价值性投资还是博彩性投机?——中国A股市场的MAX异象研究  

Investment or Gambling?the MAX Anomaly in China’s A-Share Stock Market

作　　者：朱红兵 张兵[1] ZHU Hongbing;ZHANG Bing(Business School,Nanjing University)

机构地区：[1]南京大学商学院,江苏南京210093

出　　处：《金融研究》2020年第2期167-187,共21页Journal of Financial Research

摘　　要：本文利用1995—2017年中国A股上市公司公开数据实证检验了A股市场中的MAX异象,并从博彩性投机和有限套利视角深入探讨了异象的形成持续机制。结果显示:中国A股市场存在显著的MAX异象,个股当月MAX越小下月收益率就越高,构造多空组合可实现年化15.72%的收益。在投资者博彩性投机心理作用下,短期内MAX有惯性传递特征,投机性特征越强、内在价值越低的股票异象越显著。进一步实证分析发现:套利限制对MAX异象具有正向强化作用,套利限制越强异象越显著,多空策略组合获得的收益越高。本文的研究不仅有助于更好地理解中国股市中MAX异象,也对提升市场有效性、减小异象的影响有实践意义。The recent discovery of the MAX anomaly poses a challenge to the effectiveness of the factor pricing model.In-depth analysis of the MAX anomaly and clarification of the reasons for its formation are of great importance for improving the factor model and increasing market efficiency.From a review of the literature,this paper finds that studies of the causes of MAX anomaly have approached the problem from a variety of perspectives,but few have given a systematic theoretical explanation of its formation and persistence.This paper argues that the MAX anomaly occurs due to the speculative trading of investors and is subject to arbitrage restrictions in the stock market.First,investors’gambling preference drives them to buy winners and sell losers.The pursuit of a small probability of abnormal returns leads to large fluctuations in stock prices in the short term.Second,mispricing breeds market anomalies,but arbitrage trading among investors causes asset prices to return to equilibrium and eliminates market anomalies.Therefore,when investors face tight restrictions on arbitrage,stock mispricing will be ongoing and ultimately strengthen the market anomaly.Based on this analysis,this paper empirically examines the MAX anomaly in the A-share market by using the public data of Chinese A-share listed companies from year 1995 to 2017,and analyzes the impact of investors’gambling speculation on the MAX anomaly.To prove that the MAX anomaly originates from the gambling trading behavior of investors rather than value investment behavior,this paper further examines the impact of firm value on the anomaly.By constructing an index of arbitrage restriction,this paper further analyzes the strengthening effect of arbitrage restriction on the MAX anomaly.The main conclusions of this paper are as follows.First,there is a significant MAX anomaly in China’s A-share market,which is statistically significant after controlling different MAX construction periods and company characteristics.Through a combined long-short strategy,investor

关 键 词：MAX异象 有效市场 博彩性投机 套利限制 

分 类 号：F832.51[经济管理—金融学]