Review of Finance, Volume 21, Issue 6, 1 October 2017

投资者情绪、有限套利和现金持有效应

作者：Xiaofei Li (University of Nottingham, UK),

Di Luo (Swansea University, UK)

摘要

我们研究了投资者情绪和有限套利对现金持有量与未来股票收益之间在横截面上的正相关关系的解释。与投资者情绪假说一致，我们发现当情绪低迷的时候，现金持有效应是显著的，然而当情绪高涨时，这一效应不显著。此外，现金持有效应在交易成本高、卖空成本高以及异质性波动率大的股票中更为显著，表明对现金持有效应的套利是高成本且有风险的。与有限套利假说一致，高成本和风险阻止了理性投资者对现金持有效应进行套利。

Investor Sentiment, Limited Arbitrage, and the Cash Holding Effect

Xiaofei Li (University of Nottingham, UK), Di Luo (Swansea University, UK)

ABSTRACT

We examine the investor sentiment and limits-to-arbitrage explanations for the positive cross-sectional relation between cash holdings and future stock returns. Consistent with the investor sentiment hypothesis, we find that the cash holding effect is significant when sentiment is low, and it is insignificant when sentiment is high. In addition, the cash holding effect is strong among stocks with high transaction costs, high short selling costs, and large idiosyncratic volatility, indicating that arbitrage on the cash holding effect is costly and risky. In line with the limits-to-arbitrage hypothesis, high costs and risk prevent rational investors from exploiting the cash holding effect.

原文链接：https://academic.oup.com/rof/article-abstract/21/6/2141/2670103?redirectedFrom=fulltext

翻译：阙江静