Journal of Financial Markets, September 2018

知情的逆向交易和股票收益

作者：Sanders S.Chang (University of Dayton)

F.Albert Wang (University of Dayton)

摘要：我们提出了一个新的衡量知情交易概率的方法。这项措施称为PCM，它捕捉了买卖差价的逆向选择部分，在收益公告周围变得更高，并且展示了与价格影响类似的时间序列模式。在控制流动性的同时，PCM中双重排序投资组合的收益增加。基于PCM的多空投资组合每年产生18.3％的异常收益。控制了其他因素，PCM显著地解释了横截面回报。这种效果对于可选择的标准是稳健的，并且在2001年的十进制化之后仍然很重要。总之，PCM易于实现并且是一个有效的信息交易代理。

关键词：信息不对称；逆向交易；股票收益

Informed contrarian trades and stock returns

Sanders S. Chang (University of Dayton)；F. Albert Wang (University of Dayton)

ABSTRACT

We develop a novel measure for the probability of informed trading. This measure, termed PCM, captures the adverse selection component of bid-ask spreads, becomes elevated around earnings announcements, and exhibits similar time-series patterns to price impact. Returns in double-sorted portfolios increase in PCM while controlling for liquidity. A long-short portfolio based on PCM generates 18.3% abnormal return annually. PCM significantly explains cross-sectional returns while controlling for other factors. This effect is robust to alternative specifications and remains significant after the decimalization in 2001. In sum, PCM is easy to implement and serves as an effective proxy for informed trading.

Keywords: Information asymmetry；Contrarian trading；Stock returns

原文链接：

https://www.sciencedirect.com/science/article/abs/pii/S1386418117302616#!

翻译：黄涛