中国股市正反馈交易涨强不对称的定价能力

中国市场存在显著的正反馈交易,且追涨程度远超过杀跌程度.这种现象本文称之为正反馈交易的涨强不对称.本文旨在研究这种涨强不对称是否具有定价能力.本文在Fama-French三因子模型的基础上构建了反转因子、正反馈因子和涨强不对称因子,对2010年以前上市的全部A股从1998年1月至2016年10月的数据进行实证检验.本文发现,涨强不对称因子的表现显著区别于正反馈因子和反转因子;尽管单一来看正反馈因子、反转因子和涨强不对称因子都有一定的定价能力,但在多因子模型中正反馈因子和反转因子的定价能力很弱,只有涨强不对称因子有显著的定价效果;且这种定价能力不是因为追涨、杀跌、流动性溢价或投资者情绪造成的.总之,涨强不对称是一个有别于传统因子的新定价因子,且其定价能力可能源于市场补偿非理性投机带来的风险.

Pricing power of rise-favor asymmetry of positive feedback trading in China's stock market

The positive feedback trading phenomenon is significant in Chinese market, and buying-winners effect is much stronger than selling-losers effect. We call it rise-favor asymmetry of positive feedback trading. This paper studies if this rise-favor asymmetry has asset pricing power. This paper constructs reversal factor, positive feedback factor, and rise-favor asymmetry factor based on Fama-French three factor, and uses a sample that spans from Jan 1998 to Oct 2016 and contains daily data of all A shares that become a listed company before 2010 to do empirical tests. The paper finds that, the performance of rise-favor asymmetry factor is quite different from that of positive feedback factor and reversal factor; Although these three factors all have some pricing power individually, the pricing power of positive feedback factor and reversal factor is weak in the multi-factor pricing model, and only rise-favor asymmetry factor can significantly promote the pricing power of multi-factor model; The pricing power of rise-favor asymmetry factor does not result from price-rising chasing behavior, price-dropping chasing behavior, liquidity risk premium, or investor sentiment. In sum, rise-favor asymmetry is a new pricing factor that different from traditional factors, and its pricing power may relate to the market's compensation on the risk of irrational speculation.