行业和地区视角下高交易量回报溢酬的影响因素

以我国A股上市公司为研究对象，考察行业和地区因素对高交易量回报溢酬的影响.分别使用去掉行业、地区因素影响前后的股票收益率，计算在各地区、行业中形成的零成本投资组合的平均净收益，检验高交易量回报溢酬存在范围的变化.结果表明:在我国A股市场的大多数行业或地区中，高交易量回报溢酬现象普遍存在.分别去掉行业、地区因素影响后，溢酬的存在范围发生变化，行业因素的影响大于地区因素，投资者对行业中异常高交易量股票的关注大于对地区中异常高交易量股票的关注.

Impact Factors of the High Volume Return Premium in Industry and District Aspect

Taking Chinese A-share listed companies as the research object, the impact of industrial and regional factors on high volume return premium were discussed. The average net returns of zero cost investment portfolios in each region and industry were calculated by using the stock returns before and after eliminating the industrial and regional effect respectively so as to examine the variation range of high volume return premium. The empirical results showed that the high volume return premium is ubiquitous in most of the industries and regions of the Chinese stock market. After eliminating the industrial and regional effect respectively, the high volume return premium is affected by both industrial and regional factors, and the industrial effect is more significant than the regional effect, which indicates that investors pay more attention to the abnormal industrial high volumes than the regional ones.