卖空限制下异质信念的资产定价研究

发布时间：2018-06-19 20:29

本文选题：异质信念 + 卖空限制　；参考：《西南交通大学》2015年博士论文

【摘要】：本文所关注的投资者异质信念(或称为意见分歧)是投资者异质性的一种具体表现形式。传统的资本资产定价理论是在假定投资者具有同质性的基础上推导的,这种假定显然忽略了真实世界中事物之间普遍存在的差异特征和不同条件下人们认知的差异性。如个体间原有的知识储备(先验信念)、获取信息的渠道与速度、对信息的解读、风险承受能力等因素不同,均会导致投资者在同一时点上对同一资产有着不同的判断和预期。从而产生了异质信念,影响到人们的投资决策,最终对资产定价产生影响。关于异质信念资产定价的理论研究,均以卖空限制为前提。而中国A股市场在2010年3月31日之前严格限制卖空,此后才陆续放开部分股票的卖空限制。长期限制卖空的制度环境为我们探讨异质信念对资产定价的作用机理和实证检验提供了独特的实验环境。同时卖空限制的逐步取消,也为我们进一步分析异质信念对预期收益的影响是否减弱提供了机会。关于异质信念的资产定价理论早在1977年Miller就提出了概念模型,此后长期停留在理论模型的推导阶段；进入21世纪关于投资者异质信念的实证研究才逐渐涌现。其根本原因在于投资者异质信念直接与各投资者的心理行为相关,研究者无法直接观测,市场中也难以找到较好的代理变量对其进行准确地测度。到目前为止实证研究中用到的异质信念测度指标主要有分析师预测分歧、股票收益波动率、买卖价差、未预期交易量和基于委托订单价差构建的异质信念指标。本文回顾了不同测度指标的构建方式,比较其理论基础和适用性。本文借鉴Garfinkel(2009)未预期交易量的思想,并在此基础上对模型进行改进,构建了换手率分离模型,剥离出交易活动中流动性需求和信息冲击引发的交易,其未被模型解释的部分作为异质信念大小的度量。从交易活动中直接分离出投资者异质信念,一方面确保了我们获取的异质信念已转化为实际交易活动并对资产价格变化产生影响,同时也避免了其他外生的异质信念度量指标在测度投资者异质信念时,存在信息不全或信息重叠的问题。在此基础上,我们进一步探讨投资者异质信念程度对股票收益的解释能力。得到以下结论：首先,根据异质信念程度高低构建投资组合策略,考虑了影响资产价格的各种重要因素,运用简单的数理统计方法直观地展示了异质信念确实对资产价格形成了稳定的影响。其具体表现为在限制卖空的市场环境下,看空意愿的表达受到限制,资产价格中更多地融入了乐观投资者的意见,导致股票当期价格高估,而未来收益相应地较低。因此个股异质信念越大当期收益越高,未来收益越低。在分组对比中发现,异质信念最高组与最低组的月度收益差在小规模公司中体现最为明显,另外动量效应在组合的构建中没有得到体现。因此在同时控制公司规模和价值因素后,小公司价值股且异质信念程度低的组合未来一个月的平均收益显著高于大公司成长股且异质信念程度高的组合。这一研究结论对投资实践中基金组合的构建有着实际的指导意义。(详见第4章)其次,从资产定价模型的视角,运用计量经济方法实证检验了异质信念的定价效力。在CAPM、Fama-French三因子模型和Carhart四因子模型中分别引入异质信念,回归结果均表明异质信念程度的高低与股票当月收益显著正相关、与未来一个月收益显著负相关。在考虑流动性因素的时间序列回归中,异质信念对当期和预期收益依然存在稳定影响。在稳健性检验中,国外常被用作异质信念代理指标的分析师预测分歧并不能解释A股市场的预期收益。在考虑特质波动率和动量反转等因素后,异质信念的定价能力仍存在。(详见第5章)第三,在牛市、熊市不同的市场环境下,投资者异质信念程度存在差异,且对资产价格具有非对称影响。牛市中,信息充裕且投资者交易活跃,一方面投资者有动力去收集和挖掘更多信息以获取更高收益,另一方面信息的充裕和交投的活跃导致投资者更容易基于不同信息做出决策,因此牛市中投资者的异质信念相对较强。而在熊市,交易清淡,信息量较小且流动速度降低,投资者的信念更容易趋同,因此异质信念程度较弱。将2000年—2009年划分为5个牛熊市区间,统计结果显示了牛熊市异质信念程度的差异。回归分析表明,异质信念在牛市、熊市存在非对称影响,在熊市有显著的助涨助跌效应。即熊市中异质信念导致当月股价高估的程度大于牛市,同时对下一个月股票收益的降低作用也强于牛市。(详见6.1节)最后,探讨了允许卖空后异质信念对资产定价的影响。异质信念资产定价的理论推导均建立在严格限制卖空的条件下,那么允许卖空后异质信念的定价能力是否消失了呢?由于市场摩擦和交易成本也能阻碍悲观意见的表达,异质信念与预期收益负相关的现象在美国市场依然显著。在中国市场上,异质信念对允许卖空的公司收益是否具有预测作用是一个实证问题。2010年3月以后我国开始了融资融券试点,此后的时间段内我国证券市场同时存在允许卖空和限制卖空的股票。作者选用2011年—2013年的数据,通过分组对比和回归分析实证检验了放松卖空限制后,异质信念对允许卖空的股票当期收益的解释能力减弱,对未来收益不再有显著的影响。(详见6.2节)
[Abstract]:The investor heterogeneity belief (or disagreement) is a specific manifestation of investor heterogeneity. The traditional capital asset pricing theory is derived on the basis of the assumption that the investor has homogeneity, which obviously ignores the common differences and different conditions between the real world and the real world. The differences in people's cognition, such as the original knowledge reserve (prior belief), the channel and speed of obtaining information, the interpretation of information and the ability to bear the risk, will cause the investor to have different judgments and predates on the same asset at the same time. Decision making has an impact on asset pricing. The theoretical research on the pricing of heterogeneous belief assets is based on short selling limit, while China's A stock market strictly restricts short selling before March 31, 2010. After that, the short selling limit of some shares has been liberalized. The action mechanism and empirical test provide a unique experimental environment. At the same time, the gradual cancellation of the short selling limit provides a chance for us to further analyze whether the influence of heterogeneous beliefs on expected returns is weakened. The theory of asset pricing for heterogeneous beliefs has been proposed in Miller in 1977, and has been in the theory for a long time. The empirical study of the model is gradually emerging in twenty-first Century. The fundamental reason is that the investors' heterogeneous beliefs are directly related to the psychological behavior of the investors. The researchers can not observe directly, and it is difficult to find a better proxy variable to measure them accurately in the market. The index of heterogeneous belief used in the empirical study mainly includes the analysts' divergence, the volatility of stock returns, the sale spread, the unanticipated trading volume and the heterogeneous belief based on the price difference based on the entrustment order. This paper reviews the construction methods of different measure indexes, compares their theoretical basis and applicability. This paper uses Garfinkel (2009) for reference. On the basis of the idea of unexpected trading volume, and on this basis, the model is improved, a turnover rate separation model is constructed, and the transaction caused by liquidity demand and information shock in the transaction is stripped, and the part of the model is not the measure of the size of the heterogeneous belief. It is ensured that the heterogeneous beliefs we acquire have been transformed into real trading activities and have an impact on the change of asset prices. At the same time, we also avoid the problem of information incomplete or overlapping of information when measuring the heterogeneous beliefs of investors. On the basis of this, we further explore the heterogeneous belief process of investors. The following conclusions are obtained: firstly, according to the degree of heterogeneous belief, the investment portfolio strategy is constructed, and the important factors that affect the asset price are considered, and a simple mathematical statistics method is used to show that the heterogeneous belief has a stable effect on the asset price. In the market environment of short selling, the expression of the willingness to see space is limited, and the price of the asset is more integrated with the opinion of the optimistic investor, which leads to the overvaluation of the stock in the current period and the lower income in the future. The monthly income difference of the lowest group is most obvious in the small scale companies, and the momentum effect is not reflected in the construction of the combination. Therefore, after controlling the company size and the value factors simultaneously, the small company value shares and the low degree of heterogeneous belief level are significantly higher than the big company growth stock and heterogeneity in the next month. The conclusion of this study has a practical guiding significance for the construction of the fund portfolio in investment practice. (see Chapter fourth) Secondly, the pricing effectiveness of heterogeneous beliefs is tested empirically from the angle of asset pricing model by using econometric methods. In CAPM, Fama-French three factor model and Carhart four factor model, With the introduction of heterogeneous beliefs, the regression results show that the level of heterogeneous beliefs is significantly positively correlated with the earnings of the stock month, and has a significant negative correlation with the earnings of the future month. In the time series regression, the heterogeneous beliefs still have a stable effect on the current and expected returns. In the robustness test, foreign countries are often used as different. The analyst forecast divergence of the qualitative belief proxy index does not explain the expected earnings of the A stock market. After considering the factors such as the trait volatility and the momentum reversal, the pricing ability of the heterogeneous beliefs still exists. (see Chapter fifth) third, in the bull market and the bear market, there are differences in the degree of heterogeneity between the investors and the asset prices. There is asymmetric influence. In the bull market, the information is abundant and the investors are active. On the one hand, the investors have the power to collect and dig more information to get higher income. On the other hand, the abundant information and the active investment lead to the investors to make decisions based on different information, so the investor's heterogeneous belief is relatively strong in the bull market. In the bear market, the transaction is light, the amount of information is small and the flow speed is reduced, and the belief of the investors is more easy to converge. Therefore, the degree of heterogeneous belief is weak. The difference between 2000 and 2009 is divided into 5 bull bear market. The statistical results show the difference of the degree of heterogeneous belief in the bull bear city. There is a significant rise and fall effect in the bear market. That is, the degree of the stock price overvaluation in the bear market is greater than the bull market in the bear market, and the reduction of the stock returns to the next month is stronger than the bull market. (see 6.1 section) finally, the influence of the heterogeneous belief on the pricing of the assets after the short selling is discussed. The theory of the pricing of heterogeneous belief assets is pushed. Under the strict limit of short selling, do the pricing power of heterogeneous beliefs disappear after short selling? Because market friction and transaction costs can also impede the expression of pessimism, the negative correlation between heterogeneous beliefs and expected earnings is still evident in the US market. In the Chinese market, heterogeneous beliefs are allowed to sell short. Whether the earnings of the company has a predictive function is an empirical problem, after March.2010, China started a pilot of margin financing. In the following period, the stock market in China also allowed short selling and short selling stock. The author selected the data from 2011 to 2013, and tested the relaxation of short selling by group comparison and regression analysis. After the restriction, the heterogeneous belief reduces the explanatory power of the current stock yield that allows short selling, and has no significant effect on future earnings. (see Section 6.2).
【学位授予单位】：西南交通大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F832.51

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