Journal of Banking & Finance · Vol.76, MARCH 2017

新兴市场是否有极端的回报？——来自中国股市的证据

作者：Gilbert V. Nartea (Department of Finance, University of Waikato), Dongmin Kong (Department of Finance, Zhongnan University of Economics and Law), Ji Wu (School of Economics and Finance, Massey University)

摘要：来自美国和欧洲市场的最近证据表明，在上个月拥有较高每日最大回报的股票在本月表现不佳。我们通过投资组合层面的分析和公司层面的Fama-MacBeth横截面回归来研究新兴中国股市的类似效应的存在。我们发现了类似于美国和欧洲市场的MAX（最大）效应的证据。然而，与美国和欧洲相反，中国的MAX效应并没有削弱反转异常特质波动（IV）效应。MAX效应和IV效应似乎在中国股市中独立共存。同时考虑表明中国投资者的风险寻求行为的强有力证据，我们的结果部分支持负MAX效应是由投资者对具有博彩特征的股票的偏好所驱动这一观点。

关键词：股票收益的横截面，极端回报，可预测性，中国

Do extreme returns matter in emerging markets? Evidence from the Chinese stock market

Gilbert V. Nartea (Department of Finance, University of Waikato), Dongmin Kong (Department of Finance, Zhongnan University of Economics and Law), Ji Wu (School of Economics and Finance, Massey University)

ABSTRACT

Recent evidence in the U.S. and Europe indicates that stocks with high maximum daily returns in the previous month, perform poorly in the current month. We investigate the presence of a similar effect in the emerging Chinese stock markets with portfolio-level analysis and firm-level Fama–MacBeth cross-sectional regressions. We find evidence of a MAX effect similar to the U.S. and European markets. However, contrary to U.S. and European evidence, the MAX effect in China does not weaken much less reverse the anomalous idiosyncratic volatility (IV) effect. Both the MAX and IV effects appear to independently coexist in the Chinese stock markets. Interpreted together with the strong evidence of risk-seeking behaviour among Chinese investors, our results partially support the suggestion that the negative MAX effect is driven by investor preference for stocks with lottery-like features.

Keywords: Cross-section of stock returns, Extreme returns, Predictability, China

原文链接：

http://www.sciencedirect.com/science/article/pii/S0378426616302588

翻译：贾梦悦