Journal of Banking and Finance ·Volume 85, Pages 15-29· DEC 2017
卖空能力和资产定价模型：来自香港股市的证据
作者：Bai Min(School of Accountancy, Jiangxi University of Finance and Economics)Li Xiao-Ming(School of Economics and Finance (Albany), Massey University)Qin Yafeng(School of Economics and Finance (Albany), Massey University)
摘要：本研究探讨了违反自由卖空的假设会如何影响CAPM和Fama-French三因子模型的表现，因为现有的研究表明，卖空限制会影响股票的定价。使用具有独特的卖空限制的香港股票市场数据，我们进行了时间序列和横截面回归分析，以评估两种模式在卖空限制和无限制市场环境下的表现。这两个模型在前一种环境中比在后一种环境中表现得更差，表明卖空限制对模型的解释力具有显著的影响。然后，我们用一个模仿卖空能力的因子来增强这两个模型。我们的研究结果显示，这个因子在解释市值-BM组合收益的时间序列和横截面的变化上具有显著的作用。在这两个模型中增加这个因子，大大提高了他们的整体表现。
关键词：资产定价模型，卖空限制，卖空能力因子
Shortability and asset pricing model: Evidence from the Hong Kong stock market
Bai Min(School of Accountancy, Jiangxi University of Finance and Economics)Li Xiao-Ming(School of Economics and Finance (Albany), Massey University)Qin Yafeng(School of Economics and Finance (Albany), Massey University)
ABSTRACT
This study explores how the violation of free short selling assumption affects the performance of CAPM and the Fama-French three-factor model, as existing studies show that short-sales constraints affect asset pricing of the stocks. Using data from the Hong Kong Stock Market which has unique regulations on short selling, we conduct both time-series and cross-sectional regression analyses to evaluate the performance of the two models under the short-sales-constraints and the no-constraints market environment. The two models perform much worse in the former environment than in the latter, indicating a significant impact of the short sales constraints on the explanatory power of the models. We then augment the two models with a short ability-mimicking factor. Our results show that the factor has a significant power in explaining both time-series and cross-sectional variation in the size-B/M portfolio returns. The addition of the factor to the two models considerably increases their overall performance.
Keywords: Asset pricing models; Short-sales constraints; Shortability factor
原文链接：
https://www.sciencedirect.com/science/article/pii/S0378426617301954
翻译：张展
