced, which ultimately generates the negative equity premium.