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。     

Stock Market Returns and Inflation: Evidence from Other Countries

This paper investigates the relation between common stock returns and inflation in twenty-six countries for the postwar period. Our results do not support the Fisher Hypothesis, which states that real rates of return on common stocks and expected inflation rates are independent and that nominal stock returns vary in one-to-one correspondence with expected inflation. There is a consistent lack of positive relation between stock returns and inflation in most of the countries.     

货币政策与股票市场流动性风险——来自中国股票市场的经验证据

本文首先应用模型刻划了我国股票市场流动性变化特征,并以非预期流动性度量流动性风险:其次从货币供应量和利率两个方面,应用VAR模型分析了我国货币政策与流动性风险的关系.研究发现M2的变化对流动性风险影响最大,准M2、M1的变化次之,M0、准M1的变化最小;流动性风险对准Ml变化影响最大,对M1、M2变化次之,对准M2和M0变化几乎没有影响.利率与流动性风险相互影响很小.     

Modeling Conditional Skewness in Stock Returns

Abstract

In this paper, we propose a new GARCH-in-Mean (GARCH-M) model allowing for conditional skewness. The model is based on the so-called z distribution capable of modeling skewness and kurtosis of the size typically encountered in stock return series. The need to allow for skewness can also be readily tested. The model is consistent with the volatility feedback effect in that conditional skewness is dependent on conditional variance. Compared to previously presented GARCH models allowing for conditional skewness, the model is analytically tractable, parsimonious and facilitates straightforward interpretation.Our empirical results indicate the presence of conditional skewness in the monthly postwar US stock returns. Small positive news is also found to have a smaller impact on conditional variance than no news at all. Moreover, the symmetric GARCH-M model not allowing for conditional skewness is found to systematically overpredict conditional variance and average excess returns.     

Ex Ante Skewness and Expected Stock Returns

We use option prices to estimate ex ante higher moments of the underlying individual securities’ risk‐neutral returns distribution. We find that individual securities’ risk‐neutral volatility, skewness, and kurtosis are strongly related to future returns. Specifically, we find a negative (positive) relation between ex ante volatility (kurtosis) and subsequent returns in the cross‐section, and more ex ante negatively (positively) skewed returns yield subsequent higher (lower) returns. We analyze the extent to which these returns relations represent compensation for risk and find evidence that, even after controlling for differences in co‐moments, individual securities’ skewness matters.     

基于残差收益的动量或反转效应:来自中国A股市场的经验证据

因不能有效反映股票盈利的相对强弱,基于总收益排序的动量或反转组合,通常包含大量高Be-ta值和小市值股票,承担着较大风险。为此,本文采用风险调整后的收益评价,即基于残差收益排序,考察中国A股市场月度数据的动量或反转效应,结果发现:在全样本阶段存在显著的残差反转效应,不存在残差动量效应,这在股权分置改革之后更明显;相对于总收益反转组合,残差反转组合不仅具有更高的显著收益和Sharpe比率,还具有较小的系统风险,并受公司规模因素影响较小。     

Alternative Liquidity Measures and Stock Returns

Abstract. This article compares the properties of several common liquidity measures including the bid-ask spread, the liquidity ratio and firm size. We also use the proportional hazard model to develop a new measure, the relative odds ratio, based on the volume necessary to move prices by a predetermined amount. Although each measure displays a liquidity premium, a composite measure better explaims expected returns, suggesting that liquidity is a multidimensional phenomenon.     

Relations Between Stock Returns and Fundamental Variables: Evidence from a Segmented Market

This study examines relations between stock returns and potential explanatory factors in Korea, an important and segmented emerging market. Our results show that Korean stock returns in general and returns on stocks listed in Section 1 in particular are significantly positively related to book-to-market, sales-price, and debt-equity ratios, but not significantly related to market value of equity. Returns on stocks listed in Section 2 are, however, negatively related to market value of equity and not significantly related to the other three variables. Among the variables investigated by us, book-to-market ratio has the greatest explanatory power for stock returns and it indicates superior returns for value stocks. Our findings strengthen the international evidence of the role of book-to-market ratio in explaining stock returns by demonstrating its significance even in the segmented Korean market.     

Liquidity and Autocorrelations in Individual Stock Returns

This paper documents a strong relationship between short‐run reversals and stock illiquidity, even after controlling for trading volume. The largest reversals and the potential contrarian trading strategy profits occur in high turnover, low liquidity stocks, as the price pressures caused by non‐informational demands for immediacy are accommodated. However, the contrarian trading strategy profits are smaller than the likely transactions costs. This lack of profitability and the fact that the overall findings are consistent with rational equilibrium paradigms suggest that the violation of the efficient market hypothesis due to short‐term reversals is not so egregious after all.     

Stock Returns Under High Inflation and Interest Rates: Evidence from the Brazilian Market

We analyze the relationship of high inflation and interest rates with stock returns in Brazil from May 1986 to May 2011, during which Brazil experienced subperiods of both high inflation (May 1986-June 1994) and relative monetary stability (July 1994-May 2011). The result in the total period is dominated by high inflation volatility, and the findings suggest a bidirectional relationship between stock returns and inflation. During the high-inflation subperiod, interest rates are relevant to explain future changes in inflation and stock returns. Under low inflation, movements in interest rates are better anticipated by equity investors, suggesting higher market efficiency than in high-inflation circumstances.     

The Cross-Section of Expected Stock Returns: New Evidence from an Emerging Market

Over 300 factors have been found to explain the cross-section of expected stock returns. Empirical studies also show that findings from multifactor asset-pricing models have not been consistent in an emerging market. Using DuPont analysis and a residual income valuation model for 284 nonfinancial companies on Ho Chi Minh Stock Exchange during the period 2008–2014, findings suggest that the return on equity and its change are informative for stock returns in Vietnam. In addition, the level of capital turnover, financial cost ratio (FCR), and changes in capital and in the FCR contain incremental explanatory power for stock returns.     

Investor Sentiment and Stock Returns: Evidence from Turkey

This paper investigates the relation between investor sentiment and stock returns on the Istanbul Stock Exchange, employing vector autoregressive (VAR) analysis and Granger causality tests. The sample period extends from July 1997 to June 2005. In the VAR models, stock portfolio returns and investor sentiment proxies are used as endogenous variables. Two dummy variables accounting for natural and economic crises are used as exogenous variables. The analysis results suggest that, excepting shares of equity issues in aggregate issues, stock portfolio returns seem to affect all investor sentiment proxies, namely closed-end fund discount, mutual fund flows, odd-lot sales-to-purchases ratio, and repo holdings of mutual funds. Investor sentiment does not appear to forecast future stock returns; only the turnover ratio of the stock market seems to have forecasting potential.     

Mandatory Disclosure,Voluntary Disclosure,and Stock Market Liquidity: Evidence from the EU Bank Stress Tests

We use the EU stress tests and the Eurozone sovereign debt crisis to study the consequences of supervisory disclosure of banks’ sovereign risk exposures. We test the idea that a mandatory one‐time disclosure induces an increase in voluntary disclosures about sovereign risk in the following periods and, through the shift in the voluntary disclosure equilibrium, increases the liquidity of banks’ shares. First, we find that the timing and content of different mandatory disclosure events helps explain the levels of stress‐test banks’ voluntary disclosures about sovereign risk. Second, although the bid‐ask spreads of stress test participants generally increased after the mandatory stress test in 2011, our results suggest that the decrease in market liquidity is entirely attributable to those stress‐test participants that did not commit to voluntarily maintaining the disclosures of sovereign risk exposure.     

Stock Market Declines and Liquidity

Consistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry-ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect of changes in aggregate asset values on liquidity and commonality in liquidity cannot be fully explained by changes in demand for liquidity or volatility effects. We document interindustry spillover effects in liquidity, which are likely to arise from capital constraints in the market making sector. We also find economically significant returns to supplying liquidity following periods of large drops in market valuations.     

Stock Liquidity and Investment Opportunities: Evidence from Index Additions

We examine the relation between stock liquidity and investment opportunities in a sample of firms experiencing an exogenous liquidity shock. We find a positive relation between changes in capital expenditures and changes in stock liquidity, indicating that stock liquidity influences corporate investment decisions. This relation is robust to alternative measures of growth opportunities, and is consistent with a liquidity premium in equity returns. That is, an increase in liquidity effectively expands the set of positive NPV projects because it reduces the cost of capital. The results suggest that liquidity-enhancing events benefit shareholders by increasing the pool of viable growth opportunities.     

Is the Market Portfolio a Dynamic Factor? Evidence from Individual Stock Returns

This paper uses a factor model to test whether the market portfolio is a dynamic factor in the sense that individual stock returns contain a premium linked to the conditional risk of the market portfolio. The market conditional risk is based on a decomposition of the market variance into a time-varying trend component and a transitory component. The evidence shows that the conditional market premium is rising when the permanent trend rises relative to the conditional variance. The evidence for individual stock returns supports the notion that the market portfolio is a dynamic factor. Individual stock return autocorrelations are fully explained by the time variation in the market premium. The risk premia attributed to static factors are statistically insignificant.     

The Effect Of Stock Splits On Liquidity And Excess Returns: Evidence From Shareholder Ownership Composition

We examine the influence of firm ownership composition on both the abnormal returns at the announcement of a stock split and liquidity changes following a stock split. We find three results. First, the largest post‐split increase in institutional ownership occurs for firms that had low institutional ownership before the split. Second, changes in liquidity are negatively related to the level of institutional ownership before the split. Last, the abnormal return following a split is negatively related to the level of institutional ownership before the split. These findings are important as they shed new light on the source of stock split announcement returns.     

Industry Concentration,Firm Efficiency and Average Stock Returns: Evidence from Australia

This study examines the relationship between industry concentration and level of firm efficiency and their effect on cross-sectional stock returns in Australian market. Our analysis shows that industry concentration and firm efficiency have independent effects on stock returns. By forming 25 double-sorted portfolios based on industry concentration and firm efficiency, INEFFICIENT firms in concentrated industry earn highest stock returns, while EFFICIENT firms in concentrated industry earn lowest stock returns. Also we find that industry concentration appears to be associated with market share while efficiency has a greater effect on firm earnings. In our cross-sectional regressions, industry concentration shows a positive relationship with average stock returns while firm efficiency shows a negative association with average stock returns. The concentration and efficiency effects are persistent throughout the sample period and is robust after controlling for size and book-to-market.     

Earnings Yields,Market Values,and Stock Returns

Earlier evidence concerning the relation between stock returns and the effects of size and earnings to price ratio (E/P) is not clear-cut. This paper re-examines these two effects with (a) a substantially longer sample period, 1951–1986, (b) data that are reasonably free of survivor biases, (c) both portfolio and seemingly unrelated regression tests, and (d) an emphasis on the important differences between January and other months. Over the entire period, the earnings yield effect is significant in both January and the other eleven months. Conversely, the size effect is significantly negative only in January. We also find evidence of consistently high returns for firms of all sizes with negative earnings.