摘要
非同步性被广泛用以度量股价信息含量,但其同时也蕴含了投资者博彩偏好或投机行为的影响:一方面,投资者博彩偏好使得股价偏离基本面并增大特质波动,非同步性会随之增加;另一方面,博彩行为还会形成系统性偏差,而系统性风险则趋于减弱非同步性,即博彩与投机行为会强化“系统性风险-非同步性”的负相关性。基于中国股市数据,本文证实了上述投资者博彩偏好对非同步性与特质波动的影响,同时发现财务信息不透明对非同步性存在类似的作用机制,但其弱化了投资者博彩偏好对非同步性与特质波动的影响。
Asyncronicity of return has been widely used for measuring the information contents in stock price,but it also reflects the influence of lottery-like preference of investors.On the one hand,the investors'lottery-like preference makes the stock price deviate from its fundamental value and increase its idiosyncratic volatility and asynchronicity of return.On the other hand,the collective irrational behavior of speculative traders will form systematic bias,and systematic risk will decrease return asynchronicity.This means the lot-tery-like preference of investors can strengthen the negative relationship between systematic risk and asynchronicity.With data of Chinese stock markets,the impact of investors'lottery-like preference on idiosyncratic volatility or asynchronicity of return above is verified.Meanwhile,financial information opacity is found to have the same effect on idiosyncratic volatility or asynchronicity of return,but it weakens the effcet of investors'lottery-like preference on idiosyncratic volatility or asynchronicity of return.
作者
黄波
姜华东
Huang Bo;Jiang Huadong(School of Business Administration,Shanghai Lixin University of Accounting and Finance,Shanghai 201620,China;School of Finance,Shanghai Lixin University of Accounting and Finance,Shanghai 201209,China)
出处
《南开经济研究》
CSSCI
北大核心
2022年第6期182-200,共19页
Nankai Economic Studies
基金
国家社科基金一般项目“基于信息操纵的合谋型内幕交易及监管创新研究”(17BGL056)
教育部人文社会科学青年项目“注册制背景下的内幕交易法律完备度冲击与监管转型研究”(16YJC790038)的资助。
关键词
非同步性
特质波动
投资者博彩偏好
财务信息不透明
Return Asynchronicity
Idiosyncratic Volatility
Lottery-Like Preference of Investors
Financial Information Opacity
