Miller的股价高估假说在中国成立吗？.pdfVIP

Miller 的股价高估假说在中国成立吗？# 郁晨，张延宇，徐强** （南京航空航天大学经济与管理学院，江苏南京 210016 ） 5 摘要：采用事件研究法检验卖空约束规定的解除对标的股票定价效率的影响，发现卖空交易 刚引入不久，仅仅是卖空制度限制的解除而非实际卖空交易水平的增加，试点初期的卖空 交易对标的股票的定价效率影响甚微，但随着卖空约束地不断减轻，标的股票定价效率不 断提高；采用固定效应回归模型进一步研究卖空约束、异质信念以及二者的共同项与个股 10 累积收益率的内在关系，结果显示只有异质信念和卖空约束二者的交互项与个股累积收益 率负相关，这也进一步证实了Miller 的股价高估假说在中国市场成立。 关键词：金融学；卖空约束；定价效率；股价高估假说；固定效应回归 中图分类号：F830.91 15 Does Millers Overvaluation Hypothesis Exist in Chinese Stock Market? YU Chen, ZHANG Yanyu, XU Qiang (School of Economics and Management, Nanjing University of Aeronautics and Astronautics, Jiangsu Nanjing 210016) 20 Abstract : We use the event method to study the influence of short selling constraints lifted on the pricing efficiency of underlying stock, find that only little effect on the pricing efficiency of underlying stock when short selling system were introduced early, because the short selling system is just introduced on the surface instead of increasing the actual selling level. Using the fixed effects regression model to further study of inter-relationship between short-sale constraints, 25 heterogeneous expectations and both of them with the cumulative yield of underlying stock, we find that only both of them has a negative correlation with the cumulative yield, the short-sale constraints or heterogeneous expectations is positive correlation with the cumulative yield and it is contrary to the original hypothesis, so the result further confirmed Miller’s overvaluation hypothesis is established in Chinese stock market. 30 Key words: Finance; short-sale constraints; pricing efficiency; overvaluation