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本文将样本股票按市值和基于EKOP模型估算的PIN值分成15组,然后在各个规模组构建“做多低PIN值组合+做空高PIN值组合”的方式构建零投资组合,再将其代入Fama-French三因素模型。结果发现,不同规模组的零投资组合基本都能获得显著的正向超额收益,说明非对称信息风险能在传统三因素外对资产价格产生额外的影响。
In this paper, the sample stock is divided into 15 groups according to the market value and the PIN value estimated based on the EKOP model, and then a zero-investment portfolio is constructed by constructing “combination of low-value PIN combination + low-value PIN combination” in each size group, Substitute Fama-French three-factor model. The results show that the zero portfolio of different size groups can obtain significant positive excess returns, indicating that asymmetric information risk can have an additional impact on asset prices beyond the traditional three factors.