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我国B股折价问题作为证券市场分割的异例,受到国内外众多学者的关注。注意到投资者情绪和股票流动性在股价上涨和下跌两个方向的不同作用,本文分别对A股和B股建立了价格不完全揭示信息的理性预期均衡资产定价模型,来研究投资者情绪和噪音交易者行为对B股折价的影响,并通过实证研究对模型结论进行了验证。本文的研究结果表明,A股不知情者的情绪与B股折价正相关,A股噪音交易者行为与B股折价负相关,B股噪音交易者行为与B股折价正相关,同时,由于制度原因造成的系统性差异也是B股折价的一个重要原因。
As an exception to the securities market segmentation, the issue of B-share discount in China has attracted the attention of many scholars at home and abroad. Noting the different roles of investor sentiment and stock liquidity in the two directions of stock price rising and falling, this paper establishes a rational expected equilibrium asset pricing model for A shares and B shares, respectively, to reveal the price information incompletely, to study the relationship between investor sentiment and The impact of noise traders’ behavior on the discount of B shares, and verifies the model conclusion through empirical research. The result of this paper shows that the emotion of A-sharers is positively related to the B-share discount, the A-share noise traders ’behavior is negatively correlated with the B-share discount, and the B-share noise traders’ behavior is positively correlated with the B-share discount. At the same time, Systematic differences caused by the reasons for the B shares is an important reason for the discount.