【market liquidity as a sentimental indicator】
【作为情绪指标的市场流动性】

Abstract

We build a model that helps to explain why increases in liquidity—such as lower bid–ask spreads, a lower price impact of trade, or higher turnover—predict lower subsequent returns in both firm-level and aggregate data. The model features a class of irrational investors, who underreact to the information contained in order flow, thereby boosting liquidity. In the presence of short-sales constraints, high liquidity is a symptom of the fact that the market is dominated by these irrational investors, and hence is overvalued. This theory can also explain how managers might successfully time the market for seasoned equity offerings, by simply following a rule of thumb that involves issuing when the SEO market is particularly liquid. Empirically, we find that: (i) aggregate measures of equity issuance and share turnover are highly correlated; yet (ii) in a multiple regression, both have incremental predictive power for future equal-weighted market returns.

摘要

本文构建了一个模型，用以解释流动性提升（例如买卖价差收窄、交易带来的价格冲击减弱、换手率走高）为何在个股层面与市场整体层面的数据中，都预示着后续收益率走低。本模型设定了一类非理性投资者：他们未能充分消化订单流中蕴含的信息，这一行为推高了市场流动性。在存在卖空约束的前提下，高流动性代表市场由这部分非理性投资者主导，因此市场整体处于估值偏高的状态。借助该理论，也能够解释企业管理层为何可以顺利把握增发择时：管理层只需采用简便的经验策略，在增发市场流动性充裕的时候开展股权增发即可。实证层面本文得到两项结论：（1）股权发行的整体指标和股票换手率之间存在强相关性；（2）但进行多元回归分析后可以发现，两项指标均能够额外对未来等权重市场收益率做出预测。