东北大学学报（自然科学版）

东北大学学报(自然科学版) ›› 2013, Vol. 34 ›› Issue (5): 748-752.DOI: -

• 管理科学 • 上一篇    下一篇

行业和地区视角下高交易量回报溢酬的影响因素

金秀，杨欣   

  1. (东北大学工商管理学院，辽宁沈阳110819)
  • 收稿日期:2012-09-13 修回日期:2012-09-13 出版日期:2013-05-15 发布日期:2013-07-09
  • 通讯作者: 金秀
  • 作者简介:金秀((1963-)，女，辽宁辽阳人，东北大学教授，博士生导师.
  • 基金资助:
    国家自然科学基金资助项目(70901017).

Impact Factors of the High Volume Return Premium in Industry and District Aspect

JIN Xiu， YANG Xin   

  1. School of Business Administration， Northeastern University， Shenyang 110819， China.
  • Received:2012-09-13 Revised:2012-09-13 Online:2013-05-15 Published:2013-07-09
  • Contact: YANG Xin
  • About author:-
  • Supported by:
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摘要： 以我国A股上市公司为研究对象，考察行业和地区因素对高交易量回报溢酬的影响.分别使用去掉行业、地区因素影响前后的股票收益率，计算在各地区、行业中形成的零成本投资组合的平均净收益，检验高交易量回报溢酬存在范围的变化.结果表明:在我国A股市场的大多数行业或地区中，高交易量回报溢酬现象普遍存在.分别去掉行业、地区因素影响后，溢酬的存在范围发生变化，行业因素的影响大于地区因素，投资者对行业中异常高交易量股票的关注大于对地区中异常高交易量股票的关注.

关键词: 高交易量回报溢酬, 行业因素, 地区因素, 零成本投资组合, 股票可视性

Abstract: Taking Chinese Ashare listed companies as the research object， the impact of industrial and regional factors on high volume return premium were discussed. The average net returns of zero cost investment portfolios in each region and industry were calculated by using the stock returns before and after eliminating the industrial and regional effect respectively so as to examine the variation range of high volume return premium. The empirical results showed that the high volume return premium is ubiquitous in most of the industries and regions of the Chinese stock market. After eliminating the industrial and regional effect respectively， the high volume return premium is affected by both industrial and regional factors， and the industrial effect is more significant than the regional effect， which indicates that investors pay more attention to the abnormal industrial high volumes than the regional ones.

Key words: high volume return premium, industry factor, district factor, zero cost portfolio, stock visibilty

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