股指期货定价偏差与成分股超额收益分歧  

The Pricing Bias of Stock Index Futures and Disagreement on Constituent Stock Return

作　　者：陈蓉 刘非亚 郑振龙 CHEN Rong;LIU Feiya;ZHENG Zhenlong(Xiamen University)

机构地区：[1]厦门大学管理学院财务学系

出　　处：《经济学（季刊）》2024年第5期1622-1639,共18页China Economic Quarterly

基　　金：国家自然科学基金(72071168,72371210)的资助。

摘　　要：现有金融学理论通常认为股指期货的定价偏差反映了投资者情绪,然而这无法解释我国中证500指数期货的长期贴水现象。本文认为该现象源于股票卖空限制下投资者使用的“市场中性”策略,故贴水反映了不同投资者对股票指数成分股超额收益的分歧。本文使用横截面因子刻画成分股超额收益,通过理论模型与实证检验证明了上述观点。In the existing literatures,researchers often relate the pricing bias of stock index future to investor sentiment.However,the sentiment related theory cannot explain the long-existing backwardation phenomenon of CSI 500 index futures in China.We argue that this phenomenon is driven by"market-neutral"investors under short-sale constraint.Therefore,the pricing bias reflect the disagreement of heterogeneous investors on constituent stock returns.This is supported by our theoretical model and empirical results,with a simplification that the constituent stock returns are driven by some cross-sectional factors.

关 键 词：股指期货定价偏差 投资者情绪 卖空限制 

分 类 号：F832.5[经济管理—金融学]