摘要
本文结合盈余公告后价格漂移(PEAD)对中国股市的有限套利进行研究。市场定价偏误现象的持续存在与经典金融学的套利假说相矛盾,我们认为市场存在套利局限,异象的背后也许其对应了更高的风险、交易成本或者不同的投资者。基于以上考虑,我们构造了交易风险、交易成本以及投资者熟练度的代理变量对PEAD现象进行考察,结果发现定价偏误的程度与套利风险和成本有正关系、投资者熟练程度与PEAD程度负相关,这说明在中国股市机构投资者会降低股价有更大程度漂移。
This paper focuses on the limited arbitrage and post--earnings--announcement drift in China＇s stock market. The misprision＇s existing is conflicting with efficient market, so we think that the arbitrage is facing to the limits, the abnormal return may be corresponding to higher risk, cost or investor sophistication. Based on the above hypothesis, we use the proxy of trading risk, cost to test the relations between PEAD and limit arbitrage. The results show that the mis--pricing is positive with arbitrage risk and cost and is negative with the investor sophistication, which is consistent with the institutional investor getting profit from the PEAD.
出处
《中国管理科学》
CSSCI
2008年第6期16-23,共8页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(70803013)
