股票抛售风险对股票预期收益的影响研究——基于中国A股上市公司的实证
A Study on the Impact of Stock Sell-Off Risk on Expected Stock Returns—Empirical Evidence from China’s A-Share Listed Companies
DOI: 10.12677/fin.2025.154090, PDF,   
作者: 覃永增：广西大学中国–东盟经济学院，广西 南宁
关键词: 资产定价；主成分分析；抛售风险；预期收益；Asset Pricing； Principal Component Analysis； Sell-Off Risk； Expected Return
摘要: 股票市场的定价是金融市场中的重大问题，股票面临的风险是决定其价格的一个重大因素。因此，本文基于2004年4月1日至2023年12月31日的公募基金季度净流量数据，对其进行主成分分析，测算了市场风险因子，并结合股票所有权数据在季度层面上测算了股票的抛售风险敞口，研究分析了个股面临的该类风险对股票的未来收益的影响。研究发现：在中国A股市场中，股票面临的来自公募基金的抛售风险与股票的收益存在显著的正向关系。
Abstract: The pricing of the stock market is a critical issue in financial markets, and the risks faced by stocks are a major factor in determining their prices. This paper utilizes quarterly net flow data of public mutual funds from April 1, 2004, to December 31, 2023, and applies principal component analysis to extract market risk factors. Combining this with stock ownership data, the paper measures the sell-off risk exposure of individual stocks at the quarterly level and investigates how this type of risk impacts future stock returns. The study finds a significant positive relationship between sell-off risk from public mutual funds and stock returns in China’s A-share market.
文章引用：覃永增. 股票抛售风险对股票预期收益的影响研究——基于中国A股上市公司的实证[J]. 金融, 2025, 15(4): 846-858. https://doi.org/10.12677/fin.2025.154090

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