【作者】 殷静；

【导师】 欧阳红兵；

【作者基本信息】 华中科技大学 ， 金融学， 2010， 硕士

【摘要】 如今,精明理性的投资者们,开始越来越关注股票价格行为。大量的实证证明,股票的回报率并不是服从正态分布,不能满足有效市场假说(EMH)金融理论的假设条件,意味着存在正偏或负偏。本文以中国股票回报率偏度为研究对象,分析影响其的诸多因素。首先,在禁止卖空及投资者异质的前提条件下,以股票价格对消息的反应呈现出价格凸性为理论基础,观测价格反应与偏度的关系,以此展开对于盈余公告价格反应的实证检验。其次,基于价格反应与股票偏度的关系,提出以下几个预测:1、股票回报率偏度与当期回报呈正比、与滞后期回报呈反比;2、偏度与成交量呈正比、股票规模呈反比。实证研究分为三个部分:1、检验盈余公告后价格反应的不对称性;2、以满足两大前提假设的沪市股票偏度为研究对象,分析检验其的影响因素;3、讨论前提假设之一——卖空约束对于偏度的影响,检验是否限制卖空的股票比允许卖空的股票更显正偏,这部分以具有中国概念的h股作为研究对象,希望得到对目前我国融资融券的试点实施的建设性意见。实证结果显示,部分变量能显著解释偏度,但整体而言,回归的拟合度不高。原因可能有以下几点:1、选取的沪市与H股的样本数量太少,个别值对总体影响大;2、2008年金融危机导致的市场经济因素对偏度的影响很大;3、可能需要寻找其他更好的变量来解释偏度,如机构持有者比例等。更多还原

【Abstract】 With the concept of " more rational the investment, much smarter the investor ", financial investors has become increasingly concerned about the real value of stock returns. A lot of evidence shows that stock returns are not perfectly normally distributed, can not meet the efficient market hypothesis (EMH) assumptions of financial theory, which means that there skewness is positive or negative, not equal to zero. In this paper, to study the stock return skewness in China, we try to analyze which factors will affect. Under the precondition of the short-sale constraints and heterogeneous investors, price convexity appears in the stock price reaction to the news. we use price reaction to earnings announcement to test the relationship between skewness and the price reaction. Furthermore, we post the following forecasts: 1. the skewness of stock return has a positive correlation with the current return, and has a negative correlation to lagged return. 2. skewness is directly proportional to volume, and is inversely proportional to the stock scale. Empirical part is composed of three parts: first, the price reaction to earnings announcement; second , the empirical evidence is to study the skewness in Shanghai Stock; Finally, we pay attention to one assumption--short-sale constraints, to test whether it may make the skewness more positive. We are interested in the constructive results for the current pilot implementation of margin trading in China.We find some factors appear significant effect, but the adj-R2 of the regression is too low. Reasons may include the following: 1.the sample selected in H shares and Shanghai Stock Market is too small; 2. economic factors caused by the financial crisis in 2008 has a great impact on the skewness; 3 .there may be a better variable to explain skewness, such as the institutional ownership.更多还原