我国股票市场错误定价现象的一个原因解释*--基于套利风险视角的实证研究

An Explanation on the Stock Mispricing in China:An Empirical Study Based on the Perspective of Arbitrage Risk

本文基于剩余收益模型和相对估值法构建了三个测度股票错误定价程度的错误定价指标——RVI、RII和MPI,然后应用Fama-Macbeth回归方法,通过与传统BM指标进行对比研究来检验三个指标的有效性。在此基础上,本文对套利风险和错误定价之间的关系给出理论解释,并对两者的相关性进行了计量研究。结果表明:RVI,RII和MPI三个测度错误定价的指标在预测层面可以有效度量股票错误定价程度;套利风险和错误定价呈显著相关性,但在低估与高估两类情况下有不同的表现,套利风险在一定程度上可以解释错误定价的发生。

Based on relative valuation method and residual income model, this article gives three indicators which are used to measure mispricing—RVI,RII,MPI, and compares them with the traditional BM indicators. The article also analyzes the relationship between mispricing and arbitrage risk theoretically and empirically. The results show that the three mispricing index are effective and arbitrage risk can explain the mispricing to some extent, although the effect of arbitrage risk is asymmetric for undervaluing and overvaluing.