货币政策公告、信号传递与股市公告溢价效应——来自沪深A股上市公司的证据

Monetary Policy Announcement, Signal Transmission andAnnouncement Premium Effect of Stock Market:Evidence from Shanghai and Shenzhen A-share Listed Companies

基于信号传递的资产定价模型,从理论层面剖析了货币政策公告溢价效应产生的内在机制,并数值模拟出相关变量改变后货币政策公告溢价效应的变化情况;使用2010—2021年沪深A股上市公司的日度数据,实证研究了中国股票市场是否存在公告溢价效应。理论建模和实证分析的结果表明:中国人民银行的货币政策公告确实在A股市场上存在公告溢价效应,且效应随着个股风险系数的提升而加强。另外发现,公告溢价现象产生的根源在于未预期到的货币政策公告向市场释放了一种信号,此种信号传递给投资者带来了不确定性从而需要更大的风险溢价补偿。为防范此类系统性金融风险,建议应当提高中国货币政策公告的前瞻性、透明性和规律性。

Based on capital asset pricing model with signal transmission,the article theoretically analyzes the internal mechanism of the premium effect of monetary policy announcement,and then numerically simulating the changes in the premium effect of monetary policy announcement after relevant variables are changed.By using the daily data of Shanghai and Shenzhen A-share listed companies from 2010 to 2021,the article empirically studies whether announcement premium effect exists in China s stock market.The results of theoretical modeling and empirical analysis show that the monetary policy announcement of People s Bank of China does have announcement premium effect in A-share market,and the effect is strengthened with the increase of individual stock risk coefficient.In addition,this paper finds that the source of announcement premium phenomenon lies in the fact that unexpected monetary policy announcement releases a signal to the market,which brings uncertainty to investors and make them require greater risk premium compensation.In order to prevent such systematic financial risks,this paper suggests that the foresightedness,transparency and regularity of China s monetary policy announcement should be improved.