| R平方和噪声交易 |
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| 引用本文： | 朱蓉. R平方和噪声交易[J]. 上海经济研究, 2011, 0(10) |
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| 作者姓名： | 朱蓉 |
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| 作者单位： | 上海社会科学院;申银万国证券股份公司; |
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| 摘 要： | 本文采用中国证券市场的数据,研究了R平方和噪声交易的关系。采用小单子作为噪声交易的指标,采用未来盈余反应系数来作为价格中信息含量的指标,我们通过行业配对方法实证检验了R平方和噪声的关系。我们发现噪声交易对R平方有负向作用。该结果对于不同的信息指标、不同的样本和对于小单子不同的标准稳健,而R平方和价格中信息含量的关系并不支持Durnev等(2003)的结论。
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| 关 键 词： | R平方 噪声交易 信息含量 |
R Square and Noise Trading |
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| Zhu Rong. R Square and Noise Trading[J]. Shanghai Economic Review, 2011, 0(10) |
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| Authors: | Zhu Rong |
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| Affiliation: | Zhu Rong(Shanghai Academy of Social Sciences and Shenyin&Wanguo Securities Securities) |
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| Abstract: | Using data in Chinese stock market,this paper examines the empirical relationship between R square and noise trading.Using small trades as measure of noise trading and future earnings response coefficient,we test the relationship between noise trading and R square by industry-matched-pairs methodology.We found noise trading has negative effect on R square.Moreover,the effect is robust to alternative price informativeness meausure,modified sample.An examination of R square and price informativeness measure d... |
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| Keywords: | R square noise trading price informativeness |
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