Pacific-Basin Finance Journal, Volume 46, December 2017

高成交回报溢价存在于中国股市吗?

作者：Peipei Wang (Deakin University, Australia)

Yuanji Wen (University of Western Australia, Australia)

Harminder Singh (Deakin University, Australia)

摘要

本文研究了中国股票市场中极端交易活动的信息。研究发现，通过买入高成交量并卖空低成交量的股票构建的零投资组合并不会产生正回报(高成交量回报溢价)，该结果在发达市场很显著。相反，我们发现投机性股票（例如小盘股，机构持股比例低的股票和分析师报道频率低的股票）有大量的高成交量回报折价。这些股票往往在短期内估值过高，随后回报率相对较低。此外，本文发现优胜组比输家组有更大的折价。

The high-volume return premium: Does it exist in the Chinese stock market?

Peipei Wang ( Deakin University, Australia) , Yuanji Wen (University of Western Australia, Australia), Harminder Singh (Deakin University, Australia)

ABSTRACT

In this paper we examine the information content of extreme trading activity in the Chinese stock market. We find that zero-investment portfolios that are constructed by buying high-volume and selling low-volume stocks do not generate positive returns (high-volume return premium), which is apparent in developed markets. In contrast, we find that there is a high-volume return discount in speculative stocks (i.e., small-cap stocks, stocks with low institutional ownership and stocks with low analyst-coverage). These stocks tend to have a high degree of over-valuation in the short term followed by a relatively low return. In support, we find a larger discount in the winners group than in the losers group.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X16302773

翻译：阙江静