异质信念、卖空限制与股价行为
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摘要
为什么在经典的资产定价理论中应该称之为“有效”的股票市场在实际中会出现诸如IPO之谜之类的股市异象?为什么在经典的资产定价理论中应该保持均衡的股票市场在实际中会出现投机性泡沫和暴跌现象?尤其是在我国,股市暴涨暴跌更是家常便饭。本文立足于我国股市的两个基本特征,投资者异质信念和卖空限制,从异质信念的角度,揭示这些看似不合理的股价行为背后合理的形成机制。
我国以个人投资者为主的市场结构以及并不畅通的信息传播机制,决定了我国股市存在严重异质信念。同时,不可否认,我国现在和将来都还将面临较高的卖空成本。而基于异质信念的资产定价理论认为,在一个存在严重异质信念和卖空限制的股票市场上,股价会呈现先高估后下降的运行模式。尤其在动态情形下,异质信念会导致价值为正的再售期权出现,推动股价膨胀,产生投机性泡沫。市场的卖空限制在其中起到了推波助澜的作用。但是随着信息的传递、投资者投资行为的调整,以及信念的演变,尤其是之前被卖空限制所隐藏的悲观信息在市场上释放时,这些积累起来的悲观信息会集中影响市场交易,股市走向暴跌。
本文研究发现,诸如IPO之谜、动量效应、盈余惯性等异象中,股价行为都呈现出一种先高估后下降的趋势,与异质信念的理论预测一致。因此,本文第三章检验了异质信念在我国股市IPO抑价、动量效应两类异象形成中的作用。研究发现异质信念主导了IPO二级市场溢价,并且提高了短期动量收益,表明这些特殊的异象不过是异质信念影响股价行为的具体表现。
本文第四、五章则从动态的角度研究发现,我国投资者信念的演变是推动我国股市形成剧烈的暴涨暴跌现象的主要因素。我国投资者搏差价的行为动机导致我国股票价格含有更高的再售期权价值。对比引起泡沫的另一条路径——通胀幻觉,异质信念所起到的作用更强。并且投资者信念异质性程度越大,泡沫波动率也越高。而信念的演变最终会导致泡沫破裂。前期投资者的意见分歧越大,未来股市的暴跌也越剧烈。由于异质信念和卖空限制导致股票价格对乐观预期的反应比较及时,而对悲观预期的反应具有汇总滞后性,暴跌的影响更大,因此使整个市场的股票收益分布呈现负偏特征。
本文的创新点主要有四个方面:(1)首次应用基于异质信念的资产定价理论集中分析我国股票市场的股票价格行为特征;(2)为我国股票市场异象的形成提供了新的解释和理解角度;(3)首次利用基于向量自回归一对数线性资产定价框架的动态剩余收益模型估计我国股票市场泡沫,并首次分析了再售期权对我国股票市场投机性泡沫形成的推动作用;(4)从异质信念的角度探讨了我国暴跌现象的形成,并描绘了我国股票收益分布的偏度特征。
Why are there stock market anomalies such as IPO underpricing, in stock market which should be "efficient" in the classic capital asset pricing theory? Why are there bubble and crash in stock market which should be equilibrium in the classic capital asset pricing theory? Especially Chinese Stock market has been and is experiencing big bubble and crash. Based on the two basic characters of Chinese stock market, heterogeneous beliefs among investors and limited short sales, this paper provide a story in reason about the phenomena without reason.
In Chinese stock market, higher dispersion of beliefs is implied by the investors structure composed mainly of private investors and the blocked information diffusion. And there are high short sales costs in Chinese stock market now and in the future. The asset pricing theory based on heterogeneous beliefs predicts that stock price will reflect the optimistic view in the stock market with heterogeneous beliefs and short-sales constraints because the limited short sales constraint the trades from the investors with the lowest valuations. The stocks with higher dispersion of opinions are more overvalued in the short run and earn lower future returns. In the dynamic world, heterogeneous beliefs will induce the resale option with positive value whereby the current buyer is willing to pay above his or her own fundamental valuation because the buyer believes that in the future he or she will be able to sell the stock to other optimistic agents for a better price. This action causes a speculative bubble in the stock market. However, because of short-sales constrains, the originally bearish investors' information is not revealed in prices. When other previously bullish investors bail out of the market as information flows, the originally bearish ones may become marginal "support buyers" and more will be learned about their signals. Thus accumulated hidden information comes out during market declines. Stock price crashes.
In the stock market anomalies, such as IPO underpricing, momentum effect, earnings drift, stock price actions in the same behavior which is short-term overvalued and long-term underperformance just as the heterogeneous beliefs theory predicts. In the third chapter, an empirical research is explored about the relation between the heterogeneity of beliefs and Chinese stock market anomalies. The research shows that heterogeneous beliefs induce the premium of IPO in the secondary market and moment profits.
The evolvement of investors' opinions results in the bubble and crash of Chinese stock market. The fourth chapter explores empirical evidence that inflation illusion and resale option which induced by heterogeneous beliefs provide a story for Chinese stock market speculative bubble. But the evidence suggests that the heterogeneous beliefs may provide a more coherent explanation for the level and the volatility of the bubble of Chinese stock market. And also the heterogeneous beliefs forecast the crash of individual stock price and market price in Chinese stock market as showed in the fifth chapter. The private information of those relatively bearish investors who initially sidelined by the short-sales constrain is more likely to be flushed out through the trading process when the market is falling. Relative to bubble, stock markets more likely melt down. The return will be more negatively skewed conditional on higher heterogeneous beliefs.
The main contributions of this paper include: (1) first analysis of Chinese stock price behavior with heterogeneous beliefs theory; (2) new explanation and understanding about Chinese stock market anomalies; (3) first bubble estimation with dynamic residual income valuation model based on the vector-autoregressive and log-linear asset pricing framework and first empirical research of resale option hypothesis in China; (4) analysis of Chinese stock market crash with heterogeneous beliefs theory and give the skewness character of Chinese stock return distribution.
我国以个人投资者为主的市场结构以及并不畅通的信息传播机制,决定了我国股市存在严重异质信念。同时,不可否认,我国现在和将来都还将面临较高的卖空成本。而基于异质信念的资产定价理论认为,在一个存在严重异质信念和卖空限制的股票市场上,股价会呈现先高估后下降的运行模式。尤其在动态情形下,异质信念会导致价值为正的再售期权出现,推动股价膨胀,产生投机性泡沫。市场的卖空限制在其中起到了推波助澜的作用。但是随着信息的传递、投资者投资行为的调整,以及信念的演变,尤其是之前被卖空限制所隐藏的悲观信息在市场上释放时,这些积累起来的悲观信息会集中影响市场交易,股市走向暴跌。
本文研究发现,诸如IPO之谜、动量效应、盈余惯性等异象中,股价行为都呈现出一种先高估后下降的趋势,与异质信念的理论预测一致。因此,本文第三章检验了异质信念在我国股市IPO抑价、动量效应两类异象形成中的作用。研究发现异质信念主导了IPO二级市场溢价,并且提高了短期动量收益,表明这些特殊的异象不过是异质信念影响股价行为的具体表现。
本文第四、五章则从动态的角度研究发现,我国投资者信念的演变是推动我国股市形成剧烈的暴涨暴跌现象的主要因素。我国投资者搏差价的行为动机导致我国股票价格含有更高的再售期权价值。对比引起泡沫的另一条路径——通胀幻觉,异质信念所起到的作用更强。并且投资者信念异质性程度越大,泡沫波动率也越高。而信念的演变最终会导致泡沫破裂。前期投资者的意见分歧越大,未来股市的暴跌也越剧烈。由于异质信念和卖空限制导致股票价格对乐观预期的反应比较及时,而对悲观预期的反应具有汇总滞后性,暴跌的影响更大,因此使整个市场的股票收益分布呈现负偏特征。
本文的创新点主要有四个方面:(1)首次应用基于异质信念的资产定价理论集中分析我国股票市场的股票价格行为特征;(2)为我国股票市场异象的形成提供了新的解释和理解角度;(3)首次利用基于向量自回归一对数线性资产定价框架的动态剩余收益模型估计我国股票市场泡沫,并首次分析了再售期权对我国股票市场投机性泡沫形成的推动作用;(4)从异质信念的角度探讨了我国暴跌现象的形成,并描绘了我国股票收益分布的偏度特征。
Why are there stock market anomalies such as IPO underpricing, in stock market which should be "efficient" in the classic capital asset pricing theory? Why are there bubble and crash in stock market which should be equilibrium in the classic capital asset pricing theory? Especially Chinese Stock market has been and is experiencing big bubble and crash. Based on the two basic characters of Chinese stock market, heterogeneous beliefs among investors and limited short sales, this paper provide a story in reason about the phenomena without reason.
In Chinese stock market, higher dispersion of beliefs is implied by the investors structure composed mainly of private investors and the blocked information diffusion. And there are high short sales costs in Chinese stock market now and in the future. The asset pricing theory based on heterogeneous beliefs predicts that stock price will reflect the optimistic view in the stock market with heterogeneous beliefs and short-sales constraints because the limited short sales constraint the trades from the investors with the lowest valuations. The stocks with higher dispersion of opinions are more overvalued in the short run and earn lower future returns. In the dynamic world, heterogeneous beliefs will induce the resale option with positive value whereby the current buyer is willing to pay above his or her own fundamental valuation because the buyer believes that in the future he or she will be able to sell the stock to other optimistic agents for a better price. This action causes a speculative bubble in the stock market. However, because of short-sales constrains, the originally bearish investors' information is not revealed in prices. When other previously bullish investors bail out of the market as information flows, the originally bearish ones may become marginal "support buyers" and more will be learned about their signals. Thus accumulated hidden information comes out during market declines. Stock price crashes.
In the stock market anomalies, such as IPO underpricing, momentum effect, earnings drift, stock price actions in the same behavior which is short-term overvalued and long-term underperformance just as the heterogeneous beliefs theory predicts. In the third chapter, an empirical research is explored about the relation between the heterogeneity of beliefs and Chinese stock market anomalies. The research shows that heterogeneous beliefs induce the premium of IPO in the secondary market and moment profits.
The evolvement of investors' opinions results in the bubble and crash of Chinese stock market. The fourth chapter explores empirical evidence that inflation illusion and resale option which induced by heterogeneous beliefs provide a story for Chinese stock market speculative bubble. But the evidence suggests that the heterogeneous beliefs may provide a more coherent explanation for the level and the volatility of the bubble of Chinese stock market. And also the heterogeneous beliefs forecast the crash of individual stock price and market price in Chinese stock market as showed in the fifth chapter. The private information of those relatively bearish investors who initially sidelined by the short-sales constrain is more likely to be flushed out through the trading process when the market is falling. Relative to bubble, stock markets more likely melt down. The return will be more negatively skewed conditional on higher heterogeneous beliefs.
The main contributions of this paper include: (1) first analysis of Chinese stock price behavior with heterogeneous beliefs theory; (2) new explanation and understanding about Chinese stock market anomalies; (3) first bubble estimation with dynamic residual income valuation model based on the vector-autoregressive and log-linear asset pricing framework and first empirical research of resale option hypothesis in China; (4) analysis of Chinese stock market crash with heterogeneous beliefs theory and give the skewness character of Chinese stock return distribution.
引文
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