摘要
基于多种常用的博彩型股票识别指标,本文利用马尔科夫区制转移模型和投资者情绪指数,在对中国股市进行"风险-收益"和情绪两种状态划分的基础上,对比考察中国股市博彩型收益的时变性及其原因。研究结果表明:无论是基于"风险-收益",还是投资者情绪对股市状态进行划分,博彩型收益都表现出明显的时变性,即博彩型收益在牛市和高情绪期之后更为明显,而在熊市和低情绪期之后相对较弱。虽然各指标识别结果有所不同,但均表现出不同"风险-收益"下的博彩型收益与其他类型股票收益的差异要大于不同情绪状态下的收益差。博彩型收益主要源于投资者的非理性所导致的博彩型股票误定价。
Based on a variety of common identification indexes,using Markov regime switching model and investor sentiment index to divide the state of Chinese stock market,this paper examines the time-variable characteristics of lotterylike stocks in Chinese stock market and its reason. Research results shows that: whether it is based on"risk-return"or investor sentiment to divide the stock market state,lottery-like returns show obvious time-variation,that is,lottery-like returns are more obvious after bull market and high sentiment period,and relatively weaker after bear market and low sentiment period. Although the results of each index are different,they all show that the return difference between lottery-like stocks and other types of stocks under different"risk-return"states is greater than that under different sentiment states. Lottery-like return is mainly the result of the mispricing of lottery-like stocks caused by investors' irrationality.
引文
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(1)根据吴世农和许年行(2004)等研究表明,FamaFrench三因素模型比CAPM模型可以更好地解释我国市场股票横截面收益的变化,而Fama-French四因素模型中的动量因子期限还存在一定争议,故本文最终选择Fama-French三因素模型。