中国A股市场大交易量与收益率关系的研究

利用技术分析制定股票投资策略是投资者主要采用的方法之一,而对交易量与收益率两者之间关系的研究又是技术分析的基础。我们认为,大交易量能更好地预测未来股票的收益。本文通过对中国A股市场代表不同规模股票的指数实证研究发现,不同指数在大交易量形成后的检验期里反应是不同的。代表大盘股的指数存在明显的"大交易量溢价效应";而代表小盘股的指数几乎不存在这种效应。我们还进一步的发现,这种"大交易量溢价效应"只发生在指数上涨了10%-20%的情况下。最后,我们给出了相关的投资策略。     

High Idiosyncratic Volatility and Low Returns: A Prospect Theory Explanation

The well‐documented negative relationship between idiosyncratic volatility and stock returns is puzzling if investors are risk‐averse. However, under prospect theory, while investors are risk‐averse in the domain of gains, they exhibit risk‐seeking behavior in the domain of losses. Consistent with risk‐seeking investors’ preference for high‐volatility stocks in the loss domain, we find that the negative relationship between idiosyncratic volatility and stock returns is concentrated in stocks with unrealized capital losses, but is nonexistent in stocks with unrealized capital gains. This finding is robust to control for short‐term return reversals and maximum daily return, among other variables.     

Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors

Individual investors who hold common stocks directly pay a tremendous performance penalty for active trading. Of 66,465 households with accounts at a large discount broker during 1991 to 1996, those that trade most earn an annual return of 11.4 percent, while the market returns 17.9 percent. The average household earns an annual return of 16.4 percent, tilts its common stock investment toward high-beta, small, value stocks, and turns over 75 percent of its portfolio annually. Overconfidence can explain high trading levels and the resulting poor performance of individual investors. Our central message is that trading is hazardous to your wealth.     

信息不确定、坏消息与投资者交易行为

本文以2000年至2010年的A股上市公司违法违规事件为样本,分析该类事件中信息不确定性的影响,以及市场反应中的投资者交易行为。研究发现:上市公司市场价值在事件日呈显著下跌;然而,与直觉有些相悖的是,信息不确定程度与超额累积收益呈显著正相关,这意味着在坏消息到来时,不确定性反而提高了股票的市场价值;最后,通过对各类投资者在此类事件中的净买入情况分析,我们发现不同投资者的交易行为有明显差异。机构投资者在坏消息中采用了反向交易策略,并且知情交易促进机构投资者的买入。     

The Effect of Socially Responsible Investing on Portfolio Performance

More and more investors apply socially responsible screens when building their stock portfolios. This raises the question whether these investors can increase their performance by incorporating such screens into their investment process. To answer this question we implement a simple trading strategy based on socially responsible ratings from the KLD Research & Analytics: Buy stocks with high socially responsible ratings and sell stocks with low socially responsible ratings. We find that this strategy leads to high abnormal returns of up to 8.7% per year. The maximum abnormal returns are reached when investors employ the best‐in‐class screening approach, use a combination of several socially responsible screens at the same time, and restrict themselves to stocks with extreme socially responsible ratings. The abnormal returns remain significant even after taking into account reasonable transaction costs.     

The high-volume return premium: evidence from the Chinese stock market

Extreme trading activity contains valuable information about the future evolution of stock prices in the Chinese stock market. Over the next 30 trading days after the initial volume shocks, a high-low volume portfolio earns a net average cumulate return of 2.08% and a high-low volume and size portfolio earns 3.37%, suggesting that there exists a high-volume return premium and that Chinese investors favor high-volume small-size stocks. However, a volume momentum portfolio earns a −1.65% net average cumulative return, indicating that Chinese stocks exhibit a short-run reversal. Portfolio construction, market risk, and firm size do not seem to explain the results.     

Individual Investors and Volatility

We show that retail trading activity has a positive effect on the volatility of stock returns, which suggests that retail investors behave as noise traders. To identify this effect, we use a reform of the French stock market that raises the relative cost of speculative trading for retail investors. The daily return volatility of the stocks affected by the reform falls by 20 basis points (a quarter of the sample standard deviation of the return volatility) relative to other stocks. For affected stocks, we also find a significant decrease in the magnitude of return reversals and the price impact of trades.     

投资者关注度与股票市场——以PM2.5概念股为例

近年来雾霾成为中国社会的热点话题,而雾霾频发导致PM2.5概念股受到投资者广泛的关注。本文结合现实环境问题,研究投资者通过对环境的关注度继而对与环境相关的股票的影响。具体而言,本文探究投资者对雾霾和PM2.5概念股的关注度对PM2.5概念股的影响。分析发现投资者对雾霾和PM2.5概念股的关注度的增加能拉升PM2.5概念股的股价。投资者对雾霾的关注度和PM2.5概念股的收益率显著正相关。关注度的增加同时也提高PM2.5概念股交易的活跃程度以及PM2.5概念股涨停的可能性。此外,本文发现正面的新闻报道会拉升PM2.5概念股的股价而负面的新闻报道会降低其股价。最后,本文通过讨论内生性和异质性等一系列稳健性检验进一步验证上述结论。     

Does the location of stock exchange matter? A within-country analysis

The current study documents an interesting phenomenon that retail investors prefer to invest in stocks listed at the stock exchange that is geographically close to them in China. This pattern is robust when we control for the well-documented local bias within a country. Among companies with similar distances to both stock exchanges and companies headquartered locally, investors still display a strong tendency to invest in locally-listed stocks. Among stocks with similar distances to both stock exchanges, those listed in Shanghai (Shenzhen) co-move more in returns and trading volumes, with the benchmark at the Shanghai (Shenzhen) stock exchange. Such a preference for local exchange seems not to be motivated by information advantage, because investors do not obtain abnormal returns from their trades on stocks listed nearby. Our findings provide additional evidence that non-information-based familiarity bias induces investment and that such investor bias and exchange-level sentiment influence asset price formation.     

Price Comovement and Institutional Performance Following Large Market Movements

This paper investigates the price comovement of stocks actively traded by institutions and the investment performance of foreign and domestic institutional investors in Taiwan's stock markets during periods of large market movements. Stocks of small size, high share turnover, and high return volatility tend to move together with the market when markets rise sharply. In short-term holdings, foreign investors and domestic mutual funds can outperform the market by trading small-size, high-turnover, and high-volatility stocks.     

Limited attention and the earnings announcement returns of past stock market winners

We document that stocks with the strongest prior 12-month returns experience a significant average market-adjusted return of 1.58% during the five trading days before their earnings announcements and a significant average market-adjusted return of −1.86% in the five trading days afterward. These returns remain significant even after accounting for transactions costs. We empirically test a limited attention explanation for these anomalous returns—that stocks with sharp run-ups tend to attract individual investors’ attention and investment dollars, particularly before their earnings announcements. Our analysis suggests that the trading decisions of individual investors are at least partly responsible for the return pattern that we observe.     

Did institutions herd during the internet bubble?

We examine the trading behavior of institutional investors during the internet bubble and crash of 1998–2001, and its impact on stock prices. Similar to some recent findings concerning the trading behavior of hedge funds and NASDAQ 100 stocks, we find that during the bubble all types of institutions herded with great intensity into internet stocks for a comprehensive sample of institutional investors and internet stocks. In addition to this, we present three entirely new results. First, institutional herding was much greater than what can be explained by momentum trading. Second, institutions as a group continued to increase their holdings of internet stocks for two quarters past the market peak during the first quarter of 2000, and three quarters past the peak for individual stock prices, suggesting that institutions were unable to time the price peaks. Finally and most importantly, we find positive abnormal returns contemporaneous with institutional herding and negative abnormal returns (reversals) at the point that herding ceased. This finding suggests that institutions’ trading created temporary price pressures, and may have contributed to the bubble.     

Heterogeneous institutional investors and CEO compensation

This paper examines the relationship between institutional ownership and executive compensation by taking into account the heterogeneity of institutional investors. The paper finds that ownership by transient institutional investors, who have short investment horizons and active trading, is positively related to the performance sensitivity of option grants for CEOs. However, no significant relationship holds for other types of institutions, including those dedicated institutional investors, who have longer horizon and concentrated holdings. Further tests suggest that the positive relationship between transient institutional ownership and the CEO pay-for-performance sensitivity is not driven by the trading behavior of transient institutional investors when stock performance is good. Instead, the paper documents preference of transient institutional investors for greater performance sensitivity of option grants for CEOs. After using an instrument approach to control for preference and endogeneity, transient institutional ownership is no longer significantly related to the CEO pay-for-performance sensitivity. Additionally, the paper does not find dedicated institutional investors serve a monitoring role in correcting overcompensation paid to CEOs. After controlling for preference and endogeneity, neither the level of salary nor the level of total direct compensation for CEOs is significantly related to dedicated institutional ownership. The findings suggest that on average the influence of institutional investors on CEO compensation occurs indirectly through their preference in line with their different investment types.     

The valuation effect of stock dividends or splits: Evidence from a catering perspective

We hypothesize that managers use stock dividends or splits to cater to gambling investors who are willing to pay a premium for stocks with lottery-like features. Using proprietary account-level trading records, we find that retail investors, particularly those with a strong gambling preference, become strong net buyers following the announcement of stock dividends, while professional investors unload their holdings. Moreover, we find that positive market reactions to stock dividends is positively associated with increases in gambling investors.     

Asset pricing in China's domestic stock markets: Is there a logic?

China's stock markets have grown rapidly since their inception and have become an increasingly important emerging market for international investors. However, there are few systematic studies on how asset prices are formed in Chinese domestic equity markets; popular financial media even depict the market as irrational. In this paper, we study the asset pricing mechanism in the nascent Chinese stock markets, with the objective of identifying variables that capture the cross-sectional variation in average stock returns. We focus on the effects of various market imperfections in China. We find that while the market risk (beta) is not priced, there is a significantly negative relationship between firm-specific risk and expected returns. Chinese investors are willing to pay a significant premium for more liquid stocks or for dividend-paying stocks. Furthermore, investors value local A-shares more if there are offshore counterparts (e.g., B- and H-shares) for foreigners, implying that a Chinese firm with a foreign shareholder base has a lower cost of capital, ceteris paribus. Lastly, as with U.S. and other mature markets, firm size and the book-to-market ratio are systematically related to stock returns. Given market imperfections, stocks are priced rather rationally in China, despite the widespread perception to the contrary.     

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

This paper examines the optimal consumption and portfolio-choiceproblem of long-horizon investors who have access to a risklessasset with constant return and a risky asset ("stocks") withconstant expected return and time-varying precision—thereciprocal of volatility. Markets are incomplete, and investorshave recursive preferences defined over intermediate consumption.The paper obtains a solution to this problem which is exactfor investors with unit elasticity of intertemporal substitutionof consumption and approximate otherwise. The optimal portfoliodemand for stocks includes an intertemporal hedging componentthat is negative when investors have coefficients of relativerisk aversion larger than one, and the instantaneous correlationbetween volatility and stock returns is negative, as typicallyestimated from stock return data. Our estimates of the jointprocess for stock returns and precision (or volatility) usingU.S. data confirm this finding. But we also find that stockreturn volatility does not appear to be variable and persistentenough to generate large intertemporal hedging demands.     

Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market,industry, and individual stocks

This paper is motivated by Bali, Brown, and Tang (2017) who find U.S. economic policy uncertainty (EPU) is priced in the cross-section of U.S. stock returns, and uses weekly data from March 2006 to April 2016 to study whether shocks in U.S. EPU also influence prices of China's A-shares from a market, industry, and individual stock perspective. Our methodology relies on an ARMA (1,1) model to extract shocks in the U.S. EPU series and a GARCH (1,1) model to examine how returns of China's A-shares respond to these shocks after controlling for business conditions proxied by term and credit spread in China. Generally, we find that shocks in U.S. EPU significantly and negatively explain returns of Chinese A-shares with a lag of one week. In addition, the market index containing small and growth stocks is more sensitive to shocks in U.S. EPU than the index containing big and value stocks. Furthermore, we find that firms in manufacturing, information technology, and media industries in China are more sensitive to shocks in U.S. EPU, while firms in agriculture and real estate industries respond less to shocks in U.S. EPU. Finally, China's A-shares which decline more in response to shocks in U.S. EPU have higher returns, smaller market capitalization, weaker operating profitability, higher asset growth, and better past year's cumulative returns. Overall, our findings show that investors in the Chinese A-shares market require a premium to hold stocks that are sensitive to shocks in U.S. economic policy uncertainty.     

Online Search Frequency,Retail Investor Overreaction,and the Cross-Section of Stock Returns: Evidence from the Chinese Stock Market

I find a strong negative relation between online search frequency and future returns on the Chinese stock market. I suggest that this effect captures retail investor overreaction to unexpected signals, because online search frequency reflects the efforts made by investors to obtain firm-specific knowledge. The effect is particularly strong in stocks with high information uncertainty (high analyst dispersion, big past earnings surprises, low analyst coverage, and large trading volume), whose intrinsic values are difficult or costly for investors to estimate. Online search frequency as a direct indicator of retail investors’ reaction to signals also sheds light on the idiosyncratic volatility (IVOL) puzzle. I find that this puzzle is more pronounced in high-search-frequency subsamples and disappears in low-search-frequency subsamples. Further evidence shows that high search frequency strengthens the negative IVOL effect in stocks with positive signals but weakens this effect in stocks with negative signals. I suggest that the IVOL puzzle in the Chinese market can be partially explained as a reversal following overreaction to positive signals by retail investors.     

Speculative trading preferences of retail investor birth cohorts

This study examines the effect of investor birth cohorts on speculative investment preferences. Using retail trading and portfolio data from Finland over two decades, we find that individuals who have experienced desirable macro-economic and social conditions during adolescence, such as high gross domestic product (GDP) growth and low divorce rates, are more likely to invest in speculative stocks. A positive relation is found between the proportion of speculative-prone cohorts in the stock market and returns of stocks of lottery nature. We provide new evidence on the adverse effect of speculative investments, finding that cohorts with higher speculative investment weights on their portfolios achieve lower absolute and risk-adjusted returns. We also provide support for earlier research that identifies a positive association between recent portfolio performance and the propensity to invest in speculative stocks.     

Individual Investors' Sentiment and Temporary Stock Price Pressure

Using data for the Hong Kong stock market, where individual investors' sentiment is likely to be influential, this study finds that the publication of individual investors' sentiment temporarily affects stock prices regardless of the publication's incompetence in predicting stock returns. Specifically, when the publication reports that more and more investors are optimistic, the return on the day just after the publication is higher and the return several days later is lower. Furthermore, the results are strongest for small stocks, and weakest for large stocks. It seems that some individual investors buy (sell) stocks when others, as reported by the publication, are optimistic (pessimistic), and that the trading causes temporary buying (selling) pressure initially and price reversals afterwards.