卖空和借贷约束、有限参与和资产收益率偏度:理论模型和实证分析

Short Sale and Borrowing Constraints,Limited Participation and Skewness of Return on Assets: A Theoretical and Empirical Analysis

中国股票市场融资融券业务同时开展,因此实证研究两融对股票偏度的影响需要同时考虑融资和融券的影响。本文建立了一个完整的一期模型,研究同时存在卖空和借贷约束的资产定价问题。约束条件影响偏度的机制是约束挤出了部分投资者,造成投资者的有限参与,改变了市场价格对信息反应的对称性,从而影响到价格的偏度。理论分析发现在有较强的卖空限制下资产价格是信息的凸函数,资产价格正偏;而若存在较强的借贷约束,或者借贷约束很小但卖空限制较弱时,资产价格转而为信息的凹函数,资产价格负偏。进一步理论计算给出了不同约束条件下资产的偏度,最后提出并在中国股票市场实证检验了三个假设:1融券会降低股票收益率的偏度;2当融券规模很小时,股票收益率仍然会正偏;3控制融券下,融资会增加股票收益率的偏度。

The Chinese markets adopt the policy of margin finance and short sales simultaneously. Empirical studies of the effects of the policy on skewness need to take the two effects into consideration. In this paper,we construct a one-period asset pricing model when investors are under both short sale and borrowing constraints. The mechanism behind the effects of the two constraints on the skewness is that the price is responding asymmetrically to the news once the constraints are imposed to the investors. A theoretical analysis reveals that the price is a convex function of the news and thus positively skewed when the investors are under strict short sale constraints. However,when the borrowing constraints are also strict,or the borrowing constraints are not strict but the short sale constraints are loose,the price is a concave function of the news and thus negatively skewed. Based on the theoretical analysis,we propose and empirically test three hypotheses in the Chinese stock markets：（ 1） short sales reduce the skewness of stock returns;（ 2） when the extent of short sales is small,the skewness of stocks returns could still be positive;（ 3） controlling short sales,margin finance increases the skewness of stock returns.