融资融券失衡与标的股票的定价误差-创业板.PDFVIP

微观结构 融资融券失衡与标的股票的定价误差 方立兵 刘海飞 (南京大学工程管理学院, 江苏 南京 210093) 摘要：本文在对我国两融失衡的原因进行梳理后，基于“均值—方差”、“均值—方差—偏度”和“均值—方差—偏 度—峰度”三种框架下的CAPM模型以及三因素模型，实证研究了融资融券失衡程度如何影响两融标的股票的定价误差。 为了降低两融失衡轻微股票的干扰，选取样本期内两融平均失衡程度较为严重的股票为样本，结果发现：(1)所有标的股 票均表现出显著为正的定价误差，且创业板股票的平均定价误差最大；(2)在四种定价模型中引入失衡指标后平均定价误 差得到显著缓解；(3)部分股票的定价误差在引入失衡指标的高阶矩定价模型下不再显著。上述结果表明两融失衡导致标 的股票产生显著为正的定价误差。风险定价因素中，除了常见的贝塔风险外，还包含显著的协偏度、协峰度等系统性高 阶矩风险。 关键词：融资融券；卖空；资产定价；高阶矩风险 Abstract: This paper theoretically analyses the underlying reasons of the imbalance of margin trading. Then , it empirically investigates the pricing error of the selected underlying stocks with margin trading based on four asset pricing models which are Mean-Variance, Mean-Variance-Skewness and Mean-Variance-Skewness-Kurtosis CAPM, and three-factor model. Employing the sample of the stocks with heavily imbalance of margin trading, the results show that: (1) all of the stocks show significant positive pricing error, and it is the worst for the board of GEM(growth enterprise market); (2) the pricing error is significantly mitigated after the variable of asymmetric margin trading is introduced into the four pricing models; (3) the pricing errors of some stocks are not significant based on the CAPM of higher order moments with the introduction of asymmetric margin trading. The results imply that the imbalance of margin trading makes significant pricing error. The priced risk factors include significant systematic higher order moment risk factors, such as coskewness and cokurtosis in addition to Beta. Key words: margin trading, short sale, asset pricing, higher order moment risk 作者简介：方立兵，南京大学工程管理学院讲师，研究方向：金融市场计量与金融工程。刘海飞，南京大学工程管理学院 副教授，研究方向：计算实验与金融工程。 中图分类号：F830 文献标识码：A