【作者】 张峥； 刘力；

【Author】 ZHENG ZHANG LI LIU (Peking University )

【机构】 北京大学光华管理学院；

【摘要】 本文考察了中国股票市场股票换手率与横截面股票收益之间负相关关系的原因,研究发现这种关系不能由流动性溢价理论完全解释,多项证据表明由于换手率可以作为投资者异质性信念波动程度的代理变量,在市场卖空约束和投资者异质性信念同时存在的条件下,可能出现的投机性交易所造成的股价高估(投机性泡沫)是更为合适的解释。更多还原

【Abstract】 We investigate the explanation of the negative relationship between turnovers and cross-sectional stock returns in the Chinese stock market.We find that this relationship cannot be completely explained by liquidity premium theory.We find evidence that turnovers can be a proxy for the volatility of divergence of opinions,and it is a more appropriate explanation that the negative relationship is caused by speculative bubbles under the joint effect of heterogeneous beliefs and short sell constraints.更多还原