中国A股市场的“大单异象”研究

The"Large-Volume Trading Anomaly"in China’s A-Share Market

基于中国A股市场单笔交易不低于10万股的股票交易数据,本文发现一类全新的定价异象——“大单异象”,即股票在当月的大单净买量与其下个月的预期收益率之间存在明显的负相关关系,基于该异象构造的多空组合可实现年化20%的收益。此外,在市值规模较小、机构投资者持股比例更低、分析师关注较少以及卖空交易较不活跃的股票中,该异象更为显著。最后,本文基于某券商的微观账户数据和RESSET高频交易数据对大单异象存在的原因进行了解释。我们发现投资者的羊群行为与中小散户对大单交易的过度反应是导致大单异象存在的重要原因。本文的研究对于提升我国资本市场定价效率、改善金融市场投资环境和保护投资者权益均具有一定的启示意义。

Based on the large-volume trading data(i.e.,trading volume is no less than 100000 shares of every single transaction),we find a brand-new asset pricing anomaly in China’s A-share market,which we called"Large-Volume Trading Anomaly".Specially,this anomaly means that the large-volume buying of stock in this month is negatively correlated with its expected return in the next month.The longshort portfolio based on this anomaly can achieve an annualized yield of 20%.What is more,this anomaly is more prevalent in small-sized stocks,stocks with low institutional ownership,less analysts’attention and more short-selling constraint.Finally,based on the micro accountlevel data and the RESSET high-frequency data,we provide some possible explanations of this anomaly.We find that investors’herding behavior and overreaction of small and medium-sized retail investors are essential determinants.Our paper is of great value for increasing the pricing efficiency of China’s A-share market,cultivating a better environment of the financial market,and protecting the interests of investors.