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Fama(1991)认为资产的个体风险可以被投资组合分散,与超额收益无关;Merton(1987)认为不完全信息市场中,认知风险是超额收益率的主要来源。本文构造我国股票市场的认知风险指标,采用横截面和面板数据分析方法,结果都发现认知风险对股票未来收益具有显著的正影响,认知风险每增加1%,股票预期收益增加0.04%,证实了Merton的推断。本文还发现,经Carhart四因子模型风险调整后,最高、最低认知风险的股票组合每年超额收益差异超过20%,且这种溢价现象长期存在,股权分置改革后更加明显。进一步的研究表明,认知风险定价因子在我国股市中具有定价功能。
Fama (1991) argues that the individual risk of an asset can be diversified into a portfolio with no relation to excess return; Merton (1987) argues that cognitive risk is the main source of excess return in an incomplete information market. This paper constructs the cognitive risk index of the stock market in our country and adopts the cross-section and panel data analysis methods. The results show that the cognitive risk has a significant positive impact on the future earnings of the stock. For each additional 1% of the cognitive risk, the expected return of the stock increases 0.04% , Confirms Merton’s inference. The paper also finds that after the risk adjustment of Carhart four-factor model, the annual excess returns difference of the stocks with the highest and the lowest cognitive risk exceeds 20%, and the phenomenon of such premiums persists for a long time, especially after the split share structure reform. Further research shows that the cognitive risk pricing factor has the pricing function in the stock market of our country.