中国股票市场“下行Beta之谜”——基于信息质量与投资者风险偏好的解释  

"Downward Beta Puzzle" of China’s Stock Market:Explanation Based on Information Quality and Investors’ Risk Preference

作　　者：李伟强 张守信[2] LI Weiqiang;ZHANG Shouxin(School of Graduate,Dongbei University of Finance&Economics,Dalian 116025,China;School of Physical Education,Harbin University of Commerce,Harbin,150028,China)

机构地区：[1]东北财经大学研究生院,辽宁大连116025 [2]哈尔滨商业大学体育学院,黑龙江哈尔滨150028

出　　处：《经济与管理》2022年第1期73-79,共7页Economy and Management

摘　　要：将股票市场信息拆分为与基本面相关的"价值信息"和与基本面无关的"噪声信息",进而检验信息质量对下行Beta的影响,并考察投资者风险偏好类型的作用。结论表明:价值信息影响下行Beta,也同时决定着个股预期收益率,而噪声信息则仅仅对下行Beta存在冲击,却与个股收益率无关,正是风险与收益存在差异化的信息冲击机制,导致了下行Beta负定价效应的出现与下行Beta之谜的产生。这一过程中,投资者风险偏好特征调节了信息质量对下行Beta之谜的影响,并具体表现为"信号过滤"(风险厌恶)与"信号放大"(风险偏好)效应。This paper divides the stock market information into "valuable information" related to fundamentals and "noise information" unrelated to fundamentals, then tests the impact of information quality on the downward beta, and examines the role of investors’ risk preference types. The conclusion shows that value information affects the downlink beta and also determines the expected rate of return of individual stocks, while noise information only has an impact on the downlink beta, but has nothing to do with the rate of return of individual stocks. It is the information impact mechanism of risk and returns differentiation that leads to the emergence of the negative pricing effect of downlink beta and the mystery of downlink beta. In this process, the characteristics of investors’ risk preference regulate the impact of information quality on the downward beta puzzle, which is embodied in the effects of "signal filtering"(risk aversion) and "signal amplification"(risk preference).

关 键 词：下行Beta之谜 信息质量 风险偏好类型 

分 类 号：F832.5[经济管理—金融学]