投机交易、股票回报和资产定价异常

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2024-06-13 DOI:10.1016/j.ememar.2024.101165

Teng Zhang , Jiaqi Li , Zhiwei Xu

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引用次数: 0

摘要

我们为中国股市提出了一种新的公司层面的投机交易（SPT）衡量方法。基于之前的研究发现意见分歧是投机交易的主要驱动因素，我们将意见分歧驱动的交易量从总交易量中分离出来，作为投机交易的衡量指标。我们验证了 SPT 能有效反映投机交易，并能显著负向预测未来回报。更重要的是，相对于其他投机交易指标，SPT 包含了更多的信息。利用 SPT，我们进一步发现，投机交易在解释和驱动中国市场的异常回报方面发挥着关键作用。

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Speculative trading, stock returns and asset pricing anomalies

We propose a novel firm-level measure of speculative trading (SPT) for the Chinese stock market. Based on prior studies identifying differences of opinion as the dominant driver of speculative trading, we isolate the trading volume driven by differences of opinion from total trading volume as the speculative trading measure. We verify that SPT effectively reflects speculative trading and significantly and negatively predicts future returns. More importantly, SPT contains incremental information relative to the other speculative trading proxies. Using SPT, we further find that speculative trading plays a key role in explaining and driving the anomaly returns in the Chinese market.

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.