發(fā)布時間：2018-06-19 20:29

  本文選題：異質信念 + 賣空限制�。� 參考：《西南交通大學》2015年博士論文

【摘要】：本文所關注的投資者異質信念(或稱為意見分歧)是投資者異質性的一種具體表現(xiàn)形式。傳統(tǒng)的資本資產(chǎn)定價理論是在假定投資者具有同質性的基礎上推導的,這種假定顯然忽略了真實世界中事物之間普遍存在的差異特征和不同條件下人們認知的差異性。如個體間原有的知識儲備(先驗信念)、獲取信息的渠道與速度、對信息的解讀、風險承受能力等因素不同,均會導致投資者在同一時點上對同一資產(chǎn)有著不同的判斷和預期。從而產(chǎn)生了異質信念,影響到人們的投資決策,最終對資產(chǎn)定價產(chǎn)生影響。關于異質信念資產(chǎn)定價的理論研究,均以賣空限制為前提。而中國A股市場在2010年3月31日之前嚴格限制賣空,此后才陸續(xù)放開部分股票的賣空限制。長期限制賣空的制度環(huán)境為我們探討異質信念對資產(chǎn)定價的作用機理和實證檢驗提供了獨特的實驗環(huán)境。同時賣空限制的逐步取消,也為我們進一步分析異質信念對預期收益的影響是否減弱提供了機會。關于異質信念的資產(chǎn)定價理論早在1977年Miller就提出了概念模型,此后長期停留在理論模型的推導階段；進入21世紀關于投資者異質信念的實證研究才逐漸涌現(xiàn)。其根本原因在于投資者異質信念直接與各投資者的心理行為相關,研究者無法直接觀測,市場中也難以找到較好的代理變量對其進行準確地測度。到目前為止實證研究中用到的異質信念測度指標主要有分析師預測分歧、股票收益波動率、買賣價差、未預期交易量和基于委托訂單價差構建的異質信念指標。本文回顧了不同測度指標的構建方式,比較其理論基礎和適用性。本文借鑒Garfinkel(2009)未預期交易量的思想,并在此基礎上對模型進行改進,構建了換手率分離模型,剝離出交易活動中流動性需求和信息沖擊引發(fā)的交易,其未被模型解釋的部分作為異質信念大小的度量。從交易活動中直接分離出投資者異質信念,一方面確保了我們獲取的異質信念已轉化為實際交易活動并對資產(chǎn)價格變化產(chǎn)生影響,同時也避免了其他外生的異質信念度量指標在測度投資者異質信念時,存在信息不全或信息重疊的問題。在此基礎上,我們進一步探討投資者異質信念程度對股票收益的解釋能力。得到以下結論：首先,根據(jù)異質信念程度高低構建投資組合策略,考慮了影響資產(chǎn)價格的各種重要因素,運用簡單的數(shù)理統(tǒng)計方法直觀地展示了異質信念確實對資產(chǎn)價格形成了穩(wěn)定的影響。其具體表現(xiàn)為在限制賣空的市場環(huán)境下,看空意愿的表達受到限制,資產(chǎn)價格中更多地融入了樂觀投資者的意見,導致股票當期價格高估,而未來收益相應地較低。因此個股異質信念越大當期收益越高,未來收益越低。在分組對比中發(fā)現(xiàn),異質信念最高組與最低組的月度收益差在小規(guī)模公司中體現(xiàn)最為明顯,另外動量效應在組合的構建中沒有得到體現(xiàn)。因此在同時控制公司規(guī)模和價值因素后,小公司價值股且異質信念程度低的組合未來一個月的平均收益顯著高于大公司成長股且異質信念程度高的組合。這一研究結論對投資實踐中基金組合的構建有著實際的指導意義。(詳見第4章)其次,從資產(chǎn)定價模型的視角,運用計量經(jīng)濟方法實證檢驗了異質信念的定價效力。在CAPM、Fama-French三因子模型和Carhart四因子模型中分別引入異質信念,回歸結果均表明異質信念程度的高低與股票當月收益顯著正相關、與未來一個月收益顯著負相關。在考慮流動性因素的時間序列回歸中,異質信念對當期和預期收益依然存在穩(wěn)定影響。在穩(wěn)健性檢驗中,國外常被用作異質信念代理指標的分析師預測分歧并不能解釋A股市場的預期收益。在考慮特質波動率和動量反轉等因素后,異質信念的定價能力仍存在。(詳見第5章)第三,在牛市、熊市不同的市場環(huán)境下,投資者異質信念程度存在差異,且對資產(chǎn)價格具有非對稱影響。牛市中,信息充裕且投資者交易活躍,一方面投資者有動力去收集和挖掘更多信息以獲取更高收益,另一方面信息的充裕和交投的活躍導致投資者更容易基于不同信息做出決策,因此牛市中投資者的異質信念相對較強。而在熊市,交易清淡,信息量較小且流動速度降低,投資者的信念更容易趨同,因此異質信念程度較弱。將2000年—2009年劃分為5個牛熊市區(qū)間,統(tǒng)計結果顯示了牛熊市異質信念程度的差異。回歸分析表明,異質信念在牛市、熊市存在非對稱影響,在熊市有顯著的助漲助跌效應。即熊市中異質信念導致當月股價高估的程度大于牛市,同時對下一個月股票收益的降低作用也強于牛市。(詳見6.1節(jié))最后,探討了允許賣空后異質信念對資產(chǎn)定價的影響。異質信念資產(chǎn)定價的理論推導均建立在嚴格限制賣空的條件下,那么允許賣空后異質信念的定價能力是否消失了呢?由于市場摩擦和交易成本也能阻礙悲觀意見的表達,異質信念與預期收益負相關的現(xiàn)象在美國市場依然顯著。在中國市場上,異質信念對允許賣空的公司收益是否具有預測作用是一個實證問題。2010年3月以后我國開始了融資融券試點,此后的時間段內(nèi)我國證券市場同時存在允許賣空和限制賣空的股票。作者選用2011年—2013年的數(shù)據(jù),通過分組對比和回歸分析實證檢驗了放松賣空限制后,異質信念對允許賣空的股票當期收益的解釋能力減弱,對未來收益不再有顯著的影響。(詳見6.2節(jié))
[Abstract]:The investor heterogeneity belief (or disagreement) is a specific manifestation of investor heterogeneity. The traditional capital asset pricing theory is derived on the basis of the assumption that the investor has homogeneity, which obviously ignores the common differences and different conditions between the real world and the real world. The differences in people's cognition, such as the original knowledge reserve (prior belief), the channel and speed of obtaining information, the interpretation of information and the ability to bear the risk, will cause the investor to have different judgments and predates on the same asset at the same time. Decision making has an impact on asset pricing. The theoretical research on the pricing of heterogeneous belief assets is based on short selling limit, while China's A stock market strictly restricts short selling before March 31, 2010. After that, the short selling limit of some shares has been liberalized. The action mechanism and empirical test provide a unique experimental environment. At the same time, the gradual cancellation of the short selling limit provides a chance for us to further analyze whether the influence of heterogeneous beliefs on expected returns is weakened. The theory of asset pricing for heterogeneous beliefs has been proposed in Miller in 1977, and has been in the theory for a long time. The empirical study of the model is gradually emerging in twenty-first Century. The fundamental reason is that the investors' heterogeneous beliefs are directly related to the psychological behavior of the investors. The researchers can not observe directly, and it is difficult to find a better proxy variable to measure them accurately in the market. The index of heterogeneous belief used in the empirical study mainly includes the analysts' divergence, the volatility of stock returns, the sale spread, the unanticipated trading volume and the heterogeneous belief based on the price difference based on the entrustment order. This paper reviews the construction methods of different measure indexes, compares their theoretical basis and applicability. This paper uses Garfinkel (2009) for reference. On the basis of the idea of unexpected trading volume, and on this basis, the model is improved, a turnover rate separation model is constructed, and the transaction caused by liquidity demand and information shock in the transaction is stripped, and the part of the model is not the measure of the size of the heterogeneous belief. It is ensured that the heterogeneous beliefs we acquire have been transformed into real trading activities and have an impact on the change of asset prices. At the same time, we also avoid the problem of information incomplete or overlapping of information when measuring the heterogeneous beliefs of investors. On the basis of this, we further explore the heterogeneous belief process of investors. The following conclusions are obtained: firstly, according to the degree of heterogeneous belief, the investment portfolio strategy is constructed, and the important factors that affect the asset price are considered, and a simple mathematical statistics method is used to show that the heterogeneous belief has a stable effect on the asset price. In the market environment of short selling, the expression of the willingness to see space is limited, and the price of the asset is more integrated with the opinion of the optimistic investor, which leads to the overvaluation of the stock in the current period and the lower income in the future. The monthly income difference of the lowest group is most obvious in the small scale companies, and the momentum effect is not reflected in the construction of the combination. Therefore, after controlling the company size and the value factors simultaneously, the small company value shares and the low degree of heterogeneous belief level are significantly higher than the big company growth stock and heterogeneity in the next month. The conclusion of this study has a practical guiding significance for the construction of the fund portfolio in investment practice. (see Chapter fourth) Secondly, the pricing effectiveness of heterogeneous beliefs is tested empirically from the angle of asset pricing model by using econometric methods. In CAPM, Fama-French three factor model and Carhart four factor model, With the introduction of heterogeneous beliefs, the regression results show that the level of heterogeneous beliefs is significantly positively correlated with the earnings of the stock month, and has a significant negative correlation with the earnings of the future month. In the time series regression, the heterogeneous beliefs still have a stable effect on the current and expected returns. In the robustness test, foreign countries are often used as different. The analyst forecast divergence of the qualitative belief proxy index does not explain the expected earnings of the A stock market. After considering the factors such as the trait volatility and the momentum reversal, the pricing ability of the heterogeneous beliefs still exists. (see Chapter fifth) third, in the bull market and the bear market, there are differences in the degree of heterogeneity between the investors and the asset prices. There is asymmetric influence. In the bull market, the information is abundant and the investors are active. On the one hand, the investors have the power to collect and dig more information to get higher income. On the other hand, the abundant information and the active investment lead to the investors to make decisions based on different information, so the investor's heterogeneous belief is relatively strong in the bull market. In the bear market, the transaction is light, the amount of information is small and the flow speed is reduced, and the belief of the investors is more easy to converge. Therefore, the degree of heterogeneous belief is weak. The difference between 2000 and 2009 is divided into 5 bull bear market. The statistical results show the difference of the degree of heterogeneous belief in the bull bear city. There is a significant rise and fall effect in the bear market. That is, the degree of the stock price overvaluation in the bear market is greater than the bull market in the bear market, and the reduction of the stock returns to the next month is stronger than the bull market. (see 6.1 section) finally, the influence of the heterogeneous belief on the pricing of the assets after the short selling is discussed. The theory of the pricing of heterogeneous belief assets is pushed. Under the strict limit of short selling, do the pricing power of heterogeneous beliefs disappear after short selling? Because market friction and transaction costs can also impede the expression of pessimism, the negative correlation between heterogeneous beliefs and expected earnings is still evident in the US market. In the Chinese market, heterogeneous beliefs are allowed to sell short. Whether the earnings of the company has a predictive function is an empirical problem, after March.2010, China started a pilot of margin financing. In the following period, the stock market in China also allowed short selling and short selling stock. The author selected the data from 2011 to 2013, and tested the relaxation of short selling by group comparison and regression analysis. After the restriction, the heterogeneous belief reduces the explanatory power of the current stock yield that allows short selling, and has no significant effect on future earnings. (see Section 6.2).
【學位授予單位】：西南交通大學
【學位級別】：博士
【學位授予年份】：2015
【分類號】：F832.51

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