摘要
本文对我国股市中异质期望水平对股价的影响进行分析。在传统序贯交易(EKOP)模型的基础上,引入衡量投资者"看涨"、"看跌"、"看平"的参数,并定义股票的交易活跃度ρ,提出投资者预期的序贯交易模型。选取了2010年1月到2012年6月间29支股票的面板数据,并在此基础上构建异质期望的代理指标。通过面板回归分析,得出结论:投资者的异质期望水平对股票收益率产生反向的影响。投资者对某一支股票的意见分歧程度越大,其收益率越低;看法越一致,则收益率越高。并且,这种反向影响在不同的市场状况下,差异更加显著,而对于不同的股票则差别不大。
This paper studies how heterogeneous expectations impact stock prices. Based on the traditional EKOP model, this paper establishes an extended EKOP model that incorporates the parameters measuring the investors＇ expectations, and sets up a proxy for the divergence in opinion based on the estimation resuits of daily data of 29 sample stocks listed in Shanghai Stock Exchange from Jan 2010 to Jun 2012. Then this paper uses panel regression analysis to study how heterogeneous expectations affect stock returns. The results show that the het- erogeneity of investors＇ expectations has a reverse impact on stock returns; the larger the investor disagreements, the lower the returns. And this reverse effect has more to do with market conditions and less to do with the individual stocks.
基金
国家自然科学基金"基于随机波动Heath-Jarrow-Morton模型的可违约债券定价及风险管理策略研究"(71171144)
国家自然科学基金"非完美市场条件下信用债券定价及其资产组合优化研究"(71471129)
高等学校博士学科点专项科研基金"基于流动性调整的可违约债券定价与信用组合资产管理研究"(20130032110016)
关键词
异质期望
收益率
面板回归
序贯交易模型
Heterogeneous expectations
Returns
Panel regression
EKOP model
