知情交易、信息不确定性与股票风险溢价

Informed trading,information uncertainty and stock risk premium

基于VPIN指标度量沪深300成分股的知情交易程度,并检验其定价效应及其与信息不确定性的交互作用.实证结果表明:1)VPIN可以通过提高买卖价差影响市场的流动性风险,并带来显著的横截面和时序上的风险溢价;2)VPIN对风险溢价的解释能力优于信息不确定性因子,而信息不确定性对知情交易具有同向调节作用;3)当对个股的信息不确定性、规模、动量以及变量之间的交互作用进行控制后,VPIN的定价效果依然显著存在.与此同时,Fama-Macbeth分析结果还表明,VPIN与传统风险因子不存在内生性问题,也不是传统风险因子的替代变量;4)在公司发布各类重大公告前都存在显著的异常风险溢价和异常交易量,而上述异常值可以被同步出现的异常VPIN值所解释.

This paper investigates the volume-synchronized probability of informed trading(VPIN)for the stocks listed in CSI 300 index.Using VPIN as a proxy of information asymmetry,we examine the risk premia of information asymmetry and the relation between information asymmetry and information uncertainty.Our empirical results show that:(1)An increases in VPIN results in a larger bid-ask spread and liquidity risk,leading to a pounced risk premia in both cross-sectional and time series analyses.(2)VPIN dominates the factor of information uncertainty in explaining the excessive return,while information uncertainty also generates co-directional effects on VPIN.(3)VPIN remains significant after we control information uncertainty,size,momentum factors.Meanwhile,Fama-Macbeth analysis shows that the VPIN has no endogenous problem with traditional risk factors and is orthogonal to them.(4)Unusual risk premia and trading volumes which occur before companies’major announcements can be captured by the synchronized abnormal VPIN.