摘要
本文以面板数据检验了散户交易者在盈余公告期间的微结构交易行为,发现散户交易行为具有投机交易、注意力集中等偏离基本面的交易特征。最后,本文构造包含散户交易因子的超额收益4因子模型,发现流通市值较小的公司股票超额收益受到散户交易显著影响,从而为"散户交易引发估值忧虑"的观点提供了经验数据的支持。
This paper uses panel data to verify the microstructure trading behavior of small traders and find that there are speculative motives, attention-grabbing and herding behavior. Eventually, the author constructs a four-factor model to estimate the stock excess return, which provides an empirical evidence to support the viewpoint about the stock price deviating from fundamental value.
出处
《金融研究》
CSSCI
北大核心
2009年第2期133-148,共16页
Journal of Financial Research
关键词
盈余信息
散户
交易特征
价值发现
市场微结构
earning disclosure
small traders
trading behavior
value discovery
market microstructure
