股票流动性能够解释收益反转之谜吗?  

Does stock liquidity explain stock return reversal puzzle?

作　　者：李宏[1] 王刚[1] 路磊[2] 

机构地区：[1]上海财经大学金融学院,上海200433 [2]北京大学光华管理学院,北京100871

出　　处：《管理科学学报》2016年第8期84-101,共18页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71271008);上海财经大学研究生创新基金资助项目(CXJJ-2013-321)

摘　　要：以我国沪深股票市场为例研究了股票收益率反转与股票流动性的关系,以期为股票收益率反转和股票流动性之间关系明确前提条件,提供不同国家金融市场差异性研究的佐证.研究表明我国沪深A股市场存在着显著的反转效应与流动性溢价效应;然而与针对美国市场的理论解释相悖,发现股票收益的反转与股票流动性之间代表了我国沪深A股市场上的两种截然不同的风险因素,股票的流动性因素并不完全是股票收益反转的潜在解释因素.并进一步通过分析得出操纵股票行为可能导致这种流动性解释在我国沪深股市上并不适用,这种操纵股票行为本身直接就会导致我国沪深股市短期收益反转.This paper provides novel evidences for the link between stock return reversals and stock liquidity.Using the data from Chinese A-share stock market for the period between January 1997 and November 2013,the paper examines the stock return reversal effect,the impact of stock liquidity on excess stock returns,and the liquidity-based explanation for stock return reversal effect,respectively. Consistent with previous studies,the paper finds that the stock return reversal effect is significant in Chinese stock market and stock liquidity has a positive effect on excess stock returns. However,inconsistent with the liquidity-based explanation for stock return reversals,our results suggest that stock liquidity is not likely a driver of stock return reversals in Chinese stock market. These results are explained with a demand-supply model,in which stock price manipulations by large institution investors lead to stock return reversals.

关 键 词：股票收益反转 股票流动性 多因子模型 

分 类 号：F830[经济管理—金融学] F832