| 中国市场微观结构噪音特征及其定价能力研究 |
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| 引用本文： | 王春峰,张颖洁,房振明,梁崴. 中国市场微观结构噪音特征及其定价能力研究[J]. 北京理工大学学报(社会科学版), 2009, 11(6): 48-52 |
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| 作者姓名： | 王春峰 张颖洁 房振明 梁崴 |
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| 作者单位： | 1.天津大学管理学院, 天津 300072 |
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| 基金项目： | 国家自然科学基金，国家杰出青年基金 |
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| 摘 要： | 利用上海市场的分笔交易数据考察中国市场上微观结构噪音的特征。结果发现，个股噪音的数量级为10-6，噪音大小与市场走势基本相反，且公司规模越小，噪音水平越高。进一步对噪音的定价能力进行研究，发现噪音对股票收益有很强的解释能力，噪音越大，收益对噪音的风险补偿越多，按照噪音大小构建资产组合可以获得超额收益。
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| 关 键 词： | 微观结构噪音 摩擦 定价 风险补偿 |
| 收稿时间： | 2009-05-22 |
On the Characteristics of Microstructure Noise in Chinese Stock Market and its Pricing Ability |
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| WANG Chun-feng,ZHANG Ying-jie,FANG Zhen-ming and LIANG Wei. On the Characteristics of Microstructure Noise in Chinese Stock Market and its Pricing Ability[J]. Journal of Beijing Institute of Technology(Social Sciences Edition), 2009, 11(6): 48-52 |
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| Authors: | WANG Chun-feng ZHANG Ying-jie FANG Zhen-ming LIANG Wei |
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| Affiliation: | 1.School of Management, Tianjin University, Tianjin 300072 |
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| Abstract: | The characteristics of microstructure noise in Chinese stock market are investigated by using tick-by-tick data of Shanghai stock market. It is found that noise of stocks, with the magnitude 10-6, is basically opposite to the market trend and the smaller the company is, the higher the noise is. The study on pricing ability of noise indicates that noise has significant explanatory power for stockreturns and the stocks with big noise get higher risk premium. Hence, excess returns can be obtained by constructing portfolio based on the size of noise. |
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| Keywords: | microstructure noise friction pricing risk premium |
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