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本文通过日度交易数据构造出的换手率波动的指标对于未来收益率有着稳定并且显著的解释能力。本文认为换手率代表了投资者意见分歧程度的高低,而二阶距代表了意见分歧的波动程度。在市场存在卖空约束的情况下,股票价格中包含有以投资者意见分歧为标的物的转售期权,投资者意见分歧波动越高,相应的转售期权的价格也更高,未来收益率下降。我们使用AB股样本进行检验的结果也支持我们的理论假设。
The indicator of volatility of turnover constructed by daily trading data has a stable and significant explanatory power for the future rate of return. This article considers that the turnover rate represents the level of investor disagreement, while the second-order distance represents the degree of fluctuation of disagreement. In the case of short selling, the stock price includes resale options based on the differences of investors’ opinions. The higher the fluctuation of investor disagreement, the higher the price of the corresponding resale option, the future return rate decline. The results of our tests using AB stock samples also support our theoretical hypotheses.