投资者情绪、融资融券与股票收益
发布时间：2018-08-03 11:25
【摘要】：基于投资者情绪,本文利用2013年至2015年市场交易数据,分市场层面和公司层面来探讨融资融券与股票收益的关系。结果表明,融资交易市场上存在较为明显的羊群行为。在融资交易额快速增长的阶段,投资者遵循着小公司正反馈交易行为和大公司负反馈交易行为。融资融券交易额有助于股票未来收益的预测,且这种预测能力并没有因为流动性的下降而降低。
[Abstract]:Based on investor sentiment, this paper uses the data from 2013 to 2015 to explore the relationship between margin and stock returns. The results show that there is obvious herding behavior in the financing market. In the stage of rapid growth of financing transactions, investors follow the behavior of positive feedback trading in small firms and negative feedback trading behavior in large companies. Margin trading helps predict future earnings, and that ability is not diminished by declining liquidity.
【作者单位】： 合肥工业大学经济学院;
【基金】：国家社会科学基金项目(项目编号:14BJY181)的阶段性成果
【分类号】：F832.51
[Abstract]:Based on investor sentiment, this paper uses the data from 2013 to 2015 to explore the relationship between margin and stock returns. The results show that there is obvious herding behavior in the financing market. In the stage of rapid growth of financing transactions, investors follow the behavior of positive feedback trading in small firms and negative feedback trading behavior in large companies. Margin trading helps predict future earnings, and that ability is not diminished by declining liquidity.
【作者单位】： 合肥工业大学经济学院;
【基金】：国家社会科学基金项目(项目编号:14BJY181)的阶段性成果
【分类号】：F832.51
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