流动性因子对收益率的预测偏差——基于微观结构噪声影响的分析
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| Title | Liquidity Factors and Prediction Bias of Returns——Based on the Influence of the Microstructure Noise
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| 作者 | 黄伟 林靓 罗荣华 周铭山 |
| Author | Huang Wei, Lin Jing, Luo Ronghua and Zhou Mingshan |
| 作者单位 | 西南财经大学金融学院 |
| Organization | School of Finance, Southwestern University of Finance and Economic |
| 作者Email | huangwei @swufe.edu.cn；clarence.lin@yahoo.com；ronghua@swufe.edu.cn；zhoumingshan@swufe.edu.cn |
| 中文关键词 | 微观结构噪声 预测偏差 偏差修正 |
| Key Words | Microstructure Noise; Prediction Bias; Bias Correction |
| 内容提要 | 流动性对资产定价的影响一直是理论和实务界关心的热点问题。本文首先从理论上证明：市场微观结构噪声会导致在截面资产定价模型中用OLS估计预期（非）流动性溢价时会发生偏差。偏差的大小与真实风险溢价的大小，以及（非）流动性因子与噪声的相关程度相关。如果（非）流动性因子与噪声相关，其对收益率的预测偏差是显著的；如果（非）流动性因子与噪声不相关，预测偏差则并不显著。然后，本文使用我国A股市场1998至2011年的数据，进行了相应的实证分析，验证了本文的理论结果。本文的理论和实证分析还进一步发现：使用上期总收益率作为权重的WLS估计可以简单而有效地修正上述偏差。在修正噪声的影响后，预期（非）流动性确实对股票收益率具有很好的预测作用。本文的研究结果对于理解流动性在我国资本市场的定价作用具有一定的价值。 |
| Abstract | The effect of liquidity on asset pricing has been a popular research topic for a long time. This study mathematically derives that the microstructure noise biases the OLS estimators of expected (il)liquidity factors in the cross-section asset pricing model. The amount of biases are affected by both true risk premiums and relationships between (il)liquidity factors and the noise. The prediction biases of (il)liquidity factors related to the noise are significant from zero. In contrast, the prediction biases of (il)liquidity factors are insignificant, which are unrelated to the noise. These theoretical findings are examined by empirical tests using the data of stocks listed in A-share main board market during the period of 1998—2011. Meanwhile, both our theoretical and empirical analyses demonstrate that the econometric method of WLS, using the last-term gross returns as weights, can correct the biases easily and efficiently. After the correction, expected (il)liquidity factors can predict stock returns very well. The result of this paper helps us understand the pricing ability of liquidity in our capital market. |
| 文章编号 | WP326 |
| 登载时间 | 2012-08-06 |
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