
前景理论的预测能力:基于股改的实证分析
Predictive Power of Prospect Theory: Evidence from Chinese Stock Market
自1980年代以来,前景理论已被证明在各种市场中具有预测能力.以往的文献表明,个人投资者在做出投资决策时更多地依赖于他们的直觉.本文以股权分置改革作为外生冲击,利用中国A股数据直接检验前景理论的预测能力.实证证据一致表明,前景理论对中国A股的个股收益具有显著的预测能力,尤其是对个人投资者占主导地位的非国有企业.与西方市场上的发现所不同的是,前景理论的所有三个组成部分(损失厌恶、概率加权和凹凸性)都对前景理论的预测能力有显著贡献.股权分置改革后,前景理论及其三个组成部分对于个股收益的预测能力较股权分置改革前更强,这一预测能力的增强对于国有企业尤为显著.
Since the 1980s, prospect theory has been showed to have predictive power in various markets. Previous literature suggest that individual investors rely more on their intuition when making investment decisions. In this paper, using equity division reform as exogenous shock and Chinese stock market data, we directly test the predictive power of prospect theory. The empirical evidences consistently show that prospect theory has significant predictive power in Chinese stock market, especially for individual investors dominated Non-SOEs. Different from previous findings, all the three components of prospect theory significantly contribute to PTV's predictive power. After the equity division reform, the predictive power of prospect theory and its three components is much stronger, especially for SOEs.
前景理论 / 中国股市 / 损失厌恶 / 概率加权 {{custom_keyword}} /
prospect theory / Chinese stock market / loss aversion / probability weighting {{custom_keyword}} /
表1 变量统计量 |
子表A. 均值统计量 | ||||||||||||||
PTV | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | ||
所有公司 | Mean | –0.06 | 1.02 | 7.95 | –1.17 | –0.01 | 3.44 | 0.02 | 0.05 | 0.04 | 0.00 | –0.05 | 0.88 | 1.62 |
Std. Dev. | 0.01 | 0.05 | 0.56 | 0.36 | 0.02 | 3.62 | 0.01 | 0.02 | 0.03 | 0.00 | 0.06 | 0.17 | 2.15 | |
国有企业 | Mean | –0.06 | 1.00 | 8.11 | –1.08 | –0.02 | 3.20 | 0.02 | 0.05 | 0.04 | 0.00 | –0.06 | 0.88 | 1.62 |
Std. Dev. | 0.01 | 0.06 | 0.56 | 0.36 | 0.03 | 4.04 | 0.01 | 0.02 | 0.03 | 0.01 | 0.10 | 0.15 | 2.12 | |
非国有企业 | Mean | –0.06 | 1.06 | 7.63 | –1.29 | 0.00 | 3.77 | 0.02 | 0.06 | 0.04 | 0.00 | –0.07 | 0.87 | 1.65 |
Std. Dev. | 0.01 | 0.05 | 0.59 | 0.40 | 0.04 | 3.40 | 0.01 | 0.02 | 0.03 | 0.02 | 0.05 | 0.20 | 2.28 | |
子表B. 相关系数矩阵 | ||||||||||||||
PTV | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | |||
Beta | 0.32 | |||||||||||||
Size | 0.21 | –0.20 | ||||||||||||
BM | –0.17 | –0.11 | 0.07 | |||||||||||
MOM | 0.38 | 0.04 | 0.19 | –0.28 | ||||||||||
ILLIQ | –0.02 | –0.02 | –0.18 | –0.16 | 0.00 | |||||||||
REV | 0.11 | 0.02 | 0.05 | –0.10 | 0.01 | –0.02 | ||||||||
LTREV | 0.57 | 0.09 | 0.25 | –0.18 | –0.07 | 0.00 | –0.03 | |||||||
IVOL | 0.01 | 0.16 | –0.12 | –0.13 | 0.07 | –0.04 | 0.20 | –0.05 | ||||||
MAX | 0.05 | 0.13 | –0.07 | –0.12 | 0.07 | –0.03 | 0.28 | –0.02 | 0.71 | |||||
MIN | –0.07 | 0.09 | –0.10 | 0.05 | –0.04 | –0.06 | –0.18 | –0.07 | 0.39 | 0.13 | ||||
SK | 0.59 | 0.37 | 0.03 | –0.10 | 0.13 | 0.00 | 0.04 | 0.23 | 0.08 | 0.07 | 0.02 | |||
IndSK | 0.00 | 0.01 | –0.02 | 0.02 | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
注:该表报告了各个变量的统计量.样本涵盖1996年1月至2015年6月.子表A报告时间序列均值和标准偏差.子表B报告整个样本变量之间的相关系数. PTV是股票历史收益分布的前景理论值; Beta、Size、BM是特征变量, 分别是按照Fama and French (1992)计算的股票的Beta、市值(百万)对数和账面市值比的对数; MOM是动量, 定义为从 |
表2 投资组合收益 |
Low | P2 | P3 | P4 | P5 | P6 | P7 | P8 | P9 | High | L-H | |
子表A. 所有公司 | |||||||||||
超额收益 | 1.434*** (3.45) | 0.350 (1.37) | 0.472 (1.61) | –0.173 (–0.91) | 0.413* (1.80) | 0.077 (0.61) | –0.105 (–0.52) | –0.169 (–0.98) | –0.484** (–2.45) | –0.564** (–2.16) | 1.998*** (3.62) |
三因子alpha | 0.904** (2.32) | 0.782** (2.02) | 0.768*** (3.50) | 0.690*** (3.92) | 0.433*** (2.92) | 0.610*** (3.46) | –0.114 (–0.72) | –0.111 (–0.58) | –0.597** (–2.40) | –1.221*** (–3.86) | 2.124*** (3.34) |
五因子alpha | 1.166*** (2.64) | 1.064** (2.43) | 0.870*** (3.48) | 0.800*** (4.06) | 0.463*** (2.73) | 0.476** (2.37) | –0.155 (–0.86) | –0.069 (–0.32) | –0.682** (–2.42) | –1.312*** (–3.65) | 2.478*** (3.43) |
特征调整后收益 | 1.081*** (4.94) | 0.830*** (4.26) | 0.767*** (3.14) | 0.216 (1.22) | 0.621*** (2.69) | 0.137 (1.22) | –0.117 (–0.55) | –0.303* (–1.86) | –0.747*** (–4.08) | –0.886*** (–5.03) | 1.967*** (6.11) |
子表B. 国有企业 | |||||||||||
超额收益 | 0.569** (1.98) | 0.317 (0.95) | 0.518 (1.45) | –0.305 (–1.33) | 0.232 (0.85) | 0.012 (0.07) | –0.177 (–0.89) | –0.138 (–0.72) | –0.488** (–2.20) | –0.722** (–2.40) | 1.292*** (2.84) |
三因子alpha | 0.709* (1.91) | 0.563 (1.44) | 0.864*** (3.41) | 0.696*** (2.99) | 0.518** (2.39) | 0.861*** (3.19) | –0.123 (–0.53) | 0.048 (0.20) | –0.353 (–1.19) | –1.226*** (–3.33) | 1.935*** (3.07) |
五因子alpha | 0.929** (2.19) | 0.790* (1.78) | 0.804*** (2.78) | 0.748*** (2.82) | 0.562** (2.27) | 0.726** (2.36) | –0.182 (–0.70) | 0.102 (0.37) | –0.464 (–1.37) | –1.333*** (–3.18) | 2.262*** (3.15) |
特征调整后收益 | 0.828*** (4.42) | 0.981*** (3.75) | 1.123*** (3.53) | 0.282 (1.36) | 0.542** (2.03) | 0.100 (0.61) | –0.120 (–0.58) | –0.184 (–1.19) | –0.694*** (–3.45) | –0.909*** (–3.98) | 1.738*** (5.78) |
子表C. 非国有企业 | |||||||||||
超额收益 | 2.778*** (3.17) | 0.475 (1.41) | 0.699* (1.90) | 0.280 (1.03) | 0.566* (1.70) | –0.034 (–0.16) | 0.011 (0.05) | –0.376 (–1.62) | 0.070 (0.23) | –0.539** (–1.83) | 3.317*** (3.47) |
三因子alpha | 1.205** (2.10) | 0.928** (2.04) | 0.788* (1.74) | 0.900** (2.01) | 0.537* (1.95) | 0.623** (2.36) | –0.129 (–0.42) | 0.059 (0.19) | –0.683* (–1.82) | –1.283*** (–3.75) | 2.487*** (3.26) |
五因子alpha | 1.579** (2.41) | 1.290** (2.54) | 1.159** (2.40) | 1.209** (2.47) | 0.676** (2.18) | 0.529* (1.78) | –0.163 (–0.49) | 0.085 (0.25) | –0.599 (–1.45) | –1.221*** (–3.22) | 2.800*** (3.25) |
特征调整后收益 | 1.460*** (3.79) | 0.465 (1.60) | 0.548* (1.69) | 0.264 (1.15) | 0.556* (1.88) | 0.008 (0.04) | –0.116 (–0.63) | –0.614*** (–2.62) | –0.283 (–1.01) | –0.877*** (–3.62) | 2.337*** (4.77) |
注:该表列出了按PTV排序的投资组合收益(百分比)和alpha值. PTV是股票历史收益分布的前景理论值.所有股票都根据PTV的大小分为十个投资组合.我们报告超额收益、三因子alpha、五因子alpha和特征调整后收益.三因子alpha是由Fama-French三因子调整后的收益; 五因子alpha是由Fama-French三因子、Carhart第四因子UMD以及Pastor-Stambaugh的LIQ流动性指标调整后的收益; 特征调整后收益是由特征变量(公司规模、BM和MOM)调整后的收益. L-H是做多最低PTV的投资组合并做空最高PTV的投资组合的差值投资组合的等权重平均收益.样本涵盖1996年1月至2015年6月.括号中为T统计量, *、**和***分别表示在10 %、5 %和1 %水平上显著. |
表3 回归分析 |
PTV | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | R2 | |
子表A. 所有公司 | ||||||||||||||
模型1 | –0.111 | 0.070 | 0.140 | –0.198 | –0.072 | 0.151 | ||||||||
(–7.40) | (3.58) | (8.32) | (–12.70) | (–5.52) | ||||||||||
模型 2 | –0.111 | 0.075 | 0.122 | –0.208 | –0.077 | –0.073 | –0.095 | 0.174 | ||||||
(–7.68) | (3.94) | (6.97) | (–15.19) | (–6.08) | (–2.76) | (–5.44) | ||||||||
模型 3 | –0.102 | 0.075 | 0.132 | –0.213 | –0.076 | –0.068 | –0.117 | –0.008 | 0.190 | 0.187 | ||||
(–7.44) | (3.95) | (7.41) | (–15.33) | (–6.24) | (–2.40) | (–5.47) | (–0.75) | (5.30) | ||||||
模型 4 | –0.081 | 0.070 | 0.163 | –0.260 | –0.133 | –0.073 | –0.077 | 0.010 | 0.100 | –0.096 | –0.113 | 0.212 | ||
(–6.47) | (3.36) | (9.60) | (–16.60) | (–10.75) | (–2.66) | (–3.14) | (0.98) | (2.82) | (–7.60) | (–13.53) | ||||
模型 5 | –0.054 | 0.081 | 0.156 | –0.268 | –0.149 | –0.079 | –0.070 | 0.011 | 0.107 | –0.097 | –0.126 | –0.020 | 0.074 | 0.220 |
(–3.06) | (3.58) | (8.07) | (–16.30) | (–10.32) | (–2.78) | (–2.67) | (1.19) | (3.19) | (–7.17) | (–13.39) | (–2.10) | (1.60) | ||
子表B. 国有企业 | ||||||||||||||
模型 5 | –0.050 | 0.059 | 0.132 | –0.271 | –0.133 | –0.053 | –0.094 | 0.013 | 0.153 | –0.091 | –0.129 | –0.022 | 0.157 | 0.231 |
(–2.04) | (2.90) | (8.01) | (–15.11) | (–11.91) | (–1.34) | (–4.70) | (1.13) | (3.62) | (–8.28) | (–13.18) | (–2.20) | (1.34) | ||
子表C. 非国有企业 | ||||||||||||||
模型 5 | –0.060 | 0.070 | 0.234 | –0.248 | –0.180 | 0.058 | –0.068 | 0.005 | 0.086 | –0.100 | –0.177 | –0.023 | 0.097 | 0.251 |
(–2.01) | (2.64) | (11.48) | (–14.47) | (–10.36) | (1.43) | (–3.03) | (0.33) | (2.03) | (–9.21) | (–11.16) | (–2.05) | (1.28) |
注:该表报告了Fama-MacBeth回归的标准化估计系数.PTV是股票历史收益分布的前景理论值; Beta、Size、BM是特征变量,分别是按照Fama and French(1992)计算的股票的Beta、市值(百万)对数和账面市值比的对数;MOM是动量, 定义为从t-12到t-2月的累积收益(百分比);ILLIQ是Amihud (2002)衡量非流动性的指标; IVOL是异质收益波动率;MAX和MIN是t-1月的最大和负最小每日收益(以百分比表示);REV是短期反转收益, 以滞后的月度收益(百分比)来计算;LTREV是长期反转收益, 计算为从t-60月到t-13月的累积收益(百分比);SK是过去五年月收益的偏度;IndSK是行业内股票的横截面偏度.我们采用中国证监会 (CSRC)的行业分类对公司进行分类,同一行业的所有公司拥有相同的行业偏度.样本涵盖1996年1月至2015年6月.括号中的所有 |
表4 PTV组成成分: LA、CC和PW的Fama-MacBeth回归 |
子表A. 所有公司 | |||||||||||||||
PTV | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | R2 | ||
PTV | –0.054 | 0.081 | 0.156 | –0.268 | –0.149 | –0.079 | –0.070 | 0.011 | 0.107 | –0.097 | –0.126 | –0.020 | 0.074 | 0.220 | |
(–3.06) | (3.58) | (8.07) | (–16.30) | (–10.32) | (–2.78) | (–2.67) | (1.19) | (3.19) | (–7.17) | (–13.39) | (–2.10) | (1.60) | |||
LA | –0.103 | 0.080 | 0.159 | –0.274 | –0.148 | –0.077 | –0.076 | 0.011 | 0.103 | –0.098 | –0.122 | 0.002 | 0.061 | 0.221 | |
(–6.50) | (3.70) | (8.38) | (–15.40) | (–10.54) | (–2.78) | (–3.13) | (1.18) | (3.00) | (–7.10) | (–13.34) | (0.30) | (1.37) | |||
CC | –0.233 | 0.076 | 0.168 | –0.289 | –0.072 | –0.077 | –0.085 | 0.011 | 0.116 | –0.073 | –0.008 | 0.010 | 0.051 | 0.221 | |
(–12.77) | (3.70) | (9.09) | (–15.68) | (–5.30) | (–2.76) | (–3.65) | (1.24) | (3.35) | (–5.52) | (–1.03) | (1.59) | (1.15) | |||
PW | –0.353 | 0.085 | 0.168 | –0.263 | –0.103 | –0.074 | –0.079 | 0.004 | 0.116 | –0.078 | –0.067 | 0.044 | 0.073 | 0.218 | |
(–8.73) | (3.91) | (9.74) | (–17.06) | (–7.36) | (–2.69) | (–3.26) | (0.43) | (3.41) | (–7.35) | (–6.77) | (5.30) | (1.63) | |||
LACC | –0.123 | 0.081 | 0.159 | –0.273 | –0.141 | –0.077 | –0.081 | 0.010 | 0.106 | –0.095 | –0.113 | 0.005 | 0.057 | 0.220 | |
(–8.73) | (3.80) | (8.65) | (–15.20) | (–10.23) | (–2.80) | (–3.46) | (1.14) | (3.05) | (–6.93) | (–13.00) | (0.81) | (1.27) | |||
LAPW | –0.063 | 0.081 | 0.156 | –0.263 | –0.146 | –0.080 | –0.072 | 0.011 | 0.112 | –0.095 | –0.130 | –0.029 | 0.074 | 0.219 | |
(–4.21) | (3.55) | (8.30) | (–17.01) | (–10.19) | (–2.81) | (–2.79) | (1.17) | (3.33) | (–7.51) | (–13.70) | (–2.97) | (1.59) | |||
CCPW | –0.316 | 0.049 | 0.158 | –0.232 | –0.084 | –0.032 | –0.111 | 0.020 | 0.119 | –0.059 | 0.037 | 0.070 | 0.013 | 0.225 | |
(–3.30) | (2.01) | (6.81) | (–11.33) | (–2.71) | (–0.82) | (–4.94) | (1.85) | (2.90) | (–2.01) | (0.34) | (2.83) | (0.18) | |||
子表B. 国有企业 | |||||||||||||||
PTV | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | R2 | ||
PTV | –0.050** | 0.059*** | 0.132*** | –0.271*** | –0.133*** | –0.053 | –0.094*** | 0.013 | 0.153*** | –0.091*** | –0.129*** | –0.022** | 0.157 | 0.231 | |
(–2.04) | (2.90) | (8.01) | (–15.11) | (–11.91) | (–1.34) | (–4.70) | (1.13) | (3.62) | (–8.28) | (–13.18) | (–2.20) | (1.34) | |||
LA | –0.101*** | 0.074*** | 0.140*** | –0.276*** | –0.132*** | –0.057 | –0.121*** | 0.028* | 0.138*** | –0.095*** | –0.127*** | 0.002 | 0.149 | 0.231 | |
(–7.52) | (3.03) | (8.26) | (–12.46) | (–11.03) | (–1.45) | (–4.79) | (1.74) | (3.18) | (–7.05) | (–12.68) | (0.35) | (1.31) | |||
CC | –0.209*** | 0.077*** | 0.148*** | –0.290*** | –0.041*** | –0.045 | –0.138*** | 0.030* | 0.149*** | –0.065*** | 0.004 | 0.007 | 0.169 | 0.234 | |
(–13.68) | (2.91) | (7.61) | (–15.05) | (–3.16) | (–1.05) | (–4.13) | (1.77) | (3.23) | (–5.08) | (0.39) | (1.10) | (1.35) | |||
PW | –0.297*** | 0.067*** | 0.141*** | –0.274*** | –0.076*** | –0.052 | –0.116*** | 0.026* | 0.237** | –0.076*** | –0.047*** | 0.059*** | 0.193* | 0.231 | |
(–10.11) | (2.80) | (8.27) | (–12.90) | (–6.21) | (–1.30) | (–5.25) | (1.74) | (2.45) | (–5.52) | (–3.69) | (6.23) | (1.94) | |||
LACC | –0.109*** | 0.074*** | 0.139*** | –0.274*** | –0.125*** | –0.056 | –0.124*** | 0.027* | 0.143*** | –0.091*** | –0.120*** | 0.006 | 0.148 | 0.231 | |
(–8.71) | (3.08) | (8.21) | (–12.56) | (–10.35) | (–1.41) | (–4.91) | (1.75) | (3.27) | (–6.88) | (–11.77) | (1.05) | (1.33) | |||
LAPW | –0.037** | 0.059*** | 0.133*** | –0.269*** | –0.129*** | –0.051 | –0.099*** | 0.018 | 0.251** | –0.091*** | –0.128*** | –0.028*** | 0.156 | 0.230 | |
(–2.23) | (2.87) | (8.11) | (–15.81) | (–11.56) | (–1.31) | (–5.10) | (1.55) | (2.24) | (–8.08) | (–12.90) | (–2.69) | (1.42) | |||
CCPW | –0.287*** | 0.050*** | 0.161*** | –0.251*** | –0.118*** | 0.018 | –0.088*** | 0.026* | 0.110** | –0.089*** | –0.004 | 0.097*** | 0.056 | 0.231 | |
(–11.33) | (2.59) | (9.21) | (–17.84) | (–4.81) | (0.36) | (–3.98) | (1.98) | (2.29) | (–5.12) | (–0.13) | (10.38) | (1.01) | |||
子表C. 非国有企业 | |||||||||||||||
PTV | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | R2 | ||
PTV | –0.060** | 0.070*** | 0.234*** | –0.248*** | –0.180*** | 0.058 | –0.068*** | 0.005 | 0.086** | –0.100*** | –0.177*** | –0.023** | 0.097 | 0.251 | |
(–2.01) | (2.64) | (11.48) | (–14.47) | (–10.36) | (1.43) | (–3.03) | (0.33) | (2.03) | (–9.21) | (–11.16) | (–2.05) | (1.28) | |||
LA | –0.112*** | 0.078*** | 0.235*** | –0.256*** | –0.191*** | 0.051 | –0.083*** | 0.003 | 0.366 | –0.101*** | –0.185*** | –0.003 | 0.049 | 0.260 | |
(–5.00) | (2.94) | (9.95) | (–12.11) | (–9.73) | (1.23) | (–2.79) | (0.18) | (1.38) | (–9.38) | (–11.48) | (–0.46) | (0.60) | |||
CC | –0.303*** | 0.072*** | 0.235*** | –0.290*** | –0.098*** | 0.056 | –0.073** | –0.023 | 0.443 | –0.050 | –0.034* | 0.027 | –0.090 | 0.274 | |
(–8.78) | (2.60) | (9.37) | (–10.19) | (–5.37) | (1.33) | (–2.25) | (–0.99) | (1.47) | (–1.50) | (–1.72) | (1.25) | (–0.59) | |||
PW | –0.497*** | 0.097*** | 0.258*** | –0.247*** | –0.134*** | 0.056 | –0.073** | –0.007 | 0.321 | –0.113*** | –0.162*** | 0.031* | 0.065 | 0.274 | |
(–4.89) | (3.56) | (9.65) | (–11.38) | (–7.06) | (1.34) | (–2.54) | (–0.38) | (1.24) | (–4.39) | (–4.50) | (1.83) | (0.49) | |||
LACC | –0.187*** | 0.067** | 0.218*** | –0.272*** | –0.233*** | 0.024 | –0.004 | –0.024 | 0.300 | –0.144*** | –0.168*** | 0.000 | 0.208 | 0.274 | |
(–4.17) | (2.38) | (8.11) | (–8.11) | (–4.33) | (0.55) | (–0.06) | (–1.00) | (1.18) | (–3.86) | (–10.87) | (–0.03) | (1.00) | |||
LAPW | –0.076** | 0.076** | 0.237*** | –0.244*** | –0.149*** | 0.056 | –0.059 | –0.026 | 0.353 | –0.092*** | –0.204*** | –0.057*** | –0.089 | 0.277 | |
(–2.42) | (2.55) | (9.54) | (–9.29) | (–3.80) | (1.31) | (–1.26) | (–1.03) | (1.26) | (–4.36) | (–9.94) | (–3.45) | (–0.67) | |||
CCPW | –0.432* | 0.059 | 0.245*** | –0.255*** | –0.205*** | 0.208** | –0.075* | 0.031 | 0.117 | –0.100** | 0.032 | 0.093*** | 0.155 | 0.294 | |
(–1.65) | (1.09) | (10.50) | (–8.08) | (–3.12) | (2.35) | (–1.89) | (1.33) | (1.54) | (–2.13) | (0.11) | (3.55) | (1.41) |
注:该表报告了Fama-MacBeth回归的标准化估计系数. PTV是股票历史收益分布的前景理论值; Beta、Size、BM是特征变量, 分别是按照Fama and French (1992)计算的股票的Beta、市值(百万)对数和账面市值比的对数; MOM是动量, 定义为从t-12到t-2月的累积收益(百分比); ILLIQ是Amihud (2002)衡量非流动性的指标; IVOL是异质收益波动率; MAX和MIN是t-1月的最大和负最小每日收益(以百分比表示); REV是短期反转收益, 以滞后的月度收益(百分比)来计算; LTREV是长期反转收益, 计算为从t-60月到t-13月的累积收益(百分比); SK是过去五年月收益的偏度; IndSK是行业内股票的横截面偏度.我们采用中国证监会(CSRC)的行业分类对公司进行分类, 同一行业的所有公司拥有相同的行业偏度.样本涵盖1996年1月至2015年6月.括号中的所有t统计量均经过12阶Newey-West调整, *、**和***分别表示在10 %、5 %和1%水平上显著. |
表5 股改前后投资组合分析 |
子表A. 股改前后国有企业和非国有企业的个人持股 | ||||||||||||
类型 | 公司数量 | 股改前 | 股改后 | 变化 | 变化的T值 | |||||||
国有企业 | 977 | 0.34 | 0.42 | 0.08 | 1.97 | |||||||
非国有企业 | 1,599 | 0.81 | 0.85 | 0.04 | 1.65 | |||||||
所有公司 | 2,576 | 0.41 | 0.49 | 0.08 | 2.56 | |||||||
子表B. 股改前后投资组合收益 | ||||||||||||
Low | P2 | P3 | P4 | P5 | P6 | P7 | P8 | P9 | High | L-H | ||
所有公司 | 股改前 | 0.413 | 0.367 | 0.156 | 0.111 | –0.025 | 0.044 | –0.049 | 0.015 | –0.359 | –0.201 | 0.614 |
(2.00) | (3.27) | (1.41) | (1.21) | (–0.29) | (0.42) | (–0.44) | (0.12) | (–2.29) | (–1.24) | (1.91) | ||
股改后 | 0.755 | 1.001 | 0.290 | 0.503 | 0.482 | –0.048 | 0.072 | –0.438 | –0.584 | –0.952 | 1.707 | |
(1.84) | (3.39) | (1.48) | (2.69) | (2.78) | (–0.34) | (0.41) | (–1.60) | (–1.77) | (–2.79) | (2.66) | ||
国有企业 | 股改前 | 0.457 | 0.514 | 0.169 | 0.306 | 0.125 | 0.101 | 0.117 | 0.079 | –0.229 | –0.233 | 0.691 |
(2.29) | (3.69) | (1.32) | (2.34) | (1.12) | (0.76) | (0.88) | (0.45) | (–1.48) | (–1.27) | (2.07) | ||
股改后 | 0.660 | 1.011 | 0.377 | 0.685 | 0.658 | 0.138 | 0.052 | –0.414 | –0.506 | –1.027 | 1.687 | |
(2.45) | (3.43) | (1.71) | (2.69) | (3.08) | (0.68) | (0.23) | (–1.29) | (–1.32) | (–2.29) | (2.84) | ||
非国有企业 | 股改前 | 0.435 | 0.149 | 0.062 | –0.280 | –0.429 | –0.106 | –0.292 | –0.270 | –0.692 | –0.639 | 1.074 |
(1.32) | (0.76) | (0.28) | (–1.70) | (–1.82) | (–0.64) | (–1.29) | (–1.59) | (–2.70) | (–2.27) | (2.27) | ||
股改后 | 1.084 | 0.577 | 0.261 | 0.498 | 0.120 | –0.383 | 0.195 | –0.735 | –0.560 | –0.743 | 1.827 | |
(1.44) | (1.28) | (0.75) | (1.40) | (0.38) | (–1.11) | (0.75) | (–2.23) | (–1.77) | (–2.25) | (2.22) |
注:该表报告了股改前后的投资组合收益.子表A报告了国有企业和非国有企业以及所有样本的股改前和股改后的个人持股情况,子表B报告了按PTV排序的投资组合的超额收益.最右边的列列出了做多最低PTV的组合并做空最高PTV的组合的差异投资组合的平均收益.样本涵盖2001年5月至2009年4月.括号中为T统计量,*、**和***分别表示在10 %、5 %和1 %水平上显著. |
表6 带有哑变量的混合回归 |
PTV | PTV·D | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | R2 | |
所有公司 | –0.029*** | –0.042*** | 0.064*** | 0.126*** | –0.122*** | –0.091*** | –0.046*** | –0.067*** | –0.011 | 0.021*** | –0.094*** | –0.122*** | –0.058*** | –0.043*** | 0.037 |
(–5.73) | (–7.30) | (15.13) | (28.25) | (–27.36) | (–20.93) | (–11.77) | (–7.49) | (–1.63) | (3.15) | (–23.58) | (–27.33) | (–13.62) | (–11.01) | ||
国有企业 | –0.028*** | –0.035*** | 0.070*** | 0.112*** | –0.136*** | –0.100*** | –0.039*** | –0.065*** | –0.011 | 0.015* | –0.084*** | –0.133*** | –0.071*** | –0.048*** | 0.035 |
(–4.64) | (–4.87) | (12.95) | (20.51) | (–24.78) | (–18.32) | (–7.83) | (–5.63) | (–1.29) | (1.79) | (–16.23) | (–21.09) | (–12.90) | (–9.76) | ||
非国有企业 | –0.043*** | –0.048*** | 0.061*** | 0.172*** | –0.093*** | –0.094*** | –0.021*** | –0.049*** | –0.023* | 0.036*** | –0.117*** | –0.108*** | –0.038*** | –0.031*** | 0.046 |
(–4.14) | (–4.15) | (7.53) | (19.27) | (–11.47) | (–11.69) | (–2.80) | (–2.93) | (–1.83) | (3.00) | (–15.09) | (–12.86) | (–4.95) | (–4.20) |
注:该表报告了带有哑变量的混合回归的标准化估计系数.回归模型为 |
表7 PTV组成成分股改前和股改后的投资组合收益 |
子表A. 所有公司 | ||||||||||||
Low | P2 | P3 | P4 | P5 | P6 | P7 | P8 | P9 | High | L-H | ||
LA | 股改前 | 0.546** | 0.256 | 0.330*** | 0.028 | –0.041 | 0.133 | –0.051 | –0.187 | –0.346* | –0.251 | 0.798* |
(2.39) | (1.53) | (2.83) | (0.27) | (–0.44) | (1.34) | (–0.54) | (–1.49) | (–1.93) | (–1.05) | (1.91) | ||
股改后 | 0.862** | 0.897** | 0.544* | 0.393* | 0.573*** | 0.304* | –0.085 | –0.381 | –0.760** | –1.139** | 2.001*** | |
(2.33) | (2.44) | (1.88) | (1.88) | (3.14) | (1.67) | (–0.49) | (–1.58) | (–2.05) | (–2.32) | (2.65) | ||
CC | 股改前 | 0.456*** | 0.474*** | 0.331*** | 0.217* | 0.279*** | –0.136 | 0.148 | –0.290*** | –0.369*** | –0.669*** | 1.125*** |
(3.30) | (4.22) | (2.98) | (1.91) | (2.90) | (–1.26) | (1.16) | (–2.97) | (–2.62) | (–2.95) | (3.71) | ||
股改后 | 1.491*** | 1.581*** | 0.986*** | 0.599*** | 0.511** | –0.164 | –0.405** | –0.822*** | –1.064*** | –1.282** | 2.774*** | |
(3.72) | (4.79) | (3.94) | (2.57) | (2.19) | (–0.90) | (–2.27) | (–3.16) | (–2.65) | (–2.41) | (3.42) | ||
PW | 股改前 | 0.385*** | 0.292** | 0.353*** | 0.200* | 0.097 | –0.063 | 0.032 | –0.190 | –0.232* | –0.466*** | 0.850*** |
(3.12) | (2.39) | (4.67) | (1.85) | (1.04) | (–0.66) | (0.32) | (–1.47) | (–1.93) | (–2.84) | (3.69) | ||
股改后 | 1.120*** | 1.287*** | 1.067*** | 0.594*** | 0.117 | –0.164 | –0.430** | –0.499** | –0.994*** | –0.920*** | 2.040*** | |
(2.98) | (4.40) | (4.83) | (3.16) | (0.88) | (–0.95) | (–2.46) | (–1.96) | (–3.13) | (–3.41) | (3.89) | ||
子表B. 国有企业 | ||||||||||||
Low | P2 | P3 | P4 | P5 | P6 | P7 | P8 | P9 | High | L-H | ||
LA | 股改前 | 0.606** | 0.408** | 0.326*** | 0.206 | 0.056 | 0.234* | 0.096 | 0.005 | –0.303 | –0.199 | 0.805* |
(2.55) | (2.40) | (2.57) | (1.54) | (0.38) | (1.72) | (0.71) | (0.04) | (–1.46) | (–0.80) | (1.87) | ||
股改后 | 1.000*** | 0.897*** | 0.626** | 0.629** | 0.770*** | 0.314 | 0.075 | –0.227 | –0.810* | –1.248** | 2.247*** | |
(3.23) | (2.91) | (2.17) | (2.34) | (3.46) | (1.35) | (0.31) | (–0.72) | (–1.95) | (–2.29) | (3.15) | ||
CC | 股改前 | 0.514*** | 0.576*** | 0.431*** | 0.304** | 0.361*** | –0.162 | 0.354** | –0.177 | –0.129 | –0.690*** | 1.205*** |
(3.23) | (4.66) | (3.22) | (2.03) | (3.18) | (–1.42) | (2.01) | (–1.24) | (–0.71) | (–2.68) | (3.39) | ||
股改后 | 1.368*** | 1.833*** | 1.147*** | 0.907*** | 0.728*** | –0.182 | –0.471** | –0.652** | –0.776* | –1.529*** | 2.897*** | |
(4.56) | (5.09) | (4.27) | (3.42) | (2.79) | (–0.83) | (–2.13) | (–2.08) | (–1.66) | (–2.62) | (3.88) | ||
PW | 股改前 | 0.471*** | 0.359** | 0.383*** | 0.203 | 0.157 | 0.155 | 0.224** | –0.095 | –0.052 | –0.503* | 0.974*** |
(3.67) | (2.51) | (4.03) | (1.55) | (1.50) | (1.21) | (2.03) | (–0.55) | (–0.30) | (–2.12) | (3.24) | ||
股改后 | 0.779*** | 1.400*** | 1.066*** | 0.753*** | 0.308 | 0.093 | –0.319 | –0.491 | –1.109*** | –0.904* | 1.683*** | |
(3.20) | (4.96) | (4.27) | (3.09) | (1.41) | (0.39) | (–1.54) | (–1.63) | (–2.92) | (–2.16) | (3.01) | ||
子表C. 非国有企业 | ||||||||||||
Low | P2 | P3 | P4 | P5 | P6 | P7 | P8 | P9 | High | L-H | ||
LA | 股改前 | 0.556* | –0.051 | 0.254 | –0.370** | –0.255 | –0.236 | –0.272 | –0.579*** | –0.307 | –0.770** | 1.326** |
(1.77) | (–0.18) | (1.45) | (–2.34)) | (–1.50) | (–1.28) | (–1.57) | (–3.16) | (–1.03) | (–2.21) | (2.44) | ||
股改后 | 0.812 | 0.890 | 0.486 | 0.054 | 0.229 | 0.270 | –0.223 | –0.630** | –0.645 | –0.948* | 1.761** | |
(1.58) | (1.30) | (1.10) | (0.16) | (0.63) | (0.69) | (–0.68) | (–2.09) | (–1.58) | (–1.94) | (2.21) | ||
CC | 股改前 | 0.414* | 0.305 | 0.106 | 0.143 | 0.038 | –0.213 | –0.359** | –0.754*** | –0.663*** | –1.041*** | 1.455*** |
(1.82) | (1.45) | (0.56) | (1.01) | (0.18) | (–0.96) | (–2.42) | (–4.04) | (–2.79) | (–3.94) | (4.44) | ||
股改后 | 1.664** | 0.951** | 0.876** | 0.159 | 0.272 | –0.346 | –0.519* | –1.080** | –1.823*** | –0.593 | 2.257** | |
(2.49) | (2.33) | (2.35) | (0.43) | (0.63) | (–0.96) | (–1.85) | (–2.40) | (–4.16) | (–1.07) | (2.46) | ||
PW | 股改前 | 0.232 | 0.249 | 0.277 | 0.286 | –0.200 | –0.520** | –0.248 | –0.525** | –0.866*** | –0.612** | 0.844** |
(1.00) | (1.26) | (1.47) | (1.27) | (–1.23) | (–2.42) | (–1.19) | (–2.38) | (–4.62) | (–2.35) | (2.09) | ||
股改后 | 1.507** | 1.095** | 1.191** | 0.038 | –0.152 | –0.752** | –0.630* | –0.922*** | –0.565* | –0.655 | 2.162*** | |
(2.25) | (2.55) | (2.40) | (0.14) | (–0.45) | (–2.38) | (–1.76) | (–2.78) | (–1.79) | (–1.55) | (3.83) |
注:该表报告了按PTV组成成分排序的股改前和股改后投资组合的等权重平均超额收益.样本涵盖2001年5月至2009年4月.括号中为T统计量, *、**和***分别表示在10 %、5 %和1 %水平上显著. |
表8 PTV组成成分的混合回归结果 |
子表A. 所有公司 | |||||||||||||||
PTV | PTV·D | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | R2 | |
LA | –0.029 | –0.045 | 0.070 | 0.127 | –0.123 | –0.096 | –0.045 | –0.069 | –0.011 | 0.021 | –0.097 | –0.119 | –0.028 | –0.044 | 0.037 |
(–6.29) | (–8.01) | (16.58) | (28.50) | (–27.47) | (–20.98) | (–11.70) | (–7.65) | (–1.59) | (3.24) | (–23.55) | (–26.67) | (–6.93) | (–11.34) | ||
CC | –0.066 | –0.063 | 0.071 | 0.131 | –0.107 | –0.021 | –0.045 | –0.063 | –0.008 | 0.019 | –0.071 | –0.015 | –0.024 | –0.040 | 0.036 |
(–10.38) | (–10.12) | (17.20) | (29.31) | (–23.91) | (–4.18) | (–11.68) | (–7.13) | (–1.22) | (2.99) | (–17.23) | (–2.94) | (–5.89) | (–10.20) | ||
PW | –0.093 | –0.040 | 0.103 | 0.162 | –0.112 | –0.023 | –0.052 | –0.056 | –0.028 | –0.002 | –0.067 | –0.021 | 0.026 | –0.036 | 0.034 |
(–13.96) | (–6.10) | (18.87) | (29.63) | (–20.41) | (–4.58) | (–11.57) | (–5.46) | (–3.70) | (–0.20) | (–14.04) | (–3.49) | (4.68) | (–7.95) | ||
子表B. 国有企业 | |||||||||||||||
PTV | PTV·D | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | R2 | |
LA | –0.025 | –0.041 | 0.072 | 0.111 | –0.133 | –0.098 | –0.039 | –0.068 | –0.011 | 0.015 | –0.084 | –0.123 | –0.029 | –0.049 | 0.034 |
(–4.40) | (–5.74) | (13.45) | (20.30) | (–24.29) | (–16.74) | (–7.72) | (–5.89) | (–1.30) | (1.77) | (–16.25) | (–19.43) | (–5.68) | (–9.94) | ||
CC | –0.059 | –0.063 | 0.066 | 0.110 | –0.118 | –0.018 | –0.039 | –0.063 | –0.010 | 0.012 | –0.057 | –0.015 | –0.025 | –0.044 | 0.032 |
(–7.50) | (–7.97) | (12.17) | (19.99) | (–21.59) | (–2.77) | (–8.06) | (–5.49) | (–1.19) | (1.46) | (–10.72) | (–2.26) | (–4.96) | (–8.98) | ||
PW | –0.091 | –0.051 | 0.101 | 0.145 | –0.130 | –0.008 | –0.048 | –0.044 | –0.037 | –0.010 | –0.046 | 0.005 | 0.047 | –0.042 | 0.031 |
(–11.43) | (–6.29) | (15.99) | (20.50) | (–20.51) | (–1.22) | (–8.30) | (–3.37) | (–3.92) | (–1.03) | (–7.51) | (0.61) | (6.34) | (–7.26) | ||
子表C. 非国有企业 | |||||||||||||||
PTV | PTV·D | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | R2 | |
LA | –0.046 | –0.052 | 0.066 | 0.174 | –0.098 | –0.104 | –0.021 | –0.050 | –0.023 | 0.037 | –0.121 | –0.111 | –0.026 | –0.033 | 0.046 |
(–5.13) | (–4.80) | (8.39) | (19.40) | (–11.86) | (–12.38) | (–2.75) | (–2.96) | (–1.83) | (3.07) | (–15.63) | (–12.46) | (–3.38) | (–4.48) | ||
CC | –0.095 | –0.058 | 0.078 | 0.182 | –0.084 | –0.035 | –0.019 | –0.045 | –0.018 | 0.038 | –0.098 | –0.014 | –0.020 | –0.030 | 0.048 |
(–7.47) | (–4.72) | (9.97) | (20.37) | (–10.64) | (–3.71) | (–2.55) | (–2.70) | (–1.45) | (3.12) | (–12.49) | (–1.43) | (–2.59) | (–4.11) | ||
PW | –0.111 | –0.017 | 0.098 | 0.199 | –0.085 | –0.044 | –0.017 | –0.062 | –0.018 | 0.021 | –0.106 | –0.040 | 0.010 | –0.026 | 0.052 |
(–7.35) | (–1.17) | (10.33) | (18.19) | (–8.73) | (–4.75) | (–2.02) | (–3.25) | (–1.22) | (1.53) | (–11.86) | (–3.73) | (1.00) | (–2.95) |
注:该表报告了LA、CC和PW组成成分的混合回归分析结果.回归模型为: |
表9 股改对PTV预测能力影响的稳健性检验 |
PTV | PTV·D | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | R2 | |
LA | –0.029 | –0.045 | 0.070 | 0.127 | –0.123 | –0.096 | –0.045 | –0.069 | –0.011 | 0.021 | –0.097 | –0.119 | –0.028 | –0.044 | 0.037 |
(–6.29) | (–8.01) | (16.58) | (28.50) | (–27.47) | (–20.98) | (–11.70) | (–7.65) | (–1.59) | (3.24) | (–23.55) | (–26.67) | (–6.93) | (–11.34) | ||
CC | –0.066 | –0.063 | 0.071 | 0.131 | –0.107 | –0.021 | –0.045 | –0.063 | –0.008 | 0.019 | –0.071 | –0.015 | –0.024 | –0.040 | 0.036 |
(–10.38) | (–10.12) | (17.20) | (29.31) | (–23.91) | (–4.18) | (–11.68) | (–7.13) | (–1.22) | (2.99) | (–17.23) | (–2.94) | (–5.89) | (–10.20) | ||
PW | –0.093 | –0.040 | 0.103 | 0.162 | –0.112 | –0.023 | –0.052 | –0.056 | –0.028 | –0.002 | –0.067 | –0.021 | 0.026 | –0.036 | 0.034 |
(–13.96) | (–6.10) | (18.87) | (29.63) | (–20.41) | (–4.58) | (–11.57) | (–5.46) | (–3.70) | (–0.20) | (–14.04) | (–3.49) | (4.68) | (–7.95) | ||
子表B. 国有企业 | |||||||||||||||
PTV | PTV·D | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | R2 | |
LA | –0.025 | –0.041 | 0.072 | 0.111 | –0.133 | –0.098 | –0.039 | –0.068 | –0.011 | 0.015 | –0.084 | –0.123 | –0.029 | –0.049 | 0.034 |
(–4.40) | (–5.74) | (13.45) | (20.30) | (–24.29) | (–16.74) | (–7.72) | (–5.89) | (–1.30) | (1.77) | (–16.25) | (–19.43) | (–5.68) | (–9.94) | ||
CC | –0.059 | –0.063 | 0.066 | 0.110 | –0.118 | –0.018 | –0.039 | –0.063 | –0.010 | 0.012 | –0.057 | –0.015 | –0.025 | –0.044 | 0.032 |
(–7.50) | (–7.97) | (12.17) | (19.99) | (–21.59) | (–2.77) | (–8.06) | (–5.49) | (–1.19) | (1.46) | (–10.72) | (–2.26) | (–4.96) | (–8.98) | ||
PW | –0.091 | –0.051 | 0.101 | 0.145 | –0.130 | –0.008 | –0.048 | –0.044 | –0.037 | –0.010 | –0.046 | 0.005 | 0.047 | –0.042 | 0.031 |
(–11.43) | (–6.29) | (15.99) | (20.50) | (–20.51) | (–1.22) | (–8.30) | (–3.37) | (–3.92) | (–1.03) | (–7.51) | (0.61) | (6.34) | (–7.26) | ||
子表C. 非国有企业 | |||||||||||||||
PTV | PTV·D | Beta | Size | BM | MOM | ILLIQ | IVOL | MAX | MIN | REV | LTREV | SK | IndSK | R2 | |
LA | –0.046 | –0.052 | 0.066 | 0.174 | –0.098 | –0.104 | –0.021 | –0.050 | –0.023 | 0.037 | –0.121 | –0.111 | –0.026 | –0.033 | 0.046 |
(–5.13) | (–4.80) | (8.39) | (19.40) | (–11.86) | (–12.38) | (–2.75) | (–2.96) | (–1.83) | (3.07) | (–15.63) | (–12.46) | (–3.38) | (–4.48) | ||
CC | –0.095 | –0.058 | 0.078 | 0.182 | –0.084 | –0.035 | –0.019 | –0.045 | –0.018 | 0.038 | –0.098 | –0.014 | –0.020 | –0.030 | 0.048 |
(–7.47) | (–4.72) | (9.97) | (20.37) | (–10.64) | (–3.71) | (–2.55) | (–2.70) | (–1.45) | (3.12) | (–12.49) | (–1.43) | (–2.59) | (–4.11) | ||
PW | –0.111 | –0.017 | 0.098 | 0.199 | –0.085 | –0.044 | –0.017 | –0.062 | –0.018 | 0.021 | –0.106 | –0.040 | 0.010 | –0.026 | 0.052 |
(–7.35) | (–1.17) | (10.33) | (18.19) | (–8.73) | (–4.75) | (–2.02) | (–3.25) | (–1.22) | (1.53) | (–11.86) | (–3.73) | (1.00) | (–2.95) |
表10 股改对PTV预测能力影响的稳健性检验 |
所有公司 | 国有企业 | 非国有企业 | |
PTV | –0.038*** | –0.037*** | –0.048*** |
(–7.05) | (–5.56) | (–4.48) | |
PTV·D | –0.025*** | –0.022*** | –0.026** |
(–4.09) | (–2.76) | (–2.19) | |
Beta | 0.099*** | 0.101*** | 0.086*** |
(19.48) | (16.00) | (9.18) | |
Size | 0.160*** | 0.147*** | 0.195*** |
(29.22) | (20.83) | (17.76) | |
BM | –0.142*** | –0.153*** | –0.120*** |
(–25.91) | (–21.63) | (–11.46) | |
MOM | –0.118*** | –0.121*** | –0.120*** |
(–21.59) | (–17.08) | (–11.48) | |
ILLIQ | –0.051*** | –0.046*** | –0.020** |
(–11.45) | (–7.86) | (–2.22) | |
IVOL | –0.060*** | –0.053*** | –0.059*** |
(–5.75) | (–3.99) | (–3.02) | |
MAX | –0.034*** | –0.043*** | –0.025* |
(–4.41) | (–4.45) | (–1.69) | |
MIN | –0.008 | –0.015 | 0.016 |
(–1.00) | (–1.50) | (1.09) | |
REV | –0.104*** | –0.087*** | –0.137*** |
(–23.34) | (–13.79) | (–14.41) | |
LTREV | –0.151*** | –0.151*** | –0.146*** |
(–23.90) | (–19.53) | (–12.31) | |
SK | –0.105*** | –0.107*** | –0.097*** |
(–19.09) | (–15.06) | (–9.48) | |
IndSK | –0.040*** | –0.045*** | –0.029*** |
(–8.43) | (–7.53) | (–3.25) | |
PROFIT | 0.016*** | 0.015** | 0.013*** |
(3.20) | (2.09) | (3.77) | |
ACCRUAL | 0.002 | –0.010* | –0.001 |
(1.08) | (–1.80) | (–0.07) | |
AGROWTH | 0.032 | 0.025 | 0.032 |
(1.61) | (1.28) | (1.38) | |
R2 | 0.048 | 0.044 | 0.056 |
注:该表报告了LA、CC和PW组成成分的混合回归分析结果.回归模型为: |
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