投资者情绪和套利限制对中国股市低Beta异象的影响研究  

Research on the Impact of Investor Sentiment and Limited Arbitrage on the Low Beta Anomaly in China

作　　者：孙蕾[1] 陈予清 SUN Lei;CHEN Yu-qing(Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE,School of Statistics,FEM,East China Normal University,Shanghai 200062,China)

机构地区：[1]华东师范大学统计与数据科学前沿理论及应用教育部重点实验室,经济与管理学部统计学院,上海200062

出　　处：《兰州财经大学学报》2023年第2期90-99,共10页Journal of Lanzhou University of Finance and Economics

摘　　要：低Beta股票的未来收益有时优于高Beta股票未来收益的现象被称为“低Beta异象”。本文选取2002年1月1日到2020年12月31日的全部A股为研究对象,使用符合中国国情的Fama-French四因子模型,实证发现A股市场在样本期内存在较为显著的低Beta异象。基于中国A股市场的主要特征构建相应的解释变量进一步剖析低Beta异象存在的原因。结果表明,低Beta异象显著存在于乐观的投资者当中,并且存在于具有较高套利限制的股票市场中,同时投资者情绪对低Beta异象的解释能力要优于套利限制的解释能力。The phenomenon that the future returns of low beta stocks sometimes outperform those of high beta stocks is called the"low beta anomaly".This article selects all A-shares from January 1,2002 to December 31,2020 as the research object,and uses the Fama French four factor model suitable for Chi⁃na's conditions to empirically discover that there are relatively significant low beta anomalies in the Ashare market during the sample period.Subsequently,this study constructs corresponding explanatory variables based on the main characteristics of China's A-share market to further analyze the reasons for the existence of low beta anomalies.The results show that low beta anomalies exist significantly among optimistic investors and in stock markets with high limited arbitrage.At the same time,investor senti⁃ment has a better ability to explain low beta anomalies than limited arbitrage.

关 键 词：低Beta 投资者情绪 套利限制 

分 类 号：F832.51[经济管理—金融学]