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本文基于突显理论的资产定价模型，选取中国A股市场2007年至2021年的股票数据构建突显率指标并检验其对股票收益的预测能力。资产组合分析和Fama-MacBeth回归结果显示突显率在横截面上有显著的收益预测能力，与股票未来收益呈明显负相关，在控制了公司规模、账面市值比、市场风险等一系列因子后，该结果仍然显著。进一步分析发现我国A股主板市场存在显著的突显效应，而同期创业板市场的突显效应并不明显。这一差异主要源自投资者结构的不同。伴随着机构持股比例的上升及套利限制的缓解，突显效应的表现越来越不显著。本文的结论对丰富突显理论在中国资本市场的应用及引导广大投资者树立正确的投资理念具有重要意义。
Abstract：Based on the asset pricing model of the salience theory, this paper selects the stock data of China's A-share market from 2007 to 2021, uses the stock return to construct the salience theoretical indicator—ST, and tests whether the ST has the ability to predict stock returns in cross-section. The results of portfolio analysis and Fama-MacBeth regression analysis show that the ST has a significant ability to predict returns in cross-section, and the ST is significantly negatively correlated with the future earnings of stocks, this result remains significant after controlling for firm size, book-to-market ratio, market risk and a series of factors. From a further analysis, there is a significant salience effect in China's A-share main board market, while the salience effect in the GEM market during the same period is not significant. This difference is derived from diverse investor structure, and the salience effect is less significant along with the upward trend in the proportion of institutional owners and the alleviation of arbitrage restrictions. This study is of great significance in enriching the application of salience theory in the Chinese capital market and guiding investors to establish correct investment concepts.
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(1)限于篇幅,文章未在正文中汇报结果。
基本信息:
中图分类号:F832.51
引用信息:
[1]宋贺,张元庆,唐培渊.突显理论与股票收益[J].经济学报,2025,12(04):20-34.
基金信息:
国家自然科学基金青年项目“投资策略异质性视角下的风险投资与我国上市企业定向增发定价研究”(72202131)的资助