發(fā)布時(shí)間：2018-06-19 20:29

  本文選題：異質(zhì)信念 + 賣空限制��； 參考：《西南交通大學(xué)》2015年博士論文

【摘要】：本文所關(guān)注的投資者異質(zhì)信念(或稱為意見分歧)是投資者異質(zhì)性的一種具體表現(xiàn)形式。傳統(tǒng)的資本資產(chǎn)定價(jià)理論是在假定投資者具有同質(zhì)性的基礎(chǔ)上推導(dǎo)的,這種假定顯然忽略了真實(shí)世界中事物之間普遍存在的差異特征和不同條件下人們認(rèn)知的差異性。如個(gè)體間原有的知識(shí)儲(chǔ)備(先驗(yàn)信念)、獲取信息的渠道與速度、對(duì)信息的解讀、風(fēng)險(xiǎn)承受能力等因素不同,均會(huì)導(dǎo)致投資者在同一時(shí)點(diǎn)上對(duì)同一資產(chǎn)有著不同的判斷和預(yù)期。從而產(chǎn)生了異質(zhì)信念,影響到人們的投資決策,最終對(duì)資產(chǎn)定價(jià)產(chǎn)生影響。關(guān)于異質(zhì)信念資產(chǎn)定價(jià)的理論研究,均以賣空限制為前提。而中國(guó)A股市場(chǎng)在2010年3月31日之前嚴(yán)格限制賣空,此后才陸續(xù)放開部分股票的賣空限制。長(zhǎng)期限制賣空的制度環(huán)境為我們探討異質(zhì)信念對(duì)資產(chǎn)定價(jià)的作用機(jī)理和實(shí)證檢驗(yàn)提供了獨(dú)特的實(shí)驗(yàn)環(huán)境。同時(shí)賣空限制的逐步取消,也為我們進(jìn)一步分析異質(zhì)信念對(duì)預(yù)期收益的影響是否減弱提供了機(jī)會(huì)。關(guān)于異質(zhì)信念的資產(chǎn)定價(jià)理論早在1977年Miller就提出了概念模型,此后長(zhǎng)期停留在理論模型的推導(dǎo)階段；進(jìn)入21世紀(jì)關(guān)于投資者異質(zhì)信念的實(shí)證研究才逐漸涌現(xiàn)。其根本原因在于投資者異質(zhì)信念直接與各投資者的心理行為相關(guān),研究者無法直接觀測(cè),市場(chǎng)中也難以找到較好的代理變量對(duì)其進(jìn)行準(zhǔn)確地測(cè)度。到目前為止實(shí)證研究中用到的異質(zhì)信念測(cè)度指標(biāo)主要有分析師預(yù)測(cè)分歧、股票收益波動(dòng)率、買賣價(jià)差、未預(yù)期交易量和基于委托訂單價(jià)差構(gòu)建的異質(zhì)信念指標(biāo)。本文回顧了不同測(cè)度指標(biāo)的構(gòu)建方式,比較其理論基礎(chǔ)和適用性。本文借鑒Garfinkel(2009)未預(yù)期交易量的思想,并在此基礎(chǔ)上對(duì)模型進(jìn)行改進(jìn),構(gòu)建了換手率分離模型,剝離出交易活動(dòng)中流動(dòng)性需求和信息沖擊引發(fā)的交易,其未被模型解釋的部分作為異質(zhì)信念大小的度量。從交易活動(dòng)中直接分離出投資者異質(zhì)信念,一方面確保了我們獲取的異質(zhì)信念已轉(zhuǎn)化為實(shí)際交易活動(dòng)并對(duì)資產(chǎn)價(jià)格變化產(chǎn)生影響,同時(shí)也避免了其他外生的異質(zhì)信念度量指標(biāo)在測(cè)度投資者異質(zhì)信念時(shí),存在信息不全或信息重疊的問題。在此基礎(chǔ)上,我們進(jìn)一步探討投資者異質(zhì)信念程度對(duì)股票收益的解釋能力。得到以下結(jié)論：首先,根據(jù)異質(zhì)信念程度高低構(gòu)建投資組合策略,考慮了影響資產(chǎn)價(jià)格的各種重要因素,運(yùn)用簡(jiǎn)單的數(shù)理統(tǒng)計(jì)方法直觀地展示了異質(zhì)信念確實(shí)對(duì)資產(chǎn)價(jià)格形成了穩(wěn)定的影響。其具體表現(xiàn)為在限制賣空的市場(chǎng)環(huán)境下,看空意愿的表達(dá)受到限制,資產(chǎn)價(jià)格中更多地融入了樂觀投資者的意見,導(dǎo)致股票當(dāng)期價(jià)格高估,而未來收益相應(yīng)地較低。因此個(gè)股異質(zhì)信念越大當(dāng)期收益越高,未來收益越低。在分組對(duì)比中發(fā)現(xiàn),異質(zhì)信念最高組與最低組的月度收益差在小規(guī)模公司中體現(xiàn)最為明顯,另外動(dòng)量效應(yīng)在組合的構(gòu)建中沒有得到體現(xiàn)。因此在同時(shí)控制公司規(guī)模和價(jià)值因素后,小公司價(jià)值股且異質(zhì)信念程度低的組合未來一個(gè)月的平均收益顯著高于大公司成長(zhǎng)股且異質(zhì)信念程度高的組合。這一研究結(jié)論對(duì)投資實(shí)踐中基金組合的構(gòu)建有著實(shí)際的指導(dǎo)意義。(詳見第4章)其次,從資產(chǎn)定價(jià)模型的視角,運(yùn)用計(jì)量經(jīng)濟(jì)方法實(shí)證檢驗(yàn)了異質(zhì)信念的定價(jià)效力。在CAPM、Fama-French三因子模型和Carhart四因子模型中分別引入異質(zhì)信念,回歸結(jié)果均表明異質(zhì)信念程度的高低與股票當(dāng)月收益顯著正相關(guān)、與未來一個(gè)月收益顯著負(fù)相關(guān)。在考慮流動(dòng)性因素的時(shí)間序列回歸中,異質(zhì)信念對(duì)當(dāng)期和預(yù)期收益依然存在穩(wěn)定影響。在穩(wěn)健性檢驗(yàn)中,國(guó)外常被用作異質(zhì)信念代理指標(biāo)的分析師預(yù)測(cè)分歧并不能解釋A股市場(chǎng)的預(yù)期收益。在考慮特質(zhì)波動(dòng)率和動(dòng)量反轉(zhuǎn)等因素后,異質(zhì)信念的定價(jià)能力仍存在。(詳見第5章)第三,在牛市、熊市不同的市場(chǎng)環(huán)境下,投資者異質(zhì)信念程度存在差異,且對(duì)資產(chǎn)價(jià)格具有非對(duì)稱影響。牛市中,信息充裕且投資者交易活躍,一方面投資者有動(dòng)力去收集和挖掘更多信息以獲取更高收益,另一方面信息的充裕和交投的活躍導(dǎo)致投資者更容易基于不同信息做出決策,因此牛市中投資者的異質(zhì)信念相對(duì)較強(qiáng)。而在熊市,交易清淡,信息量較小且流動(dòng)速度降低,投資者的信念更容易趨同,因此異質(zhì)信念程度較弱。將2000年—2009年劃分為5個(gè)牛熊市區(qū)間,統(tǒng)計(jì)結(jié)果顯示了牛熊市異質(zhì)信念程度的差異�；貧w分析表明,異質(zhì)信念在牛市、熊市存在非對(duì)稱影響,在熊市有顯著的助漲助跌效應(yīng)。即熊市中異質(zhì)信念導(dǎo)致當(dāng)月股價(jià)高估的程度大于牛市,同時(shí)對(duì)下一個(gè)月股票收益的降低作用也強(qiáng)于牛市。(詳見6.1節(jié))最后,探討了允許賣空后異質(zhì)信念對(duì)資產(chǎn)定價(jià)的影響。異質(zhì)信念資產(chǎn)定價(jià)的理論推導(dǎo)均建立在嚴(yán)格限制賣空的條件下,那么允許賣空后異質(zhì)信念的定價(jià)能力是否消失了呢?由于市場(chǎng)摩擦和交易成本也能阻礙悲觀意見的表達(dá),異質(zhì)信念與預(yù)期收益負(fù)相關(guān)的現(xiàn)象在美國(guó)市場(chǎng)依然顯著。在中國(guó)市場(chǎng)上,異質(zhì)信念對(duì)允許賣空的公司收益是否具有預(yù)測(cè)作用是一個(gè)實(shí)證問題。2010年3月以后我國(guó)開始了融資融券試點(diǎn),此后的時(shí)間段內(nèi)我國(guó)證券市場(chǎng)同時(shí)存在允許賣空和限制賣空的股票。作者選用2011年—2013年的數(shù)據(jù),通過分組對(duì)比和回歸分析實(shí)證檢驗(yàn)了放松賣空限制后,異質(zhì)信念對(duì)允許賣空的股票當(dāng)期收益的解釋能力減弱,對(duì)未來收益不再有顯著的影響。(詳見6.2節(jié))
[Abstract]:The investor heterogeneity belief (or disagreement) is a specific manifestation of investor heterogeneity. The traditional capital asset pricing theory is derived on the basis of the assumption that the investor has homogeneity, which obviously ignores the common differences and different conditions between the real world and the real world. The differences in people's cognition, such as the original knowledge reserve (prior belief), the channel and speed of obtaining information, the interpretation of information and the ability to bear the risk, will cause the investor to have different judgments and predates on the same asset at the same time. Decision making has an impact on asset pricing. The theoretical research on the pricing of heterogeneous belief assets is based on short selling limit, while China's A stock market strictly restricts short selling before March 31, 2010. After that, the short selling limit of some shares has been liberalized. The action mechanism and empirical test provide a unique experimental environment. At the same time, the gradual cancellation of the short selling limit provides a chance for us to further analyze whether the influence of heterogeneous beliefs on expected returns is weakened. The theory of asset pricing for heterogeneous beliefs has been proposed in Miller in 1977, and has been in the theory for a long time. The empirical study of the model is gradually emerging in twenty-first Century. The fundamental reason is that the investors' heterogeneous beliefs are directly related to the psychological behavior of the investors. The researchers can not observe directly, and it is difficult to find a better proxy variable to measure them accurately in the market. The index of heterogeneous belief used in the empirical study mainly includes the analysts' divergence, the volatility of stock returns, the sale spread, the unanticipated trading volume and the heterogeneous belief based on the price difference based on the entrustment order. This paper reviews the construction methods of different measure indexes, compares their theoretical basis and applicability. This paper uses Garfinkel (2009) for reference. On the basis of the idea of unexpected trading volume, and on this basis, the model is improved, a turnover rate separation model is constructed, and the transaction caused by liquidity demand and information shock in the transaction is stripped, and the part of the model is not the measure of the size of the heterogeneous belief. It is ensured that the heterogeneous beliefs we acquire have been transformed into real trading activities and have an impact on the change of asset prices. At the same time, we also avoid the problem of information incomplete or overlapping of information when measuring the heterogeneous beliefs of investors. On the basis of this, we further explore the heterogeneous belief process of investors. The following conclusions are obtained: firstly, according to the degree of heterogeneous belief, the investment portfolio strategy is constructed, and the important factors that affect the asset price are considered, and a simple mathematical statistics method is used to show that the heterogeneous belief has a stable effect on the asset price. In the market environment of short selling, the expression of the willingness to see space is limited, and the price of the asset is more integrated with the opinion of the optimistic investor, which leads to the overvaluation of the stock in the current period and the lower income in the future. The monthly income difference of the lowest group is most obvious in the small scale companies, and the momentum effect is not reflected in the construction of the combination. Therefore, after controlling the company size and the value factors simultaneously, the small company value shares and the low degree of heterogeneous belief level are significantly higher than the big company growth stock and heterogeneity in the next month. The conclusion of this study has a practical guiding significance for the construction of the fund portfolio in investment practice. (see Chapter fourth) Secondly, the pricing effectiveness of heterogeneous beliefs is tested empirically from the angle of asset pricing model by using econometric methods. In CAPM, Fama-French three factor model and Carhart four factor model, With the introduction of heterogeneous beliefs, the regression results show that the level of heterogeneous beliefs is significantly positively correlated with the earnings of the stock month, and has a significant negative correlation with the earnings of the future month. In the time series regression, the heterogeneous beliefs still have a stable effect on the current and expected returns. In the robustness test, foreign countries are often used as different. The analyst forecast divergence of the qualitative belief proxy index does not explain the expected earnings of the A stock market. After considering the factors such as the trait volatility and the momentum reversal, the pricing ability of the heterogeneous beliefs still exists. (see Chapter fifth) third, in the bull market and the bear market, there are differences in the degree of heterogeneity between the investors and the asset prices. There is asymmetric influence. In the bull market, the information is abundant and the investors are active. On the one hand, the investors have the power to collect and dig more information to get higher income. On the other hand, the abundant information and the active investment lead to the investors to make decisions based on different information, so the investor's heterogeneous belief is relatively strong in the bull market. In the bear market, the transaction is light, the amount of information is small and the flow speed is reduced, and the belief of the investors is more easy to converge. Therefore, the degree of heterogeneous belief is weak. The difference between 2000 and 2009 is divided into 5 bull bear market. The statistical results show the difference of the degree of heterogeneous belief in the bull bear city. There is a significant rise and fall effect in the bear market. That is, the degree of the stock price overvaluation in the bear market is greater than the bull market in the bear market, and the reduction of the stock returns to the next month is stronger than the bull market. (see 6.1 section) finally, the influence of the heterogeneous belief on the pricing of the assets after the short selling is discussed. The theory of the pricing of heterogeneous belief assets is pushed. Under the strict limit of short selling, do the pricing power of heterogeneous beliefs disappear after short selling? Because market friction and transaction costs can also impede the expression of pessimism, the negative correlation between heterogeneous beliefs and expected earnings is still evident in the US market. In the Chinese market, heterogeneous beliefs are allowed to sell short. Whether the earnings of the company has a predictive function is an empirical problem, after March.2010, China started a pilot of margin financing. In the following period, the stock market in China also allowed short selling and short selling stock. The author selected the data from 2011 to 2013, and tested the relaxation of short selling by group comparison and regression analysis. After the restriction, the heterogeneous belief reduces the explanatory power of the current stock yield that allows short selling, and has no significant effect on future earnings. (see Section 6.2).
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.51

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