投资者信息敏感度非对称性与绩差股效应  

The Asymmetry of Investors' Information Sensitivity and Effect of Bad Performance Stocks

作　　者：李腊生[1] 黄孝祥[2] 孙茜[2] 

机构地区：[1]天津财经大学中国经济统计研究中心 [2]天津财经大学

出　　处：《统计研究》2016年第3期88-96,共9页Statistical Research

基　　金：国家社会科学基金项目"基于我国居民家庭资产选择偏好的资产价格体系及其统计监测研究"(15BTJ002)的资助

摘　　要：本文以我国股票市场为研究背景,在对上市公司与信息分类的基础上对我国股市中绩差股的投资价值进行了理论分析与实证检验。分析结果表明:在我国股票市场中,投资者对信息的反应具有非对称性特征,这种非对称性不仅表现在同类公司的不同信息上,而且还表现在同类信息对不同的公司上;在上市公司信息公告服从随机游走的条件下,投资者对上市公司反应的非对称性必然导致差公司股票相对于好公司股票更有投资价值;现实证券市场中,选择投资差公司股票的策略不能有效战胜市场的原因在于,好公司的利好消息更频繁,差公司的利空消息更频繁,差公司股票的投资价值由无风险收益、相对风险补偿和信息价值三部分构成,其中信息价值是最为重要的决定变量。Under the backdrop of China＇ s stock market, this paper theoretically analyzes and empirically tests the investment value of bad performance stocks , based on the classification of listed companies and information. The result shows that investors＇ reaction to the information has the characteristics of asymmetry in China＇ s stock market, which is manifested not only in the different information of similar companies, but also in the same information for different companies. On the condition that the information announcements of listed companies obey random walk, this asymmetry inevitably causes that the stock of companies with bad performance have more investment value than companies with good performance. In the real stock market, the reason why the strategy to invest the stock of companies with bad performance can not beat the market effectively is that good companies＇ good news is more frequent than bad companies＇ and bad companies＇ bad news is more frequent than good companies performance consists of three parts, that is, risk-free return, most important decisive variable. The investment value of the stock of companies with bad relative risk compensation and information value which is the

关 键 词：信息敏感性 利好消息 利空消息 差公司股票投资价值 

分 类 号：C812[社会学—统计学]