【作者】 马航；

【导师】 王春峰；

【作者基本信息】 天津大学 ， 金融硕士（专业学位）， 2018， 硕士

【摘要】 换手率是标准化后的股票交易量指标,可以衡量股票交易的活跃程度。但是关于换手率的本质我们仍旧了解的不多。众所周知,当投资者有套期保值、流动性需求、构造投资组合等需求时,交易活动的发生是合理的。但是当投资者存在心理偏差,例如过度自信,有限关注和异质信念时,交易活动可能是行为驱使的。然而,基于风险的资本资产定价理论,无论是静态的还是动态对于换手率的本质和影响都讲解的不多。作为一种较易获得且稳定的市场指标,换手率与股票收益的关系一直以来都得到了国内外学者的广泛关注。有大量的研究文献指出,股票换手率与股票未来收益率之间存在着显著的负向关系,但是两者之间负向溢价的背后所代表的本质学术界仍存在许多讨论,越来越多的研究发现单纯的流动性溢价风险补偿假说并不能完全解释换手率与未来收益率的负向关系。因此在前人文献的基础之上,本文首先通过一维投资组合分析和Fama-Macbeth横截面回归两种方式证实了股票换手率与股票未来收益之间存在着显著的负向关系,两者负向关系即便在控制住流动性因素之后,仍并未发生变化,这说明股票换手率与股票未来收益率之间的负向关系不完全受流动性所影响,用流动性溢价的风险补偿假说来解释股票换手率与股票未来收益的负相关并不全面。我们通过构建投资组合来验证换手率溢价的可持续性,通过对换手率持有期的分析,我们发现在中国A股市场上,换手率溢价可以显著持续12个月。通过Fama-Macbeth横截面回归也证实了在加入衡量操作风险股票价格的和噪音交易者风险的特质波动率后,换手率的回归系数显著性有所降低,套利成本指标显著,这说明中国市场的换手率溢价可以部分被套利风险所解释。随后我们对换手率内涵研究的进行扩展和延伸,我们通过分组来对不同状态和类型的股票进行换手率溢价的研究,证实了换手率溢价现象在小市值股票中的表现比大市值股票中的表现更为明显和显著,在高账面市值比的股票中表现的比低账面市值比的股票中更显著。同时在控制住其他影响因素的条件下,我们发现异质信念在一定程度解释了换手率,但解释程度不高。换手率在一定程度上解释了异质信念,解释程度较高。可以粗略说明换手率包含了异质信念,但异质信念不包括换手率,换手率的内涵更大,除了前文探究的流动性,异质信念外还有很多是我们尚未发现的。换手率神秘复杂的内涵仍旧等待着我们去挖掘探索。更多还原

【Abstract】 Turnover is standardized stock trading volume index,which can measure the degree of activity of stock trading.But we still don’t know much about the nature of turnover.As we all know,when investors have the demand of hedging,liquidity demand,portfolio construction and so on,the occurrence of trading activities is reasonable.But when investors have psychological biases,such as overconfidence,limited attention and heterogeneous beliefs,trading activities may be behavior-driven.However,the theory of capital asset pricing based on risk,whether static or dynamic,does not explain much about the nature and impact of turnover rate.As a relatively easy to obtain and stable market index,the relationship between turnover rate and stock returns has been widely concerned by scholars at home and abroad.A large number of studies have pointed out that there is a significant negative relationship between the turnover rate and the future return rate of stocks,but there is still much discussion about the nature of the negative premium between the two.More and more studies have found that the liquidity premium risk compensation hypothesis can not fully explain the turnover rate.Negative relationship between rate and future yield.Therefore,based on the previous literature,this paper firstly proves that there is a significant negative relationship between the stock turnover rate and the future earnings of the stock through one-dimensional portfolio analysis and Fama-Macbeth cross-sectional regression.The negative relationship has not changed even after controlling the liquidity factor,which indicates that the negative relationship between the stock turnover rate and the future yield of the stock is not completely affected by liquidity,and the risk compensation with liquidity premium The hypothesis to explain the negative correlation between stock turnover and future earnings of stocks is not comprehensive.We build a portfolio to verify the sustainability of the turnover rate premium.Through an analysis of the turnover rate holding period,we find that in China’s A-share market,the turnover rate premium can last significantly for 12 months.Cross-sectional regression of Fama-Macbeth also confirmed that after adding the volatility of the traits of measuring the risk of operating stocks and the risk of noise traders,the regression coefficient of the turnover rate was significantly reduced,and the arbitrage cost index was significant,indicating the Chinese market.The turnover rate premium can be partially explained by the arbitrage risk.We expand and extend the research on the meaning of turnover rate.We study the turnover rate of stocks of different states and types by grouping,which confirms the performance of turnover rate premium in small-cap stocks than the market value.The performance in stocks is more pronounced and significant,and is more pronounced in stocks with higher book-to-market ratios than stocks with lower book-to-market ratios.Under the condition of controlling other influencing factors,we found that the heterogeneous belief explained the turnover rate to a certain extent,but the degree of interpretation was not high.The turnover rate explains the heterogeneous belief to a certain extent,and the degree of interpretation is higher.It can be roughly stated that the turnover rate includes heterogeneous beliefs,but the heterogeneous beliefs do not include the turnover rate,and the meaning of the turnover rate is greater.In addition to the liquidity explored in the previous article,there are many other heterogeneous beliefs that we have not yet discovered.The mysterious and complex meaning of the turnover rate is still waiting for us to explore.更多还原