Pacific-Basin Finance Journal ? October 2018 ? Volume 51, Pages 342-365

中国的空气污染、股票收益和贸易活动

作者：Qingqin Wu (School of Economics and Business Administration, Chongqing University, China),

Ying Hao (Business School, Beijing Normal University, China),

Jing Lu (School of Economics and Business Administration, Chongqing University, China)

摘要：利用中国企业层面的数据，探讨了空气污染与当地总部企业股价的关系。严重的空气污染导致低的回报、营业额、波动性和高流动性，主要是通过本地偏好渠道影响。经过一系列的检查，结果仍然很稳定。空气污染与当地企业绩效之间的关系不显著，这意味着空气污染的影响可以归因于投资者的情绪偏差，而不是经济效应。对于高增长股票、不良股票和波动性高的股票，股票回报对空气污染的敏感性显著较大。

关键词：空气污染；股票收益；交易活动；投资者情绪

Air pollution, stock returns, and trading activities in China

Qingqin Wu(School of Economics and Business Administration, Chongqing University, China), Ying Hao(Business School, Beijing Normal University, China), Jing Lu(School of Economics and Business Administration, Chongqing University, China)

ABSTRACT

The relationship between air pollution and stock pricing of locally headquartered firms is explored using firm-level data in China. Severe air pollution results in low returns, turnover, volatility, and high illiquidity, mainly through a home bias. The results remain robust after a series of checks. The relation between air pollution and local firm performance is insignificant, implying that the air pollution effects can be attributed to investor mood bias rather than to economic effects. The sensitivity of stock returns to air pollution is significantly large for high-growth stocks, distressed stocks, and stocks with high volatility.

Keywords: Air pollution; Stock return; Trading activity; Investor mood

原文链接：

https://www.sciencedirect.com/science/article/pii/S0927538X17305413#!

翻译：施懿