基于BAPM模型的噪声交易者风险的测度——以受处罚的上市公司为例研究  

The Measure of Noise Trader Risk Based on BAPM——An Example of Punished Listed Company

作　　者：王苏生[1] 李为[1] 

机构地区：[1]哈尔滨工业大学深圳研究生院,广东深圳518055

出　　处：《运筹与管理》2012年第1期167-174,共8页Operations Research and Management Science

摘　　要：过度的噪音交易,尤其是受到行政处罚的上市的噪声交易,在我国证券市场是非常普遍的。选用2007～2009年内受到中国证监会行政处罚的上市公司,从2006年1月到2009年12月的收益率作为分析的样本,同时取其对应的同行业的配对公司进行实证研究得出结论,噪声交易者风险(NTR)与股票超额收益是显著负相关的,显著性越高,那么投资者投资此类股票受到损失的可能性越大。最后,本文提出了治理我国股市噪声问题、提高市场有效性的政策建议。Excessive noise transactions,especially those listed noise traders subject to administrative penalties in China ＇s securities market is very common.Selecting listed company Regulatory Commission administrative penalties,from 2007 to December 2009 the yield of samples for analysis at the same time whichever is the corresponding line of the same industry matched firm to conduct empirical studies have concluded that noise traders Risk（NTR）and stock excess returns are significantly negatively correlated,significantly higher,then the investors to invest in such stocks are the greater the likelihood of loss.Finally,this paper proposes to solve the noise problem of China＇s stock market to improve market efficiency policy recommendations.

关 键 词：行为金融 噪声交易 BAPM模型 噪声交易者风险 

分 类 号：F830.91[经济管理—金融学]