中国资本市场低价股的溢价之谜
发布时间：2018-08-07 07:38
【摘要】：本文主要研究低价股的溢价异象,并从行为金融学视角分析指出股票的名义价格幻觉是造成低价股溢价效应的重要原因。基于1999-2014年中国A股上市公司175,736个月度样本数据的实证分析表明,中国资本市场存在显著持续的低价股溢价现象,而且上市公司的散户规模越大,低价股的溢价效应越强,证实了本文的理论观点和预期。与此同时,我们发现机构投资者持股、证券分析师关注、卖空机制等都有利于降低低价股的溢价程度,从而帮助资本市场矫正误定价和资源错配问题。进一步,我们还发现上市公司的管理者还会通过发放股票股利以利用投资者的名义价格幻觉和迎合投资者对低价股的偏好,从而实现市值管理的目的。本文的研究结论对于揭开中国资本市场低价股的溢价之谜和提高资本市场的定价效率都具有重要的实践启示和政策参考。
[Abstract]:This paper mainly studies the anomaly of low price stock and points out from the perspective of behavioral finance that the illusion of nominal price of stock is an important reason for the premium effect of low price stock. Based on the data of 175736 monthly samples of Chinese A-share listed companies from 1999 to 2014, the empirical analysis shows that there is a significant persistent phenomenon of low price premium in Chinese capital market, and the larger the size of retail investors, the stronger the premium effect of low price stock. The theoretical viewpoint and expectation of this paper are confirmed. At the same time, we have found that institutional equity holdings, securities analysts' concerns, and short selling mechanisms are all conducive to reducing the premium of low-priced stocks, helping the capital markets to correct mispricing and mismatch of resources. Furthermore, we also find that managers of listed companies can achieve the purpose of market value management by issuing stock dividends to take advantage of investors' nominal price hallucinations and to cater to investors' preference for low-priced stocks. The conclusions of this paper have important practical implications and policy references for uncovering the mystery of the premium of low-priced stocks in China's capital market and improving the pricing efficiency of the capital market.
【作者单位】： 厦门大学管理学院;
本文编号：2169325
[Abstract]:This paper mainly studies the anomaly of low price stock and points out from the perspective of behavioral finance that the illusion of nominal price of stock is an important reason for the premium effect of low price stock. Based on the data of 175736 monthly samples of Chinese A-share listed companies from 1999 to 2014, the empirical analysis shows that there is a significant persistent phenomenon of low price premium in Chinese capital market, and the larger the size of retail investors, the stronger the premium effect of low price stock. The theoretical viewpoint and expectation of this paper are confirmed. At the same time, we have found that institutional equity holdings, securities analysts' concerns, and short selling mechanisms are all conducive to reducing the premium of low-priced stocks, helping the capital markets to correct mispricing and mismatch of resources. Furthermore, we also find that managers of listed companies can achieve the purpose of market value management by issuing stock dividends to take advantage of investors' nominal price hallucinations and to cater to investors' preference for low-priced stocks. The conclusions of this paper have important practical implications and policy references for uncovering the mystery of the premium of low-priced stocks in China's capital market and improving the pricing efficiency of the capital market.
【作者单位】： 厦门大学管理学院;
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