基于逐步回归模型探究非对称信息与股票超额收益的关系
Exploring the Relationship between Asymmetric Information and Stock Excess Returns Based on a Stepwise Regression Model
钱瑶 1柴金川2
作者信息
- 1. 北京邮电大学 理学院,北京 100876
- 2. 中国铁道科学研究院集团有限公司,北京 100081
- 折叠
摘要
本文基于Fama&French(1993)的思想和逐步回归分析模型从价差分解的角度探究非对称信息与超额收益率的关系,并按个股流通市值和账面市值比的大小将总样本进行分组,分析各子样本数据.研究结论表明,非对称信息对预期超额收益率存在显著影响,流通市值较小和账面市值比较大的一组,逆向选择成分对预期超额收益率影响较大,并且这种影响并不随非流动性指标等控制变量的加入而失去显著性,显示出价差中的逆向选择成分在度量非对称信息方面相对其它指标的优势和稳健性.
Abstract
Based on the ideas of Fama&French(1993)and the stepwise regression analysis model,this article explores the relationship between asymmetric information and excess returns from the perspective of price difference decomposition.The total sample is grouped according to the size of the circulating market value and book value ratio of individual stocks,and the data of each sub sample is analyzed.The research conclu-sion shows that asymmetric information has a significant impact on expected excess return.For the group with a small circulating market value and a large book value,the adverse selection component has a greater impact on expected excess return,and this impact does not lose significance with the addition of control variables such as non liquidity indicators.This shows that the adverse selection component of bid spreads has advan-tages and robustness over other indicators in measuring asymmetric information.
关键词
价差分解/非对称信息/逐步回归/超额收益率Key words
Price Difference Decomposition/Asymmetric Information/Stepwise Regression/Excess Return Rate引用本文复制引用
出版年
2024
NETL
NSTL
万方数据