股价历史新高会导致股票收益异常吗?——来自中国A股市场的证据

Does Stock's Historical High Prices Cause Abnormal Return——Evidence from China's Stock Market

股价历史新高作为股票市场中的一种异常极端事件,往往会带来投资者的高度关注。本文利用简单超额收益模型,对中国A股市场1995年至2011年间的股价历史新高事件进行研究,分析注意力因素对股价历史新高后股票收益的影响。研究发现,股价历史新高后存在股票收益异常现象,具体表现为短期内显著的正超额收益与后续期间股票收益的显著反转,本文称这种现象为"新高效应";通过对不同注意力条件与市场态势下的样本进行比较,发现实际历史新高比名义历史新高拥有更强的"新高效应",并且牛市中的"新高效应"也比熊市中表现得更为强烈。进一步地,用超额新闻量作为注意力的衡量指标,实证发现注意力是"新高效应"产生的重要影响因素。

Stock price hitting the historical highs vestors＇ attention. The simple abnormal return is a kind of exceptional event, which always attracts in- model is used to study the exceptional event in A share market in China from 1995 to 2011, and to analyse how investors＇ attention affects stock returns which come after stocks hitting the historical highs. It is found that abnormal phenomenon happened after stocks price creating new historical records. In detail, stock returns are significantly positive in 3 days after the exceptional event and then turn to be negative a week later. We name this phenomenon ＂new-high effect＂. By comparing different levels of attention and various market situations, it is also found that actual histori- cal highs create much stronger ＂new-high effect＂ than nominal historical highs do. Additionally, ＂new- high effect＂ is remarkable in the bull market than in the bear market. Furthermore, abnormal media news is used as a proxy for the investors＇ attention and it is showed that the investors＇ attention is an important factor of ＂new-high effect＂.