交易量集中度與對資產定價的意涵

Abstract

本論文對美國股票市場交易量的橫斷面分布與其對資產定價的影響進行實證研究。本文發現美國股票市場交易量的橫斷面分布具有高度集中的特性並且此集中度有增加的趨勢。交易量最大的前20%個股創造了超過整個股票市場80%的交易量「所謂的80/20法則」。而且，這個交易量最大的前20%個股所佔整體市場交易量的比例在1963年到2010年間呈現上升趨勢。本文進一步發現交易量集中度的演變，本質上和股票市值集中度的演變有高度正相關；同時，交易量集中度也和股票市場的報酬率、週轉率和流動性呈現負相關，和系統性風險與個股特有風險呈現正相關。控制了這些市場變數後，本文進一步發現機構投資人的持股動向(需求面)與融資/交易成本(供給面)可以顯著解釋本文所發現的交易量集中度的演變。最後，本文提出實證證據顯示，交易量集中度可以反映投資人的流動性偏好，因而對資產定價產生系統性的影響。

This paper empirically studies the evolution of cross-sectional distribution of trading volume in U.S. stock market and its implication for asset pricing. We document high and increasing concentration of trading volume in the cross-sectional stocks over the period from 1963 to 2010. The top 20% actively-traded stocks supply more than 80% of aggregate trading volume (“80-20 rule”) and the percentage they account for shows significant uptrend. The evolution of trading volume concentration is inherently associated with (but has magnified) the similar evolution in market capitalization concentration. Additionally, we find that trading volume concentration is negatively associated with market return, market turnover and market liquidity and is positively associated with systematic risk and idiosyncratic risk in return. After controlling for these general market dynamics, we find that trading volume concentration is significantly explained both by institutional ownership (demand-side force) and by funding/trading cost (supply-side force) over the sample period. We also show that trading volume concentration captures investors’ time-varying liquidity preference and thus has systematic effects on asset pricing.