Pacific-Basin Finance Journal, 51, October 2018, Pages 121–136

高成交量收益溢价与投资者认知改变

作者：Narelle Gordon (Macquarie University, Australia), Qiongbing Wu (Western Sydney University, Australia)

摘要

高成交量收益溢价现象一般归因于Gervais等人(2001)基于Miller(1977)和Merton(1987)投资者认可假说的理论框架提出的可见性假设。但由于缺乏高频持股数据，目前尚无实证研究直接检验过可见性假设。在本文中，我们利用澳大利亚证券交易所上市股票的日持股数据，通过考察高成交量收益溢价与投资者认知度变化之间的关系，直接检验这一假设。我们发现，高成交量的股票确实会吸引更多的投资者的注意，并在这些冲击发生当日和之后的日子增加投资者。这为高成交量收益溢价的可见性解释提供了直接的实证证据。我们还发现机构投资者和个人投资者关注不同类型的股票；在成交量冲击之后，吸引更多机构(个人)投资者的股票表现强于（弱于）大盘，并表现出更高(更低)的高成交量收益溢价。我们的发现为可见性假说提供了新的解释，表明机构投资者或个人投资者的认可/关注在决定高成交量溢价收益的程度上也至关重要，可能有助于调和国际市场上现有的混合实证证据。

The high-volume return premium and changes in investor recognition

Narelle Gordon (Macquarie University, Australia), Qiongbing Wu (Western Sydney University, Australia)

ABSTRACT

The phenomenon of high-volume return premium is generally attributed to the visibility hypothesis proposed by Gervais et al. (2001) based on the theoretical framework of Miller (1977) and Merton's (1987) investor recognition hypothesis. However, no existing empirical study has directly tested the visibility hypothesis due to the lack of high-frequency shareholding data. In this paper, we utilize the unique daily shareholding data for stocks listed on the Australian Stock Exchange to directly test this hypothesis by examining the relationship between the high-volume return premium and changes in investor recognition. We find that high-volume shocks do attract more investor attention and increase the investor base on the date of, and following, the shocks. This provides direct empirical evidence in support of the visibility explanation for the high-volume return premium. We also find that institutional and individual investors attend to different kinds of stocks; stocks attracting more institutional (individual) investors outperform (underperform) subsequent the volume shocks and exhibit a higher (lower) high-volume return premium. Our findings shed new light on the visibility hypothesis by showing that recognition/attention from institutional or individual investor is also crucial in determining the extent of the high-volume return premium and may help to reconcile the existing mixed empirical evidence across international markets.

原文链接：https://www.sciencedirect.com/science/article/pii/S0927538X18301446

翻译：阙江静