摘要
本文通过构建基于存货效应的模型,以解释订单不平衡与股票收益、以及收益反转效应间的相互关系。通过对A股市场月度数据的实证,我们发现虽然滞后的订单不平衡与滞后的股票收益都能够负向的预测未来的个股收益,但股票收益的反转效应在这两种负向关系中占主导地位,在控制了历史收益率对未来收益的影响后,订单不平衡与未来股票收益间的关系基本消失。
In this paper, we develop a model of inventory effects to explain the relation among order imbalance, returns of individual stocks and the reversal effect. Using the order imbalance data of the A-share stocks, our empirical result indicate that the stock returns are negatively related to the lagged returns and order imbalance. We also find that the lagged returns dominate lagged imbalance in explaining current returns.
出处
《投资研究》
2016年第7期109-120,共12页
Review of Investment Studies
关键词
订单不平衡
收益反转
交易行为
Order imbalance
Return reversal
Trading activity
