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

再论联动性

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：指数成分股增加（Barberis, Shleifer, and Wurgler, 2005）和股票拆分（Green and Hwang, 2009）带来的股价超额联动对传统金融理论造成了挑战。我们发现这类文献中没有对超额联动提供经济学上的解释，并且双变量的回归系数对不相关因素的变化敏感。在使用了稳健的单变量回归并且控制对照组之后，几乎所有关于超额联动的证据都消失了。在这两个例子中，股票都在事件发生前呈现出了高额回报，类似于动量理论中的赢者组合。我们证明了赢者股票的贝塔值在增加，由此带来了明显的超额联动。

关键词：市场效率，非基本联动，对资产类别的需求，随时间变化的贝塔

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.

原文链接：http://dx.doi.org/10.1016/j.jfineco.2016.05.007

翻译：吴雨玲