存在老鼠仓交易时资产定价研究  

A Study on Asset Pricing under Rat Trade Condition

作　　者：周仁才[1] 吴冲锋[1] 

机构地区：[1]上海交通大学金融工程研究中心,上海200052

出　　处：《管理工程学报》2010年第2期100-103,99,共5页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70331001)

摘　　要：首先,对老鼠仓情况下市场各方交易行为进行建模。由于市场中做仓机构投资者主动偏离理性决策,做仓股票获取超额收益率,资本资产定价模型不再成立;同时因老鼠仓交易引起的资产价格变动影响投资者对于资产未来收益的预期,加剧投资者之间的信息不对称,从而进一步为做仓股票带来超额收益率。最后,利用时间序列与横截面双程回归的方法对受到证监会查处的老鼠仓股票进行实证分析,证明其结果与理论模型相吻合。By constructing a trade model of the rat,the institutional investor and the other investors,this article shows that because the institutional investor intentionally violates rational decision-making,the rat stock gains abnormal return. Furthermore,the price volatility caused by rat trade has an effect on investors＇ expectations to the stock＇s future return,which increases the rat stock＇s abnormal return.The author uses the time series and cross-sectional regression on the rat stocks punished by China Securities Regulatory Commission（CSRC） to make an empirical study,and the result accords with the theoretical analysis.

关 键 词：CAMP 老鼠仓 超额收益 

分 类 号：F830[经济管理—金融学]