市场微观结构噪音与MAX效应——基于Fama-French-Carhanr四因子模型的检验

以NYSE、Amex和NASDAQ三大美国证券市场1962年7月至2014年12月的全部普通股为研究样本,利用买卖报价中点、收盘买价和收益加权三种方法消除个股收益和股票组合收益中的价格噪音,对MAX效应进行再检验。同时,考虑到具有极端日收益的股票中NASDAQ占比超过53%这一事实,本文还针对三个交易所做了分市场检验。实证结果没有给出"MAX异象"被解释的证据,表明市场微观结构噪音和Fama-French-Carhanr四因子模型的结合以及市场特点,并不是造成"MAX异象"的原因。

MAX effect and market microstructure noise——An empirical study based on transaction data in American

Our sample include all NYSE, Amex and NASDAQ common stock for the period from July 1962 through December 2014, using midpoint of bid-ask quotes, bid price and return weighted these three ways to eliminate the effects of prices' noise in stock returns and stock portfolio returns, reexamining MAX effect. Meanwhile, considering the fact that more than 53% in the extreme daily returns stocks belongs to NASDAQ, this paper also test three exchange markets separately. The empirical results do not give evidence that interpret the "MAX anomaly", suggests that combination of market microstructure noise and Fama-French-Carhart four factor model, as well as market characteristics, is not the causes of the "MAX anomaly".