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基于2001年至2009年A股市场的数据,本文检验了Peress(2010)提出的产品市场势力降低股票市场异质信念水平的推断,并分析了Miller(1977)提出的影响股票市场异质信念的因素。我们发现产品市场势力不仅不能降低反而可能会提高股票市场异质信念的水平。在将异质信念分解为异质先验导致的异质信念,渐进信息流动、有限注意导致的异质信念后,这种提高主要表现在对后者的提高上。该结果意味着产品市场势力可能因为提高了异质信念水平而促进了股票市场的交易,从而为交易异象的解释提供了新的思路。此外,实证结果显示上市公司的业务集中度、机构持股可以降低异质信念水平,而上市公司的已上市时间、市场中股票数量对于异质信念的影响与已有的理论分析并不完全一致。
Based on the data of A-share market from 2001 to 2009, this paper examines the deduction of Pehind (2010)’s hypothesis that product market forces reduce the level of heterogeneity in the stock market and analyzes Miller (1977)’s influence on the heterogeneity of stock market factor. We find that the market power of products not only can not be reduced but may raise the level of heterogeneous beliefs in the stock market. After the disaggregation of heterogeneous beliefs into heterogeneous beliefs caused by heterogeneous a priori leads to a gradual flow of information and to the heterogeneous beliefs caused by limited attention, this improvement is mainly manifested in the improvement of the latter. The result implies that the product market power may promote the stock market transactions by raising the level of heterogeneous beliefs, thus providing a new idea for the explanation of transactional visions. In addition, the empirical results show that the concentration of listed companies, institutional ownership can reduce the level of heterogeneous beliefs, and listed companies on the market time, the number of shares in the market for heterogeneous beliefs and the impact of the existing theoretical analysis is not exactly the same .