噪音交易对股票收益率的影响——基于个股层面的研究

Effect of Noise Trade on Stock Returns:Study Based on Individual Stocks

构建了衡量股票受噪音交易影响程度的指标,包括股票对投资者情绪指标的敏感程度、股票估值偏差、股价反应信息的滞后性和方差比率,并据此利用主成分分析法构造了综合指标,研究了噪音交易与股票特性、股票期望收益率的关系,以及不同市场阶段下噪音交易对股票期望收益率的影响。结果显示:账面市值比低、冲量高、收益率波动性高、财务杠杆率高、账面规模小的股票更易吸引噪音交易者;5个衡量股票受噪音交易影响程度的指标均与股票期望收益率正相关,且在市场上升阶段股票期望收益率更易受到噪音交易的影响。

This paper uses the sensitive of individual stock returns to market sentiment,firm′s mispricing,share′s price delay and variance ratio to represent the influencing degree of noise trade on stock,and constructs an aggregative index by principal component analysis based on these four indexes.Then it analyzes the relationships between noise trading and the features and expected returns of stocks,the influences of noise trade of expected returns of stock in different market periods.The result shows as follows：noise traders prefer the stock of firms with low bookto-market ratio,high momentum,high volatility,high leverage and small size;five indexes representing individual investor sentiment have positive relationships with stock returns,and the relationship is much stronger under the rising period of market.