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采用Hasbrouck提出的交易信息含量[1]衡量A股交易中的信息不对称,通过组合方法、Fama和French资产定价实证框架[2],研究1999年7月至2008年12月A股股票交易信息含量与预期收益之间的关系。研究结果表明,以市值和交易信息含量为标准构建的投资组合,在控制了市值因素后预期超额收益随着信息含量的增加而增大;在控制了Fama和French三因素后,交易信息含量对股票预期收益仍具有显著的正的解释作用,即使进一步控制了流动性因素也是如此。
The paper uses the transaction information content [1] proposed by Hasbrouck to measure the information asymmetry in the A-share transaction, and studies the A-share transaction information from July 1999 to December 2008 through portfolio method, Fama and French asset pricing empirical framework [2] Relationship between content and expected return. The results show that the investment portfolio constructed with the market value and the transaction information content as the standard, the expected excess returns increase with the increase of the information content after controlling the market value. After controlling the Fama and French factors, the transaction information content The expected return on equity still has a significant positive explanatory effect, even with further liquidity controls in place.