摘要
现有金融学理论通常认为股指期货的定价偏差反映了投资者情绪,然而这无法解释我国中证500指数期货的长期贴水现象。本文认为该现象源于股票卖空限制下投资者使用的“市场中性”策略,故贴水反映了不同投资者对股票指数成分股超额收益的分歧。本文使用横截面因子刻画成分股超额收益,通过理论模型与实证检验证明了上述观点。
In the existing literatures,researchers often relate the pricing bias of stock index future to investor sentiment.However,the sentiment related theory cannot explain the long-existing backwardation phenomenon of CSI 500 index futures in China.We argue that this phenomenon is driven by"market-neutral"investors under short-sale constraint.Therefore,the pricing bias reflect the disagreement of heterogeneous investors on constituent stock returns.This is supported by our theoretical model and empirical results,with a simplification that the constituent stock returns are driven by some cross-sectional factors.
作者
陈蓉
刘非亚
郑振龙
CHEN Rong;LIU Feiya;ZHENG Zhenlong(Xiamen University)
出处
《经济学（季刊）》
CSSCI
北大核心
2024年第5期1622-1639,共18页
China Economic Quarterly
基金
国家自然科学基金(72071168,72371210)的资助。
关键词
股指期货定价偏差
投资者情绪
卖空限制
pricing bias of stock index future
investor sentiment
short-sale constraint
