投资者非理性与中国股票异象——基于异质信念的视角

Investors’irrationality and stock anomalies in China:A perspective of heter⁃ogeneous beliefs

投资者非理性是影响资产价格形成的一个重要因素,为检验投资者非理性特征对股票异象的影响,本研究利用1997年—2020年的股票交易数据,基于异质信念指标的构建思路构建了一个非理性信念指标,并实证探究了该指标对股票异象的影响.结果发现,非理性信念对未来收益具有负向预测能力;为了检验该指标对异象收益的解释能力,本文构建了一个包含市场因子(MKT)、规模因子(SMB)和信念因子(FMG)的信念因子模型,并复制了市场摩擦类、动量反转类、价值成长类、投资类、盈利类和无形资产类等102个股票异象,使用CAPM模型、FF-5模型、CH-3模型和信念因子模型对比发现,无论是调整的alpha值显著性还是GRS检验结果,信念因子模型都具有相对优势,说明非理性信念可能是导致股票异象形成的主要因子.

The investors’irrationality is an important factor in asset pricing.In order to test the influence of investors’irrationality,this paper uses stock data from 1997 to 2020 and builds an irrational⁃beliefs indicator based on the heterogeneous beliefs,and empirically explores the influence of this indicator on stock anomalies.The study finds that irrational⁃beliefs have a negative predictive power for future returns.This paper also builds a belief factor model including market factor(MKT),size factor(SMB)and belief factor(FMG),and replicates 102 stock anomalies,such as market friction,momentum⁃reversal,value⁃growth,investment,prof⁃its and intangible assets.The study finds that belief factor model has relative advantage from the results of both adjust alpha and significance of GRS tests based on the comparison of the CAPM model,FF⁃5 model,CH⁃3 model and B⁃3 model.At the same time,this paper suggests that irrational belief may be a main factor of stock anomalies.