基于价格跳跃的农业股信息风险研究

农业上市公司在引导我国农村产业升级等方面起着重要作用,因此,研究农业类股票的信息风险特征对提升农业上市公司的资本运营能力有着非常重要的现实意义。用知情交易概率非参数估计模型对该类股票的信息风险特征进行描述,结果发现:在我国证券市场上,信息风险作为定价因子有解释力,但其产生的是负效应,特别是农业类股票。这不符合信息不对称要求风险补偿的传统理论,其原因在于我国证券市场的交易行为具有高投机性。

Information Risk of Agricultural Class Stocks Based on Jumps of Assets Price

Based on the dynamic price behaviors of agricultural class stocks,the paper depicts the characteristics of information risk of agricultural class stocks with the Non-parametric Estimated model from the perspective of the probability of information trading(PIN),and discusses whether the information risk is the pricing factor.The results show that the information risk has explanatory power as a pricing factor in China Stock Market,though it produces negative effects,especially obvious for agricultural class stocks.This is not consistent with theoretic analysis about the risk compensation for information asymmetry,and the basic reasons lie in high speculation in stock exchanges and no compensation for information risk.