异质信念、卖空限制与股票收益——基于中国证券市场的分析

Heterogeneous beliefs, short-sale constraints and stock returns: Evidence from China

本文通过构建换手率分离模型计算未预期交易量,并以此作为异质信念的度量指标,探讨其对股票收益的解释能力.依据异质信念程度高低分组发现,异质信念越大的股票组合当期收益越高、未来一期收益越低,这一差异对小规模公司股票最为明显;将异质信念引入CAPM和Fama-French三因子模型,得到异质信念对股票当期收益的影响显著为正、对未来一期收益的影响显著为负;在进一步考虑了流动性、动量效应等因素后,结论依然成立;但针对2010年后允许卖空的股票,异质信念对股票未来一期收益的影响不再显著.本文基于中国证券市场的制度环境,一方面验证了Miller理论的有效性,同时也发现引入卖空机制能在一定程度上减弱异质信念导致的资产定价偏差.

The paper develops a turnover-decomposition model to extract unexpected trading volumes from trading activities, and uses it as the proxy of investors ＇ heterogeneous beliefs to explore the explanatory power on stock returns in Chinese stock markets. The results show that the stocks with a high （low） degree of hetero- geneous beliefs have higher （lower） current stock prices and lower （higher） future returns. This difference is most obvious for small companies. While adding the heterogeneous beliefs factor into the CAPM and Fama- French three-factor model, the paper derives results which show that heterogeneous beliefs has significantly positive impacts on current stock returns and significant negative effects on future stock returns. The results re- main the same even if liquidity, momentum, and other factors are included into the CAPM and Fama-French three-factor model. If the ban on short-selling for subset of stocks is lifted, however, the heterogeneous beliefs do not have significant explanatory powers on the future return for the subset stocks. The results support the validity of Miller＇ s theory.