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

投机交易与股票回报

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

摘要：使用中国股市数据，我们检验了投机交易对股票回报的影响。我们通过将投机交易从总交易量中的流动性和其他组成部分分离出来，构建了基于交易量的变量——异常换手率（ATR）。通过一系列检验证明ATR确实代表了投机交易，我们发现ATR能够预测股票的负收益率。ATR十等分组中最高组和最低组的平均月收益率之差为-1.87%，表明ATR有高度显著的负溢价。在控制了常见风险因子和事件驱动的信息冲击后，ATR仍可以对收益有预测能力。这些发现表明投机交易会影响资产价格。

关键词：投机溢价，卖空限制，价格高估假设

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

原文链接：

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

翻译：金明