换手率承载了何种市场信息？——基于有限套利视角的分析

换手率作为股票市场信息传递的重要媒介之一,对股票交易活跃程度的衡量发挥着重要作用。研究表明,换手率可以取得显著的负向溢价。然而,换手率究竟承载了何种市场信息,即换手率负向溢价的本质,现有文献并未达成共识。本文从有限套利的视角出发,构建独特的综合套利限制指数,并采用投资组合分析以及Fama-Macbeth回归等方法,详细对比了当前两大主流假说——“流动性溢价”的风险补偿假说及“投资者异质信念”的错误定价假说对换手率溢价的解释能力。研究发现,换手率的负向溢价在套利限制程度高的股票中表现的更加显著和持久。由此说明,换手率负向溢价作为一种市场无效现象,其本质更倾向于由投资者异质信念所引致的错误定价。最后,本文利用融资融券制度的推出作为一个独特的“外生政策冲击”,采用DID方法增加了上述结论的可信性。

What Kind of Market Information Does the Turnover Carry? ——Analysis Based on Limits of Arbitrage

As one of the most important media of information transmission in stock market, turnover plays an important role in measuring the degree of stock trading activity. However, the existing literature has not yet reached a consensus on what market information is carried by turnover, that is, what is the essence of the negative premium of turnover. From the perspective of limits of arbitrage, this paper constructs a unique comprehensive index of arbitrage restriction, and uses portfolio analysis and Fama-Macbeth regression to compare the explanatory power of two mainstream hypotheses—the risk compensation hypothesis and the mispricing hypothesis for the anomaly of turnover. We find that the negative premium of turnover is more pronounced and sustained in stocks with higher limits of arbitrage, which indicates the negative premium of turnover may come from the mispricing caused by investors' heterogeneous beliefs. Besides, we adopt the introduction of margin trading system as a unique “exogenous policy shock”, using the DID method to increase the credibility of the above conclusion.