股价同步性与市场配置效率：微观公司特性和宏观市场环境因素的视角

Morck, Yeung, and Yu (2000) find that there are wide cross-country differences in within-country stock price synchronicity. There is a debate in the previous literature on underlying reasons for and the meanings of the differences in stock price synchronicity. This project will examine these differences and the relation between stock price synchronicity and efficiency of capital allocation. Specifically, we will address the following research questions. (1) Do cash flows or discount rates drive the differences in stock price synchronicity between different areas in China and between different countries in the world? We will identify the stock price synchronicity that can be attributed to synchronicity of cash-flow news and synchronicity of discount-rate news, and then examine the cross-sectional relative explanatory power of synchronicity based on cash flows and synchronicity based on discount rates for stock price synchronicity. The results can help differentiate the existing theories of stock price synchronicity. (2) Does synchronicity based on cash flows or synchronicity based on discount rates drive the relation between stock price synchronicity and the efficiency of capital allocation? This project will examine the cross-sectional explanatory power of synchronicity based on cash flows and synchronicity based on discount rates for the efficiency of capital allocation. The results can shed light on the underlying reasons of the relation between stock price synchronicity and the efficiency of capital allocation. (3) How do firm characteristics, industry characteristics, and country characteristics explain synchronicity based on cash flows and synchronicity based on discount rates? This project will gather a number of characteristics variables at firm, industry, and country levels and examine the relation between these variables and synchronicity based on cash flows and synchronicity based on discount rates. The results will show how the economic mechanism underlying each characteristics variable affects stock price synchronicity. This project will analyze price synchronicity within China's stock market, compare the differences in within-country stock price synchronicity between different countries, and study the stock price synchronicity between countries. The results of the project will help deepen our understanding of the underlying reasons for stock price synchronicity and the relation between stock price synchronicity and the efficiency of capital allocation.

目前的文献对股价同步性在不同公司、区域、国家之间的差异的成因有争论,而且目前的文献对股价同步性与股票市场的资本配置效率之间的关系也缺乏深入理解。本项目针对现有文献的不足，从微观公司特性和宏观市场环境的视角，研究股价同步性的决定因素，及其与股票市场资本效率的关系。本项目通过把股票价格变动分解成现金流冲击和贴现率冲击的方法来研究基于现金流的同步性和基于贴现率的同步性对股价同步性的解释能力，并考察这两种同步性与股票市场资本配置效率的关系；通过将基于现金流的同步性和基于贴现率的同步性与一系列的微观公司特性和宏观市场环境变量联系起来，本项目分析这些因素通过现金流还是通过贴现率影响股价同步性；通过考察我国国内股价同步性、世界各个国家国内股价同步性和世界各个国家之间股价同步性，本项目研究不同层面上股价同步性与市场配置效率的关系。

本项目研究内容是实证资产定价的若干问题。第一个项目考察互联网金融市场中男性投资者的过度自信。以往的文献多分析股票市场中的性别效应，但由于股票交易的复杂性，研究结论易受风险偏好、信息不对称、预算约束等假说的挑战。我们利用P2P线上交易数据，可以降低这些干扰因素的影响。在“人人贷”投资者中，男性换手率比女性高167个基点，年化收益率低24个基点。这些区别在高收益率、低换手率的子样本中更为显著。进一步研究发现，这些性别差异的主要原因是男性过度交易从而付出更多的交易费用。当不考虑交易成本时，男女投资者的收益率没有显著差别。第二个项目关注P2P市场上的投资者估计信用风险的能力和投资者性别的关系。我们发现女性投资者所投资的P2P产品比男性投资者所投资的产品在未来有更高的违约率。这个性别差异在控制了投资者的年龄、收入、教育水平后仍然显著。在对金融知识要求更高的行业中，这个性别差异更小。第三个项目研究美国公司债市场中价格与债券回报波动率之间的关系。我们发现债券回报波动率与债券信用利差有正的相关性。债券回报波动率即反映了信用风险又反映了流动性风险。债券回报波动率在控制了一系列信用风险和流动性风险指标之后仍然存在。我们发现债券回报波动率的增加能够预测未来信用评级下降。