异质信念、套利限制与低换手率溢价之谜

Mystery of Heterogeneous Beliefs,Arbitrage Restrictions,and Low Turnover Rate Premiums

基于1995~2017年2698家中国A股市场上市公司数据,利用Fama-Mac Beth回归、排序分组等方法实证分析低换手率溢价存在性及其影响因素。实证结果表明,中国股票市场存在显著的低换手率溢价现象,当期换手率低的股票能够获得更高的预期收益;尽管股票换手率能够反映其流动性,然而流动性溢价不能较好解释低换手率效应,投资者的异质信念和套利限制对低换手率溢价的解释力更强。究其原因,低换手率溢价由投资者异质信念与市场套利限制共同造成的错误定价和价格的延期纠正。因此,投资者应回归到理性投资,切忌盲目追热。

Based on the data of 2,698 listed companies in China＇ s A-share market from1995 to 2017,this study applied the Fama-Mac Beth regression,sorting,and grouping methods to empirically analyze the existence of low turnover rate premiums and their influencing factors. The empirical results show that the low turnover rate premium in China＇s stock market is significantly low. Stocks with a low turnover rate in the current period are able to achieve higher expected returns. Although the turnover rate can reflect the liquidity of a stock,liquidity premiums do not effectively explain the low turnover rate. Instead,the heterogeneous beliefs of investors and arbitrage restrictions explain low turnover rate premiums better. This is because low turnover rate premiums are corrected by the mispricing and price delays caused by the heterogeneous beliefs of investors and arbitrage restrictions in the market. Therefore,investors should depend on rational investment and avoid blindly speculating on popular stocks.