换手率:流动性还是不确定性

Turnover: Liquidity or Uncertainty

邢红卫,刘维奇

2018 第 20 卷 第 05 期 页码 58-71

DOI: 10.16538/j.cnki.jsufe.2018.05.005

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摘要

换手率可以作为股票流动性的代理指标,与股票预期收益之间的负向关系被认为是流动性溢价存在的证据。换手率也可以用来衡量股票的不确定性,与股票预期收益之间的正向关系被认为是对不确定性风险的补偿。显然,这两种对换手率风险信息的解读不尽相同。文章以2000年1月至2015年6月的深沪A股为对象,发现整体而言换手率低的股票比换手率高的股票有更高的风险溢价。然而,在换手率较低的股票中换手率可以正向预测收益,在换手率较高的股票中换手率却可以负向预测收益,即股票横截面预期收益是换手率的先增后降函数。在此基础上,文章以换手率对收益的预测方向发生转变作为换手率水平的分界点,发现不确定性能够显著解释低水平换手率与预期收益的正向关系,而流动性能够显著解释高水平换手率与预期收益的负向关系,表明低水平换手率更多包含股票的不确定性信息,而高水平换手率则更多包含股票的流动性信息。文章通过分析换手率的风险溢价,明确了换手率的风险信息,为风险识别和市场监管提供理论指导。

Turnover is usually used as a proxy for stock liquidity. The negative relation between turnover and expected stock returns is regarded as evidence of the existence of liquidity premium. Turnover is also often used to measure the firm-specific uncertainty. The positive relation between turnover and expected stock returns is considered as the compensation for uncertain risks. Obviously, there is a conflict in the interpretation of the turnover risk information. Taking A shares in the Chinese stock market as the research object, we find that stocks with low turnover generally have higher risk premium than those with high turnover through portfolio analyses and cross-sectional regression analyses. Moreover, after controlling variables such as size, trading volume, beta, liquidity and uncertainty, the result is still robust. However, after building more subdivided portfolios according to turnover, we find that turnover can positively predict stock returns for stocks with low turnover, but it can negatively predict stock returns for stocks with high turnover. That is, the cross-sectional expected return is the first increasing and next descending function of turnover. We take the directional reversal point of the return forecast ability as the dividing point of the turnover level, and find that the uncertainty proxied by the total volatility and the idiosyncratic volatility can significantly explain the positive relationship between turnover and expected returns for stocks with turnover below the cross-sectional dividing point, but the liquidity can significantly explain the negative relationship between turnover and expected returns for stocks with turnover above the cross-sectional dividing point. Thus, the lower degree of turnover contains more firm-specific uncertainty information, and the higher degree of turnover reflects more stock liquidity information. During our sample period, the trading mechanism in the Chinese stock market has undergone major changes. After the sample period is divided into four stages according to several major trading mechanism reforms in the Chinese stock market, the empirical results are still significant and therefore the reforms of the transaction mechanism have not fundamentally changed the turnover risk information. By defining the turnover risk information, this paper not only provides theoretical support for other related research by dint of turnover, but also has direct guiding significance for investment practice according to turnover.

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