异质信念、卖空约束和中国股票市场反转效应

Heterogeneous Beliefs,Short-Sale Constraints,and Chinese Stock Market Return Reversals

本文从理论和实证上研究投资者异质信念及卖空约束对股票市场反转效应的影响。首先扩展Daniel等(1998,2001)的投资者过度自信与股票市场反转效应模型,引入异质信念及卖空约束。卖空约束可能使股票价格在对新信息的反应初期更多地反映过度乐观投资者的预期而被高估,因此在卖空约束下,异质信念的强度与未来回报有负向关系。而当投资者存在归因误差时,投资者异质信念程度在赢家组合中更高,使赢家组合的反转效应更加显著。基于中国A股数据的实证研究验证了模型的预测。使用换手率和特质波动率作为异质信念的度量,研究发现异质信念与未来收益有负向关系,且在赢家组合中更显著。使用股票是否可以融券作为卖空约束的度量,发现可以融券的股票的反转效应弱于不可以融券的股票,表明引入卖空机制有助于提高市场的有效性。本文的研究对在中国资本市场加强投资者教育、提升上市公司信息披露质量和引入卖空制度提供了依据。

This paper studies the impact of heterogeneous beliefs and short-sale constraints on Chinese stock market return reversals both theoretically and empirically.It first extends the investor overconfidence model of Daniel et al(1998,2001)to incorporate heterogeneous beliefs and short-sale constraints.Because of short-sale constraints,stock prices may initially reflect more of the expectations of optimists and become overvalued.Therefore,the magnitude of heterogeneous beliefs is negatively related to future returns.And such relationship is stronger among winner portfolios,possibly due to biased self-attribution.Empirical tests based on Chinese A-share stock markets confirm the predictions of the model.Using turnover and idiosyncratic volatility as a proxy for heterogeneous beliefs,we find that heterogeneous beliefs are negatively related to future returns,especially among winner portfolios.Using whether stocks can be margin traded as a measure for short-sale constraints,we find that return reversals are weaker among margin-traded stocks as suggested by the theory,suggesting that margin-trading could improve market efficiency.Our research lends policy support to strengthening investor education,enhancing corporate information disclosure and introducing margin-trading into Chinese capital markets.