投资者分歧、异常交易量和股票横截面收益率预测——基于中国股票市场的经验证据

本文定义月度异常交易量为本月与上个月交易金额的比值,发现中国市场月度收益率与滞后一个月的异常交易量显著负相关。在控制了公司规模、账面市值比、流动性以及动量效应等指标后仍然具有显著的解释作用。进一步研究表明,在出现高异常交易量后的12个月内,换手率和特质性波动率都有大幅上升。本文认为,交易量上升代表着市场分歧程度和受关注程度的增加,在卖空约束下会使得股票价值高估,从而造成未来收益率下降。

Investor Divergence,Abnormal Trading Volume and Cross-sectional Stock Returns:Evidence from Chinese Stock Market

Abnormal trading volume is defined as the trading volume change from previous month to current month. We document a robust negative relationship between abnormal trading volume and future stock return, even after controlling for several factors such as size, book to market ratio, liquidity and momentum. Further investigation shows that stock turnover and idiosyncratic volatility of the high abnormal trading volume group increase in the following 12 months. We argue that high abnormal trading volume is a pro...