投资者情绪、有限套利与股价异象

Investor Sentiment,Limited Arbitrage and Stock Price Anomalies

同美国市场投资者情绪与截面股票未来收益短期正相关、长期负相关的现象不同,中国A股市场两者之间短期内就呈现负相关特征。本文认为这主要与中国A股市场以个人投资者为主体且做空套利受限严重有关,因此与以机构投资者为主体的美国市场存在明显差别。考虑到A股独特的市场交易结构与投资者行为特征,本文提出非主力资金买卖不平衡指标(BSI),通过捕捉散户的资金流向实现对个股投资者情绪的测算。实证结果表明,股票组合收益率与非主力资金BSI指标存在明显的单调递减特征,且无法由通常衡量投资者情绪的换手率因子所解释,与换手率的市场异象也有显著差异,后者表现出换手率特别高的股票组合收益明显更低的非对称特征。本文的理论与实证也进一步指出,有限套利是A股市场投资者情绪异象的主要原因之一,在套利受限更为严重的股票组合中,投资者情绪与股票收益截面负相关的现象更为明显。同时,市场极端情绪和极度乐观情绪下的投资者情绪股价异象更为明显。

We cannot deny that fluctuation is part of the equity market,but a highly volatile market is obviously less functional and undesirable as the potential damages that investors,public firms and various related entities can face.On the one hand,the volatile environment is partly due to structural reasons.On the other hand,the mix of market participants and behavioral biases exhibited by retail investors exacerbates the problem.Most of the participants in China’s A-share market are individuals who are easily susceptible to irrational emotions,directly contrasting to those in developed markets.Therefore,we consider that it is insightful to study market sentiment from the perspective of individual investors.The Chinese stock market,dominated by individual investors,has incorporated a significant number of irrational factors due to lacks of arbitrage mechanisms and tools.Considering the differences in market structures and investors’behaviors,the investor sentiment anomaly in China’s stock market will differ significantly from that in the US market dominated by institutional investors.To reflect the emotional characteristics of individual investors,especially retail investors,we proposed the non-main funding buy-sell imbalance(BSI)indicator capturing investor sentiment in the A-share market by monitoring the flow of retail investors.We argue that individual investors are more susceptible to extreme emotions and changes in their expectations;the investor sentiment and the cross-section of stock future returns will be negatively correlated in the short term in A-share market,which is different from the short-term positive correlation and the long-term negative correlation between investor sentiment and stock returns in the US market.Our empirical results confirm the conjecture that the cross-section of stock future returns declines monotonously with the non-main funding BSI indicator.This phenomenon cannot be explained by the turnover factor which indicates that non-main funding BSI is more effective in characterizing investor sentiment in the A-share market.Our theory and empirical findings further demonstrate that limited arbitrage is one of the main reasons for the negative correlation between investor sentiment and stock returns.In portfolios with more restricted arbitrage,the negative correlation between investor sentiment and stock returns becomes more evident.The data used in this article mainly come from the Wind database except the one-year fixed deposit rate data from the website of the People’s Bank of China.The construction of the non-main funding BSI indicator is the difference between the inflow and outflow of non-main funding divided by their sum.The non-main funding mentioned in this article is defined as the transaction value less than CNY 200,000 with a pending order,which is consistent with the algorithm often used in the A-share market.It is found that investor sentiment is negatively correlated with the cross-section of stock returns,and the degree of this negative correlation is positively related to the degree of limited arbitrage.Investors can enhance their strategies based on factors such as investor sentiment and limited arbitrage to predict the cross-section of stock returns.Policymakers and regulators must fully recognize the existence of irrational factors in the Chinese stock market and take appropriate measures to prevent these irrational factors from accumulating to a huge market bubble.For example,they can loose restrictions on short selling to increase investors’hedging ability,balance investors’sentiment and reduce the stock price huge fluctuation caused by investors’short-term substantial buying or selling.Previous literature mainly focuses on the impact of investor sentiment on stock returns from a macro perspective which studies stock returns as sentiment shifts.Only little literature has studied the correlation between individual stock investor sentiment and the cross-section of stock future returns,especially in the Chinese A-share market.This article fills this gap by analyzing the sentiment effect on individual stock return and proposing a new algorithm measuring the investor sentiment of individual stock in the Chinese A-share market.At the same time,the theory and empirical evidence of this article also show that the investor sentiment anomaly in the Chinese market is vastly different from that in the US market.