知情交易与中国股市博彩溢价  

Informed Trading and the Lottery Premium in China's Stock Markets

作　　者：孔东民[1] 代昀昊[1] 李捷瑜[2] 

机构地区：[1]华中科技大学经济学院 [2]中山大学岭南学院

出　　处：《金融评论》2010年第2期61-72,共12页Chinese Review of Financial Studies

基　　金：国家自然科学基金(70803013)的资助

摘　　要：本文发现中国股市存在博彩(投机)溢价,且无法为Fama-French三因子模型解释。尽管在组合构造期内,博彩型股票存在显著溢价,但组合的超额收益会迅速消失,并未给投资者(或投机者)带来持续的财富效应。基于知情交易概率测度,我们进一步发现中国股市的知情交易者驱动(或引发)了博彩型股票溢价;在组合构造后的月份,并没有明显的知情交易者存在,这意味着知情交易者在基于私人信息获利之后,那些随后进入市场的投资者(动量交易者)无法获得超额收益。We show significant lottery premium (speculation premium) in China's stock markets.The premium cannot be explained by the Fama-French model.In portfolio formatting period,lottery type stocks outperform non-lottery type stocks.However,the difference of different portfolios' return is disappearing soon and the investor cannot gain from the lottery type stocks.Based on the informed trading measure (PIN),we further find that the informed drives (causes) the lottery premium.In the post-formatting period,there is no informed trader in lottery type stocks and this means that,after the informed making profit by their private information,the followers (positive feedback investors) cannot gain from lottery type stocks.

关 键 词：博彩溢价 知情交易概率 三因子模型 

分 类 号：F832.51[经济管理—金融学]