REVIEW OF FINANCE · VOL. 20, ISSUE. 5·AUGUST 2016

投機交易與股票回報

作者：Li Pan (Peking University), Ya Tang (Peking University), Jianguo Xu (Peking University)

摘要：使用中國股市數據，我們檢驗了投機交易對股票回報的影響。我們通過将投機交易從總交易量中的流動性和其他組成部分分離出來，構建了基于交易量的變量——異常換手率（ATR）。通過一系列檢驗證明ATR确實代表了投機交易，我們發現ATR能夠預測股票的負收益率。ATR十等分組中最高組和最低組的平均月收益率之差為-1.87%，表明ATR有高度顯著的負溢價。在控制了常見風險因子和事件驅動的信息沖擊後，ATR仍可以對收益有預測能力。這些發現表明投機交易會影響資産價格。

關鍵詞：投機溢價，賣空限制，價格高估假設

Speculative Trading and Stock Returns

Li Pan (Peking University), Ya Tang (Peking University), Jianguo Xu (Peking University)

ABSTRACT

Using data from Chinese stock markets, we examine the effect of speculative trading on stock returns. We develop a volume-related variable, abnormal turnover ratio (ATR), by isolating speculative trading from liquidity and other components in trading volume. After a group of tests verifying that ATR indeed represents speculative trading, we show that ATR negatively predicts future stock returns. The average monthly return spread between the top and bottom ATR deciles is ?1.87%, suggesting a highly significant negative ATR premium. The return predictability of ATR survives after controlling for common risk factors and event-driven information shocks. These findings indicate that speculative trading affects asset prices.

Keywords: Speculation premium; Short-sale constraints; Overpricing hypothesis

原文鍊接：

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2447667

翻譯：金明