Journal of Banking & Finance · Vol.76, MARCH 2017

新興市場是否有極端的回報？——來自中國股市的證據

作者：Gilbert V. Nartea (Department of Finance, University of Waikato), Dongmin Kong (Department of Finance, Zhongnan University of Economics and Law), Ji Wu (School of Economics and Finance, Massey University)

摘要：來自美國和歐洲市場的最近證據表明，在上個月擁有較高每日最大回報的股票在本月表現不佳。我們通過投資組合層面的分析和公司層面的Fama-MacBeth橫截面回歸來研究新興中國股市的類似效應的存在。我們發現了類似于美國和歐洲市場的MAX（最大）效應的證據。然而，與美國和歐洲相反，中國的MAX效應并沒有削弱反轉異常特質波動（IV）效應。MAX效應和IV效應似乎在中國股市中獨立共存。同時考慮表明中國投資者的風險尋求行為的強有力證據，我們的結果部分支持負MAX效應是由投資者對具有博彩特征的股票的偏好所驅動這一觀點。

關鍵詞：股票收益的橫截面，極端回報，可預測性，中國

Do extreme returns matter in emerging markets? Evidence from the Chinese stock market

Gilbert V. Nartea (Department of Finance, University of Waikato), Dongmin Kong (Department of Finance, Zhongnan University of Economics and Law), Ji Wu (School of Economics and Finance, Massey University)

ABSTRACT

Recent evidence in the U.S. and Europe indicates that stocks with high maximum daily returns in the previous month, perform poorly in the current month. We investigate the presence of a similar effect in the emerging Chinese stock markets with portfolio-level analysis and firm-level Fama–MacBeth cross-sectional regressions. We find evidence of a MAX effect similar to the U.S. and European markets. However, contrary to U.S. and European evidence, the MAX effect in China does not weaken much less reverse the anomalous idiosyncratic volatility (IV) effect. Both the MAX and IV effects appear to independently coexist in the Chinese stock markets. Interpreted together with the strong evidence of risk-seeking behaviour among Chinese investors, our results partially support the suggestion that the negative MAX effect is driven by investor preference for stocks with lottery-like features.

Keywords: Cross-section of stock returns, Extreme returns, Predictability, China

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0378426616302588

翻譯：賈夢悅