中国股票回报率偏度研究
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摘要
如今,精明理性的投资者们,开始越来越关注股票价格行为。大量的实证证明,股票的回报率并不是服从正态分布,不能满足有效市场假说(EMH)金融理论的假设条件,意味着存在正偏或负偏。本文以中国股票回报率偏度为研究对象,分析影响其的诸多因素。首先,在禁止卖空及投资者异质的前提条件下,以股票价格对消息的反应呈现出价格凸性为理论基础,观测价格反应与偏度的关系,以此展开对于盈余公告价格反应的实证检验。其次,基于价格反应与股票偏度的关系,提出以下几个预测:1、股票回报率偏度与当期回报呈正比、与滞后期回报呈反比;2、偏度与成交量呈正比、股票规模呈反比。实证研究分为三个部分:1、检验盈余公告后价格反应的不对称性;2、以满足两大前提假设的沪市股票偏度为研究对象,分析检验其的影响因素;3、讨论前提假设之一——卖空约束对于偏度的影响,检验是否限制卖空的股票比允许卖空的股票更显正偏,这部分以具有中国概念的h股作为研究对象,希望得到对目前我国融资融券的试点实施的建设性意见。
实证结果显示,部分变量能显著解释偏度,但整体而言,回归的拟合度不高。原因可能有以下几点:1、选取的沪市与H股的样本数量太少,个别值对总体影响大;2、2008年金融危机导致的市场经济因素对偏度的影响很大;3、可能需要寻找其他更好的变量来解释偏度,如机构持有者比例等。
With the concept of " more rational the investment, much smarter the investor ", financial investors has become increasingly concerned about the real value of stock returns. A lot of evidence shows that stock returns are not perfectly normally distributed, can not meet the efficient market hypothesis (EMH) assumptions of financial theory, which means that there skewness is positive or negative, not equal to zero. In this paper, to study the stock return skewness in China, we try to analyze which factors will affect. Under the precondition of the short-sale constraints and heterogeneous investors, price convexity appears in the stock price reaction to the news. we use price reaction to earnings announcement to test the relationship between skewness and the price reaction. Furthermore, we post the following forecasts: 1. the skewness of stock return has a positive correlation with the current return, and has a negative correlation to lagged return. 2. skewness is directly proportional to volume, and is inversely proportional to the stock scale. Empirical part is composed of three parts: first, the price reaction to earnings announcement; second , the empirical evidence is to study the skewness in Shanghai Stock; Finally, we pay attention to one assumption--short-sale constraints, to test whether it may make the skewness more positive. We are interested in the constructive results for the current pilot implementation of margin trading in China.
We find some factors appear significant effect, but the adj-R2 of the regression is too low. Reasons may include the following: 1.the sample selected in H shares and Shanghai Stock Market is too small; 2. economic factors caused by the financial crisis in 2008 has a great impact on the skewness; 3 .there may be a better variable to explain skewness, such as the institutional ownership.
实证结果显示,部分变量能显著解释偏度,但整体而言,回归的拟合度不高。原因可能有以下几点:1、选取的沪市与H股的样本数量太少,个别值对总体影响大;2、2008年金融危机导致的市场经济因素对偏度的影响很大;3、可能需要寻找其他更好的变量来解释偏度,如机构持有者比例等。
With the concept of " more rational the investment, much smarter the investor ", financial investors has become increasingly concerned about the real value of stock returns. A lot of evidence shows that stock returns are not perfectly normally distributed, can not meet the efficient market hypothesis (EMH) assumptions of financial theory, which means that there skewness is positive or negative, not equal to zero. In this paper, to study the stock return skewness in China, we try to analyze which factors will affect. Under the precondition of the short-sale constraints and heterogeneous investors, price convexity appears in the stock price reaction to the news. we use price reaction to earnings announcement to test the relationship between skewness and the price reaction. Furthermore, we post the following forecasts: 1. the skewness of stock return has a positive correlation with the current return, and has a negative correlation to lagged return. 2. skewness is directly proportional to volume, and is inversely proportional to the stock scale. Empirical part is composed of three parts: first, the price reaction to earnings announcement; second , the empirical evidence is to study the skewness in Shanghai Stock; Finally, we pay attention to one assumption--short-sale constraints, to test whether it may make the skewness more positive. We are interested in the constructive results for the current pilot implementation of margin trading in China.
We find some factors appear significant effect, but the adj-R2 of the regression is too low. Reasons may include the following: 1.the sample selected in H shares and Shanghai Stock Market is too small; 2. economic factors caused by the financial crisis in 2008 has a great impact on the skewness; 3 .there may be a better variable to explain skewness, such as the institutional ownership.
引文
[1] Aitken Michael J, Alex Friona, Michael S, et al. Short sales are almost instant- aneously bad news: Evidence from the Australian Stock Exchange. Journal of Finance, 1998, 53(1):1~34.
[2] Alles A.L., Kling J.L, Regularities in the variation of skewness in Asset returns, Journal of Financial Research 1994,17: 427~438.
[3] Anchada Charoenrook, Hazem Daouk. Conditional Skewness of aggregate Market Returns. Journal of Finance, 2008, 63(2):1~32.
[4] Bakshi, G., Kapadia, N., D. Madan, Stock return characteristics, skew laws, and differential pricing of individual equity options.Review of Financial Studies , 2003,16:101~143.
[5] Campbell, J.Y., Hentschel, L, No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 1992, 31, 281~318.
[6] Charoenrook A, Daouk H. Conditional skewness of aggregate market returns. Working Paper, Vanderbilt University, 2004.
[7] Chen, Joseph, H. Hong, J. C. Stein, Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices, Journal of Financial Economics, 2001, 61, 345~381.
[8] Diamond Douglas W, Robert E Verrecchia. Constraints on Short- selling and Asset Price Adjustment to Private Information. Journal of Financial Economics, 1987, 18:277~311.
[9] Diavatopoulos, C, J Doran and D Peterson. The information content in implied idiosyncratic volatility and the cross-section of stock returns: evidence from the option markets. Journal of Futures Markets, forthcoming, 2008, 13.
[10] Dennis P, Mayhew S, Stivers C. Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon. Journal of Financial and Quantitative Analy- sis, 2006, 41(2):381~406.
[11] Doran J, Peterson D, Tarrant B. Is there information in the volatility skew? Journal of Futures Markets, 2007, 27: 921~960.
[12] Elaine Hutson, Colm Kearney, Margaret Lynch .Volume and skewness in international equity markets. Journal of Banking & Finance, 2008, 32: 1255~1268.
[13] E. Fama, K. French. The cross-section of expected stock returns. Journal of Finance, 1992, 47(2):427~465.
[14] Fangjian Fu. Idiosyncratic risk and the cross-section of expected stock returns. Journal of Financial Economics ,2009, 224~263.
[15] G. Bekaert and G. Wu. Asymmetric volatility and risk in equity markets.Review of Financial Studies, 2000, 13(1):1~42.
[16] Harvey, Campbell R, Akhtar Siddique. Autoregressive Conditional Skewness. Journal of Financial and Quantitative Analysis, 1999, 34: 465~487.
[17] Harvey, Campbell R, Akhtar Siddique, Conditional Skewness in Asset Pricing Tests. Journal of Finance, 2000, 55: 1263~1295.
[18] Hueng C, McDonald, J.B. Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness. Journal of Empirical Finance, 2005, 12: 666~685.
[19] Bae J, Kim C, Nelson C. Why are stock returns and volatility negatively correlated? Journal of Empirical Finance, 2007, 14(1):41~58.
[20] Jianguo Xu. Price Convexity and Skewness. Journal of Financial, 2007, 5: 2521~ 2552.
[21] Jones, Charles M, Owen A. Lamont. Short-sale constraints and stock returns. Journal of Financial Economics, 2002, 66:311~345.
[22] Jondeau E, Rockinger M. Conditional volatility, skewness and kurtosis: Existence, persistence and co-movements. Journal of Economic Dynamics and Control, 2003, 27(10):1699~1737.
[23] Kim T.H., White H. On more robust estimation of skewness and kurtosis. Finance Research Letters, 2004, 1:56~73.
[24] P. Dennis, S. Mayhew. Risk-Neutral Skewness: Evidence from Stock Options. Journal of Financial and Quantitative Analysis 2002, 37(3): 471~493.
[25] Peiro, A. Skewness in financial returns. Journal of Banking and Finance, 1999, 23: 847~862.
[26] Peiro, A. Skewness in individual stocks at different investment horizons. Quantitative Finance, 2002, 2: 139~146.
[27] Patton, Andrew J,“On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation,”Journal of Financial Econometrics, 2004, 2: 130~168.
[28] Singleton, J., Wingender J. Skewness persistence in common stock returns. Journal of Financial and Quantitative Analysis, 1986, 21(3):335~341.
[29] Turan G.Bali and Nusret Cakici .Idiosyncratic Volatility and the Cross Section of Expected Returns, March 2008, 6:29~58.
[30]荣喜民,崔红岩.基于偏度的多期组合投资调整模型.运筹与管理,2005,14(06): 104~108.
[31]徐静.引入偏度、峰度的CAPM模型[J].科技信息,2007 (10):115~119.
[32]魏文婷,王春峰,房振明.卖空限制对收益偏度的影响及对中国市场的启示[J].山西财经大学学报,2009,31(01):190~192.
[33]罗小虎,张启敏,樊宽等.高阶矩和条件CAPM模型的建立及实证分析.中国水运,2008,8(01):215~217.
[34]张术林,魏正红.金融资产收益非对称性分析.深圳大学学报,2007,24 (01):81~84.
[35]袁怀宇,张宗成.卖空限制对股票市场收益非对称性的影响——基于上海和香港的实证比较研究[J].管理学报,2009,6(08):1098~1103.
[36]王鹏,王建琼.中国股票市场的高阶矩波动特征研究[J].管理科学, 2008 ,21(04):115~120.
[37]廖士光,杨朝军.证券市场卖空机制对股价影响的研究———来自台湾市场的实证.南开大学,2004.
[38]廖士光,杨朝军.卖空交易机制对股价的影响[J].金融研究,2005 (10):131~139.
[39]蒋翠侠,张世英.金融高阶矩风险溢出效应研究[J].中国管理科学, 2009,17(01): 17~27.
[40]黄波,胡文伟,李湛.基于双侧矩与高阶矩偏好的资产定价:源自中国股市的实证研究[J].管理评论,2008(03).
[41]邓长荣,马永开.中国证券市场三因素模型敏感系数稳定性和可预测性研究[J].电子科技大学学报(社科版), 2006,8(03):80~91.
[42]张春梅.浅析资本资产定价模型在我国证券市场中应用的限制因素[J].北方经济,2007,10(05):95~96.
[43]陈雷. Fama-French三因素模型在国内证券市场的实证研究[D].山东大学,2007.
[44]肖冬荣,黄静.基于均值、方差和偏度的投资组合模糊优化模型[J].统计与决策, 2006,14:37~38.
[2] Alles A.L., Kling J.L, Regularities in the variation of skewness in Asset returns, Journal of Financial Research 1994,17: 427~438.
[3] Anchada Charoenrook, Hazem Daouk. Conditional Skewness of aggregate Market Returns. Journal of Finance, 2008, 63(2):1~32.
[4] Bakshi, G., Kapadia, N., D. Madan, Stock return characteristics, skew laws, and differential pricing of individual equity options.Review of Financial Studies , 2003,16:101~143.
[5] Campbell, J.Y., Hentschel, L, No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 1992, 31, 281~318.
[6] Charoenrook A, Daouk H. Conditional skewness of aggregate market returns. Working Paper, Vanderbilt University, 2004.
[7] Chen, Joseph, H. Hong, J. C. Stein, Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices, Journal of Financial Economics, 2001, 61, 345~381.
[8] Diamond Douglas W, Robert E Verrecchia. Constraints on Short- selling and Asset Price Adjustment to Private Information. Journal of Financial Economics, 1987, 18:277~311.
[9] Diavatopoulos, C, J Doran and D Peterson. The information content in implied idiosyncratic volatility and the cross-section of stock returns: evidence from the option markets. Journal of Futures Markets, forthcoming, 2008, 13.
[10] Dennis P, Mayhew S, Stivers C. Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon. Journal of Financial and Quantitative Analy- sis, 2006, 41(2):381~406.
[11] Doran J, Peterson D, Tarrant B. Is there information in the volatility skew? Journal of Futures Markets, 2007, 27: 921~960.
[12] Elaine Hutson, Colm Kearney, Margaret Lynch .Volume and skewness in international equity markets. Journal of Banking & Finance, 2008, 32: 1255~1268.
[13] E. Fama, K. French. The cross-section of expected stock returns. Journal of Finance, 1992, 47(2):427~465.
[14] Fangjian Fu. Idiosyncratic risk and the cross-section of expected stock returns. Journal of Financial Economics ,2009, 224~263.
[15] G. Bekaert and G. Wu. Asymmetric volatility and risk in equity markets.Review of Financial Studies, 2000, 13(1):1~42.
[16] Harvey, Campbell R, Akhtar Siddique. Autoregressive Conditional Skewness. Journal of Financial and Quantitative Analysis, 1999, 34: 465~487.
[17] Harvey, Campbell R, Akhtar Siddique, Conditional Skewness in Asset Pricing Tests. Journal of Finance, 2000, 55: 1263~1295.
[18] Hueng C, McDonald, J.B. Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness. Journal of Empirical Finance, 2005, 12: 666~685.
[19] Bae J, Kim C, Nelson C. Why are stock returns and volatility negatively correlated? Journal of Empirical Finance, 2007, 14(1):41~58.
[20] Jianguo Xu. Price Convexity and Skewness. Journal of Financial, 2007, 5: 2521~ 2552.
[21] Jones, Charles M, Owen A. Lamont. Short-sale constraints and stock returns. Journal of Financial Economics, 2002, 66:311~345.
[22] Jondeau E, Rockinger M. Conditional volatility, skewness and kurtosis: Existence, persistence and co-movements. Journal of Economic Dynamics and Control, 2003, 27(10):1699~1737.
[23] Kim T.H., White H. On more robust estimation of skewness and kurtosis. Finance Research Letters, 2004, 1:56~73.
[24] P. Dennis, S. Mayhew. Risk-Neutral Skewness: Evidence from Stock Options. Journal of Financial and Quantitative Analysis 2002, 37(3): 471~493.
[25] Peiro, A. Skewness in financial returns. Journal of Banking and Finance, 1999, 23: 847~862.
[26] Peiro, A. Skewness in individual stocks at different investment horizons. Quantitative Finance, 2002, 2: 139~146.
[27] Patton, Andrew J,“On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation,”Journal of Financial Econometrics, 2004, 2: 130~168.
[28] Singleton, J., Wingender J. Skewness persistence in common stock returns. Journal of Financial and Quantitative Analysis, 1986, 21(3):335~341.
[29] Turan G.Bali and Nusret Cakici .Idiosyncratic Volatility and the Cross Section of Expected Returns, March 2008, 6:29~58.
[30]荣喜民,崔红岩.基于偏度的多期组合投资调整模型.运筹与管理,2005,14(06): 104~108.
[31]徐静.引入偏度、峰度的CAPM模型[J].科技信息,2007 (10):115~119.
[32]魏文婷,王春峰,房振明.卖空限制对收益偏度的影响及对中国市场的启示[J].山西财经大学学报,2009,31(01):190~192.
[33]罗小虎,张启敏,樊宽等.高阶矩和条件CAPM模型的建立及实证分析.中国水运,2008,8(01):215~217.
[34]张术林,魏正红.金融资产收益非对称性分析.深圳大学学报,2007,24 (01):81~84.
[35]袁怀宇,张宗成.卖空限制对股票市场收益非对称性的影响——基于上海和香港的实证比较研究[J].管理学报,2009,6(08):1098~1103.
[36]王鹏,王建琼.中国股票市场的高阶矩波动特征研究[J].管理科学, 2008 ,21(04):115~120.
[37]廖士光,杨朝军.证券市场卖空机制对股价影响的研究———来自台湾市场的实证.南开大学,2004.
[38]廖士光,杨朝军.卖空交易机制对股价的影响[J].金融研究,2005 (10):131~139.
[39]蒋翠侠,张世英.金融高阶矩风险溢出效应研究[J].中国管理科学, 2009,17(01): 17~27.
[40]黄波,胡文伟,李湛.基于双侧矩与高阶矩偏好的资产定价:源自中国股市的实证研究[J].管理评论,2008(03).
[41]邓长荣,马永开.中国证券市场三因素模型敏感系数稳定性和可预测性研究[J].电子科技大学学报(社科版), 2006,8(03):80~91.
[42]张春梅.浅析资本资产定价模型在我国证券市场中应用的限制因素[J].北方经济,2007,10(05):95~96.
[43]陈雷. Fama-French三因素模型在国内证券市场的实证研究[D].山东大学,2007.
[44]肖冬荣,黄静.基于均值、方差和偏度的投资组合模糊优化模型[J].统计与决策, 2006,14:37~38.