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股价特有风险与信息效率
Idiosyncratic Risk and Price Efficiency
摘要点击 3661  全文点击 171  投稿时间:2012-03-06  修订日期:2012-08-27
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中文关键词  特有风险;同步性;信息交易;信息效率
英文关键词  idiosyncratic risk; synchronicity; informed trading; price efficiency
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作者单位E-mail
聂晓军 中国人民大学商学院 nxj.star@163.com 
中文摘要
      针对股价特有风险是否代表高的信息效率的争论,本文先将CAPM模型的残差分离出私有信息融入导致的波动,发现其对特有风险有很强的解释力,并证明个体风险大的企业通过私有信息交易融入股价导致其股价特有风险更高。其后本文对信息交易概率PIN各成分进行分析,指出现有研究存在两种相反证据是由于信息融入与噪声交易都导致了低R2。最后本文从信息效率的本质含义入手对股价特有风险进行了评价,说明R2与信息效率不存在直接的对应关系。
英文摘要
      For the issue that whether high idiosyncratic risk indicates high price efficiency, this paper firstly extracts the volatility caused by information infusion from the residual variance of CAPM model, and finds it with great explanatory power to idiosyncratic risk. Meanwhile, the intrinsic risk of the firms is incorporated into the price by informed trading. Secondly, I analyzed the elements of PIN and point out that the combined effect of informed trading and noise trading leads to contrary empirical evidences in current research. In the end the paper discusses the idiosyncratic risk based on the definition of information efficiency and shows there are no direct relation between R2 and price efficiency.
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