宏观经济因素对中国行业股票收益率的影响

本文以2002年2月至2010年4月的数据为样本,用多因子GED-EGARCH(1,1)-M模型研究了国际石油价格、人民币汇率以及其他宏观经济变量对中国14个行业股票收益率的影响.研究结果表明,国际原油价格对其中10个行业股票收益率有显著影响,而人民币汇率则会影响化工制品行业、金融行业、工业用品和服务行业的股票收益率;经济增长率、通货膨胀率、货币供给增长率和利率期限结构等宏观经济变量也对部分行业的股票收益率存在显著影响.     

Media Coverage and the Cross‐Section of Stock Returns: The Chinese Evidence

Using hand‐collected news headlines for a large sample of listed firms in China over a period of 2000–2015, we investigate the cross‐sectional relation between media coverage and stock returns. Our results document that no‐media coverage stocks earn 55 basis points a month higher than stocks that are featured in the media. This result is robust after controlling for common risk factors and is not driven by short‐run return reversals. Further analysis provides evidence to support the investor recognition hypothesis, suggesting that mass media may play an incremental role in providing a supplement to traditional channels of information dissemination. Therefore, results in this paper are of interests to both investors and regulators on drivers of stock returns.     

Non‐Tradable Share Reform,Liquidity, and Stock Returns in China

This article studies the influence of the non‐tradable share reform in the cross‐section of stock returns in China. Prior research has generally neglected this important development in the Chinese stock market. We find that the firm‐specific illiquidity measures that reflect direct transaction costs, price impact and difficulties in trading immediacy, exhibit a positive and significant relationship with stock returns. These effects are particularly pronounced after the non‐tradable share reform. Furthermore, in the post‐reform era, portfolios with high illiquidity (i.e. high relative bid–ask spread, high Amihud illiquidity, low Amivest liquidity ratio) significantly outperform portfolios with low illiquidity, controlling for size, and book‐to‐market effects.     

The Relative Importance of Domestic and Global Factors in Explaining Australian Stock Returns

In this study, we explore the relative importance of the several documented factors in explaining the behaviour of stock returns for a sample of 157 Australian companies over the period 1993–9. In line with prior evidence, we contend that the influence of global (market, industry and currency) factors is related to the extent of a firm's international activity. We find that Australian firms are in large part impacted by domestic factors with the level of sensitivity declining as the level of international activity increases. In contrast to prior literature, we also show that Australian firm returns are related to regional market, global industry and currency factors and the firm's sensitivity to these factors is an increasing function of its level of international activities.     

异质信念与股票收益——基于我国股票市场的实证研究

本文以经调整后的换手率和收益波动率作为投资者异质信念的代理指标,采用1997—2007年间的样本数据,分别运用资产组合分析法和截面收益回归法,直接验证在我国股票市场上投资者异质信念对股票收益的影响。本文的研究发现支持了基于异质信念假设的资产定价理论:在卖空限制约束下,异质信念导致当期股价高估,与股票未来收益负相关。文章的结论经FF四因素模型调整后依然成立。本文还发现,与美国股票市场相比,我国股票市场高估程度更严重,持续时间更长。因此,引入卖空机制可以在一定程度上解决我国股票市场高估问题。     

Day-of-the-Week Variation and Predicting Stock Returns: Taiwan and Thailand Stock Exchanges

Previously, researchers created a day-of-the-week anomaly in closing stock returns for firms listed on established financial markets. This article explores whether this line of argument is or is not satisfactory and does or does not aid in predicting daily stock returns. The article focuses on the performance of stock returns for two large Asian Stock Market exchanges, Taiwan and Thailand. The purpose is to determine if stock market returns (which include closing prices and dividends) are in part predictable and whether there are explanations for short-term predictability.     

Does Investor Sentiment Predict the Near‐Term Returns of the Chinese Stock Market?

Recent evidence on the relationship between investor sentiment and subsequent monthly market returns in China shows that investor sentiment is a reliable momentum predictor since an increase (decrease) in investor sentiment leads to higher (lower) future returns. However, we suggest that momentum predictability of investor sentiment originates from the boom and bust period of 2006–2008 (the bubble period hereafter). The bubble period is characterized by several months of sustained optimism followed by several months of sustained pessimism, with the market consequently earning high (low) returns following high (low) sentiment months. Therefore, we find a strong positive association between investor sentiment and subsequent market returns during the bubble period. However, investor sentiment has a negligible impact on subsequent monthly market returns once we exclude the bubble period.     

Institutional Ownership and Future Stock Returns: An International Perspective

We investigate the risk‐adjusted performance of the aggregate equity holdings and trades of 13,807 active mutual funds located in 16 countries between 2001 and 2014. Using portfolio sorts, we find weak evidence that institutional holdings exhibit positive subsequent risk‐adjusted returns. However, any outperformance is unlikely to stem from short‐term informational advantage: stocks bought do not outperform stocks sold in the subsequent quarter. This finding is robust to regressions of subsequent stock returns on changes in institutional ownership and holds for different measurements of institutional trading.     

我国股指期货收益与宏观经济关系的实证分析

股指期货是以股价指数为标的物的标准化期货合约,其具备高杠杆性、投机性和交易策略复杂性的特征,其风险与收益的变化在对宏观经济产生复杂影响的同时,也必然受到宏观经济各环境因素的影响。本文通过构建向量自回归模型,然后建立平稳性检验、最优滞后长度检验与协积检验,可以使数据分析更加合理可靠,最终实现更好的衡量股指期货收益、为其指标体系的构建提供良好的示范。     

中国可转债发行的股权价值效应

本文运用Merton(1990)的或有索取权分析方法,对中国上市公司发行可转债行为对非流通股东和流通股东股权价值的不同影响作了深入的分析,得出如下结论:(1)在中国目前股权分割的情况下,无论可转债是否按照合理价格发行,原有流通股的价值都会减少;(2)在非流通股东占控股地位的情况下,它会选择折价发行并向全体股东配售这一对其最为有利而对流通股东最为不利的可转债发行方案。并在此基础上提出政策建议:修改可转债发行法规,规定可转债只能向原有流通股股东配售,不能向社会公众和非流通股股东配售。     

Internet Search Intensity and Its Relation with Trading Activity and Stock Returns*

Using Google search volume as a proxy for investor attention, this paper provides evidence on the role attention plays in financial markets. We first show that abnormal Google search volume (ASVI) helps explain cross‐sectional variations in trading activity, even after controlling for its important determinants. Specifically, ASVI is positively related to trading volume, order imbalance and liquidity. When the relation between stock returns and ASVI is examined, we find a strong positive relation in the month after attention shocks and a reversal over a longer holding period. We further conjecture that the attention effect is more pronounced in stocks with higher limits to arbitrage. For this purpose, we construct a limits‐to‐arbitrage index and show that limits to arbitrage play an important role in explaining the attention effect.     

国际股票市场收益率和波动率的长记忆性研究

股票市场长记忆性问题是金融学研究的一个热点问题,对于市场有效性的研究和系统非线性结构的分析有着重要的意义。本文运用修正R/S分析和V/S分析两种方法对世界上28个国家(地区)的股票指数的日、周收益序列和日、周收益波动序列进行了完整的长记忆性研究。结果表明:对于收益序列,以美国为代表的大多数发达国家股市一般不存在长记忆性,而中国等发展中国家大多存在显著的长记忆性,尤其中国股市的长记忆性最强;对于收益波动序列,所有国家(地区)都具有长记忆性,并强于收益序列。     

Bank Loan Announcements and Borrower Stock Returns: Does Bank Origin Matter?

Banks play a special role as providers of informative signals about the quality and value of their borrowers. Such signals, however, may have a quality of their own as the banks' selection and monitoring abilities may differ. Using an event study methodology, we study the importance of the geographical origin and organization of the banks for the investors' assessments of firms' credit quality and economic worth following loan announcements. Our sample comprises 986 announcements of bank loans to US firms over the period of 1980–2003. We find that investors react positively to such announcements if the loans are made by foreign or local banks, but not if the loans are made by banks that are located outside the firm's headquarters state. Investor reaction is, in fact, the largest when the bank is foreign. Our evidence suggest that investors value relationships with more competitive and skilled banks rather than banks that have easier access to private information about the firms. These results are applicable also to the European markets where regulatory and economic borders do not coincide and bank identities and reputation seem to matter a great deal.     

我国股票市场收益、交易量、波动性动态关系的实证分析

本文对我国股票市场上证指数和深圳成指的收益、交易量、波动性之间的动态关系进行了实证研究,研究结果表明:收益和绝对收益与交易量之间均存在正相关关系;收益与交易量以及绝对收益与交易量之间存在双向Granger因果关系(线性或非线性);深圳成指收益的波动方差对收益具有正向作用,而上证指数收益的波动方差对收益没有直接的影响;上证指数和深圳成指的成交量对股指收益的波动方差不具有解释作用.     

Asymmetric Relationship between Investors' Sentiment and Stock Returns: Evidence from a Quantile Non‐causality Test

This study investigates the causal relationship between investor sentiment and stock returns in the USA by conducting a quantile Granger non‐causality test. Employing two proxies for investor sentiment – the sentiment index developed by Baker and Wurgler in 2007 and the University of Michigan Consumer Survey, a consumer confidence index – we find that the causal relationship between investor sentiment and stock returns strengthens when a tail quantile interval is considered. This finding implies that the investor sentiment could provide the incremental predictability for the stock returns under the extreme market situation, which cannot be found using a traditional Granger causality test. Interestingly, the findings can be explained by investors' loss aversion and herding behavior.     

我国股市牛熊市状态中偏股型开放式基金最优规模研究

本文从实证角度出发,采用单因素方差分析法研究基金规模与基金绩效之间的关系,并应用对数变换成本模型来研究开放式基金在我国股市牛市、熊市不同状态下的最优规模,从而为投资者理性选择投资基金和监管机构制定政策提供依据。     

Stock Returns,Productivity, and Corruption in Eight European Fast-Emerging Markets

This article addresses the impact of productivity, corruption, and trade openness on the stock returns of 265 industrial companies listed in eight Eastern European fast-emerging markets, over the 2004-2013 period. Through a three-factor model that includes both measures at firm level and macro-level control variables, our findings suggest that country corruption index is negatively correlated with the total annual return of the stocks of the listed industrial companies of our sample. Moreover, the most productive firms are featured by higher stock returns, while leverage seems not to be a key predictor of stock returns. In addition, the article uncovers innovative evidence about trade openness that is negatively correlated with stock returns due to its connection with the recent financial crisis. That is, firms operating in markets that are more open to trade show a higher degree of interconnection with other economies and are more likely to undergo the effects of negative fluctuations from foreign markets during the economic crisis. © 2015 Wiley Periodicals, Inc.     

Good News and Bad News about Firm‐Level Stock Returns of Internationally Exposed Firms

We examine stock returns of firms with international exposure. Our empirical work relies on Campbell's variance decomposition framework. Not surprisingly, we find that the volatility of discount rate and cash flow news increase with the degree of international exposure. As firms globalize, the cash flow effect is good news, while the discount rate effect amounts to bad news. The surprising result is that the covariance between the news terms increases with international exposure. This finding provides indirect evidence for the proposition that foreign exchange (FX) risk is a priced factor in the cross‐section of risk‐adjusted expected returns. JEL Classifications: G12, G15; EFM Classification Code: 330