噪音交易是影响股票收益的重要风险因素,对于那些噪音交易活跃、套利成本较高的股票,噪音交易者需求变动对股票价格的影响更为显著。本文以我国个体投资者2006年-2011年的交易数据为样本,按照公司特征对样本股进行分组,发现个体投资者对小盘、低价、高账面市值比、高收益和高特质波动的股票具有更强的交易偏好,且对股票需求的变动存在显著的系统相关性,个体投资者需求变动对股票价格的影响程度与其交易偏好有关。本文的研究结论为个体投资者交易行为理论提供了有价值的实证支持。
Numerous studies support that noise trading is an important risk factor of assets pricing, especially the stock with higher arbitrage costs and greater trading preference of noise traders, because there are significant arbitrage restrictions in these stocks. Using the trading records of Chinese retail investors from 2006 to 2011 to study their trading behaviors, our findings show that individual investors have a strong preference of the extreme portfolios with small-size, low price, high BM, extreme return and high idiosyncratic volatility, and the changes in their net demand of stocks are systematic correlated. Consistent with the views of related studies, we find that the demand changes of retail investors have a significant impact on the return of portfolio which they prefer to trade. The empirical results support that retail investors' trading plays an important role in the formation of the cross-section of stock return.