中国证券市场信息风险定价实证研究

Empirical Research on Information Risk Pricing in China Stock Market

以Hasbrouck的交易信息含量(PIM)作为衡量信息非对称程度指标,构造基于PIM的零投资组合,代表中小盘股票中证500样本股票零投资组合获得显著的信息风险溢价,并且能够被Fama-French三因子、动量因子和流动性因子解释。以交易信息含量作为信息因子的代理变量,回归分析表明它对基于PIM构造的投资组合的平均收益率没有显著的解释作用,表明中国证券市场上信息风险定价作用不稳定。

This paper employs Hasbrouck （1991） trading information content（PIM） as a measure of information asymmetry and creates zero-investment portfolios that is size-neutral but long in high PIM stocks and short in low PIM stocks. The findings show that the zero-investment portfolio, which was built by CSI 500 sample stocks, can earns a significant information risk premium that can be explained by the Fama-French three-factors, momentum factor and liquidity factor. While the PIM factor cannot explain significantly the abnormal return earned by the zero-investment portfolio, which shows the pricing of the information risk is unstable in China stock market.