博彩型收益的时变性分析——来自中国股票市场的经验证据
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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.
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
[1]Kumar A.Who Gambles in the Stock Market?[J].Journal of Finance,2009,64(4):1889-1933.
[2]郑振龙,孙清泉.彩票类股票交易行为分析:来自中国A股市场的证据[J].经济研究,2013(5):128-140.
[3]Green T.C.,Hwang B H.Initial Public Offerings as Lotteries:Skewness Preference and First-Day Returns[J].Management Science,2012,58(2):432-444.
[4]Walkshusl C.The MAX Effect:European Evidence[J].Journal of Banking&Finance,2014,42(42):1-10.
[5]江曙霞,陈青.赌博特征股票的收益预测及解释[J].财贸研究,2013(3):99-107.
[6]崔惠颖.博彩型股票的市场特征分析---来自中国股市的经验证据[J].东北财经大学学报,2016(3):56-64.
[7]崔惠颖,王志强.博彩型股票的识别分析---来自中国股票市场的经验证据[J].商业经济与管理,2016(5):86-96.
[8]李培馨,刘悦,王宝链.中国股票市场的赌博行为研究[J].财贸经济,2014(3):68-79.
[9]Kumar A.,Page J.K.,Spalt O.G.Gambling and Comovement[J].Journal of Financial&Quantitative A-nalysis,2016,51(1):85-111.
[10]Baker M.,Wurgler J.Investor Sentiment and the CrossSection of Stock Returns[J].Journal of Finance,2006,61(4):1645-1680.
[11]Hamilton J.D.A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle[J].Econometrica,1989,57(2):357-384.
[12]易志高,茅宁.中国股市投资者情绪测量研究:CICSI的构建[J].金融研究,2009(11):174-184.
[13]Chen N.F.,Kan R.,Miller M.H.Are the Discounts on Close-end Funds a Sentiment Index[J].Journal of Finance,1993,48(2):795-800.
[14]Brown G.W.,Cliff M.T.Investor Sentiment and the Near-Term Stock Market[J].Journal of Empirical Finance,2004,11(1):1-27.
[15]杨墨竹.基于投资者情绪视角的交易所交易型开放式指数基金市场异象研究[D].大连:东北财经大学博士学位论文,2012.
[16]薛斐.基于情绪的投资者行为研究[D].上海:复旦大学博士学位论文,2005.
[17]蒋玉梅,王明照.投资者情绪、盈余公告与市场反应[J].管理科学,2010(3):70-78.
[18]朱钧钧,谢识予.状态转换和中国股市的独特特征---基于马尔可夫状态转换-自回归模型的分析[J].上海金融,2010(10):50-54.
[19]黄芬红.中国股市价值溢价的时变性---基于区制转移模型的分析[J].东北财经大学学报,2015(3):20-27.
[20]Brunnermeier M.K.,Parker J.A.Optimal Beliefs,Asset Prices,and the Preference for Skewed Returns[J].American Economic Review,2007,97(2):159-165.
[21]Barberis N.,Huang M.Stocks as Lotteries:The Implications of Probability Weighting for Security Prices[J].American Economic Review,2008,98(5):2066-2100.
(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。
[2]郑振龙,孙清泉.彩票类股票交易行为分析:来自中国A股市场的证据[J].经济研究,2013(5):128-140.
[3]Green T.C.,Hwang B H.Initial Public Offerings as Lotteries:Skewness Preference and First-Day Returns[J].Management Science,2012,58(2):432-444.
[4]Walkshusl C.The MAX Effect:European Evidence[J].Journal of Banking&Finance,2014,42(42):1-10.
[5]江曙霞,陈青.赌博特征股票的收益预测及解释[J].财贸研究,2013(3):99-107.
[6]崔惠颖.博彩型股票的市场特征分析---来自中国股市的经验证据[J].东北财经大学学报,2016(3):56-64.
[7]崔惠颖,王志强.博彩型股票的识别分析---来自中国股票市场的经验证据[J].商业经济与管理,2016(5):86-96.
[8]李培馨,刘悦,王宝链.中国股票市场的赌博行为研究[J].财贸经济,2014(3):68-79.
[9]Kumar A.,Page J.K.,Spalt O.G.Gambling and Comovement[J].Journal of Financial&Quantitative A-nalysis,2016,51(1):85-111.
[10]Baker M.,Wurgler J.Investor Sentiment and the CrossSection of Stock Returns[J].Journal of Finance,2006,61(4):1645-1680.
[11]Hamilton J.D.A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle[J].Econometrica,1989,57(2):357-384.
[12]易志高,茅宁.中国股市投资者情绪测量研究:CICSI的构建[J].金融研究,2009(11):174-184.
[13]Chen N.F.,Kan R.,Miller M.H.Are the Discounts on Close-end Funds a Sentiment Index[J].Journal of Finance,1993,48(2):795-800.
[14]Brown G.W.,Cliff M.T.Investor Sentiment and the Near-Term Stock Market[J].Journal of Empirical Finance,2004,11(1):1-27.
[15]杨墨竹.基于投资者情绪视角的交易所交易型开放式指数基金市场异象研究[D].大连:东北财经大学博士学位论文,2012.
[16]薛斐.基于情绪的投资者行为研究[D].上海:复旦大学博士学位论文,2005.
[17]蒋玉梅,王明照.投资者情绪、盈余公告与市场反应[J].管理科学,2010(3):70-78.
[18]朱钧钧,谢识予.状态转换和中国股市的独特特征---基于马尔可夫状态转换-自回归模型的分析[J].上海金融,2010(10):50-54.
[19]黄芬红.中国股市价值溢价的时变性---基于区制转移模型的分析[J].东北财经大学学报,2015(3):20-27.
[20]Brunnermeier M.K.,Parker J.A.Optimal Beliefs,Asset Prices,and the Preference for Skewed Returns[J].American Economic Review,2007,97(2):159-165.
[21]Barberis N.,Huang M.Stocks as Lotteries:The Implications of Probability Weighting for Security Prices[J].American Economic Review,2008,98(5):2066-2100.
(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。