Journal of Financial Economics, Volume 121, Issue 3, September 2016, Pages 624-644

再論聯動性

作者：Honghui Chen (University of Central Florida-College of Business Administration), Vijay Singal (Pamplin College of Business), Robert F. Whitelaw (New York University-Stern School of Business; NBER)

摘要：指數成分股增加（Barberis, Shleifer, and Wurgler, 2005）和股票拆分（Green and Hwang, 2009）帶來的股價超額聯動對傳統金融理論造成了挑戰。我們發現這類文獻中沒有對超額聯動提供經濟學上的解釋，并且雙變量的回歸系數對不相關因素的變化敏感。在使用了穩健的單變量回歸并且控制對照組之後，幾乎所有關于超額聯動的證據都消失了。在這兩個例子中，股票都在事件發生前呈現出了高額回報，類似于動量理論中的赢者組合。我們證明了赢者股票的貝塔值在增加，由此帶來了明顯的超額聯動。

關鍵詞：市場效率，非基本聯動，對資産類别的需求，随時間變化的貝塔

Comovement revisited

Honghui Chen (University of Central Florida-College of Business Administration), Vijay Singal (Pamplin College of Business), Robert F. Whitelaw (New York University-Stern School of Business; NBER)

ABSTRACT

Evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and Wurgler, 2005) and stock splits (Green and Hwang, 2009) challenges traditional finance theory. We show that the bivariate regressions in this literature provide little information about the economic magnitude of excess comovement, with coefficients that are sensitive to unrelated factors. Using robust univariate regressions and matched control samples, almost all evidence of excess comovement disappears. In both examples, the stocks exhibit strong returns prior to the event, akin to momentum winners. We document that winner stocks exhibit increases in betas, generating much of the apparent excess comovement.

原文鍊接：http://dx.doi.org/10.1016/j.jfineco.2016.05.007

翻譯：吳雨玲