|
|
|
| The Puzzle of Low Price Premium Effect: Evidence from China |
| LUO Jinhui, XIANG Yuangao, JIN Sijing
|
| School of Management, Xiamen University |
|
|
|
|
Abstract In this paper, we focus on the low price premium effect and suggest nominal price illusion is one of the main causes from behavioral finance perspective. Using a dataset which contains 175,736 firm-month observations of Chinese A-share listed companies from 1999 to 2014, we document that there is indeed a superior performance attached to low price stocks, i.e., the low price premium effect. What’s more, the bigger the size of individual investors, the stronger the low price premium effect, which further supports our theoretical expectation. Meanwhile, we find evidence that institutional ownership, security analyst coverage, and short sales can all significantly alleviate the low price premium effect, thereby contributing to the rectification of mispricing and resource misallocation in capital markets. Furthermore, we find that for the sake of maximizing their firms’ market value, firm managers would take advantage of investors’ particularly individual investors’ nominal price illusion to carter those investors’ preference for relatively low price stocks through issuing stock dividends. Our findings would give helpful insights for market operations and policy making into revealing the puzzle of low price premium effect and improving pricing efficiency in China.
|
|
Received: 10 November 2015
Published: 18 January 2018
|
|
|
|
|
| [1] |
陈国进、张贻军和王景,2009,《再售期权、通胀幻觉与中国股市泡沫的影响因素分析》,《经济研究》第5期,第106~117页。
|
| [5] |
饶品贵、赵龙凯和岳衡,2008,《吉利数字与股票价格》,《管理世界》第11期,第44~49页。
|
| [6] |
俞红海、陆蓉和徐龙柄,2014,《投资者名义价格幻觉与管理者迎合——基于基金拆分现象的研究》,《经济研究》第4期,第133~146页。
|
| [7] |
岳衡和赵龙凯,2007,《股票价格中的数字与行为金融》,《金融研究》第5期,第98~107页。
|
| [2] |
李科、徐龙炳和朱伟骅,2014,《卖空限制与股票错误定价——融资融券制度的证据》,《经济研究》第10期,第165~178页。
|
| [3] |
李志生、陈晨和林秉旋,2015,《卖空机制提高了中国股票市场的定价效率吗？——基于自然实验的证据》,《经济研究》第4期,第165~177页。
|
| [8] |
张圣平、熊德华、张峥和刘力,2003,《现代经典金融学的困境与行为金融学的崛起》,《金融研究》第4期,第44~56页。
|
| [4] |
梁丽珍,2008,《中国股市“高价股溢价”现象的实证研究》,《中大管理研究》第3期,第136~151页。
|
| [9] |
赵静梅和吴风云,2009,《数字崇拜下的金融资产价格异象》,《经济研究》第6期,第129~141页。
|
| [5] |
饶品贵、赵龙凯和岳衡,2008,《吉利数字与股票价格》,《管理世界》第11期,第44~49页。
|
| [6] |
俞红海、陆蓉和徐龙柄,2014,《投资者名义价格幻觉与管理者迎合——基于基金拆分现象的研究》,《经济研究》第4期,第133~146页。
|
| [10] |
朱红军、何贤杰和陶林,2007,《中国的证券分析师能够提高资本市场的效率吗——基于股价同步性和股价信息含量的经验证据》,《金融研究》第2期,第111~121页。
|
| [7] |
岳衡和赵龙凯,2007,《股票价格中的数字与行为金融》,《金融研究》第5期,第98~107页。
|
| [8] |
张圣平、熊德华、张峥和刘力,2003,《现代经典金融学的困境与行为金融学的崛起》,《金融研究》第4期,第44~56页。
|
| [9] |
赵静梅和吴风云,2009,《数字崇拜下的金融资产价格异象》,《经济研究》第6期,第129~141页。
|
| [10] |
朱红军、何贤杰和陶林,2007,《中国的证券分析师能够提高资本市场的效率吗——基于股价同步性和股价信息含量的经验证据》,《金融研究》第2期,第111~121页。
|
| [11] |
Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-section and Time-series Effects”. Journal of Financial Markets, 5(1): 31~56.
|
|
Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-section and Time-series Effects”. Journal of Financial Markets, 5(1): 31~56.
|
| [12] |
Ang, A., R. Hodrick, Y. Xing, and X. Zhang. 2006. “The Cross-Section of Volatility and Expected Returns”, Journal of Finance, 61(1): 259~299.
|
|
Ang, A., R. Hodrick, Y. Xing, and X. Zhang. 2006. “The Cross-Section of Volatility and Expected Returns”, Journal of Finance, 61(1): 259~299.
|
| [13] |
Arya, A., and B. Mittendorf. 2007. “The Interaction Among Disclosure, Competition Between Firms, and Analyst Following”. Journal of Accounting and Economics, 43(2/3): 321~339.
|
|
Arya, A., and B. Mittendorf. 2007. “The Interaction Among Disclosure, Competition Between Firms, and Analyst Following”. Journal of Accounting and Economics, 43(2/3): 321~339.
|
| [14] |
Bachrach, B., and D. Galai. 1979. “The Risk-return Relationship and Stock Prices”. Journal of Financial and Quantitative Analysis, 14(2): 421~441.
|
|
Bachrach, B., and D. Galai. 1979. “The Risk-return Relationship and Stock Prices”. Journal of Financial and Quantitative Analysis, 14(2): 421~441.
|
| [15] |
Baker, M., and J. Wurgler. 2004. “Appearing and Disappearing Dividends: The Link to Catering Incentives”. Journal of Financial Economics, 73(2): 271~288.
|
|
Baker, M., and J. Wurgler. 2004. “Appearing and Disappearing Dividends: The Link to Catering Incentives”. Journal of Financial Economics, 73(2): 271~288.
|
| [16] |
Baker, M., R. Greenwood, and J. Wurgler. 2009. “Catering Through Nominal Share Prices”. Journal of Finance, 64(6): 2559~2590.
|
|
Baker, M., R. Greenwood, and J. Wurgler. 2009. “Catering Through Nominal Share Prices”. Journal of Finance, 64(6): 2559~2590.
|
| [17] |
Barberis, N., and R. Thaler. 2003. “A Survey of Behavior Finance”. Handbook of the Economic Finance, 1(B): 1053~1128.
|
|
Barberis, N., and R. Thaler. 2003. “A Survey of Behavior Finance”. Handbook of the Economic Finance, 1(B): 1053~1128.
|
| [18] |
Blume, M. E., and F. Husic. 1973. “Price, Beta and Exchange Listing”. Journal of Finance, 28(2): 283~299.
|
|
Blume, M. E., and F. Husic. 1973. “Price, Beta and Exchange Listing”. Journal of Finance, 28(2): 283~299.
|
| [19] |
Chen, C. R., P. P. Lung, and F. A. Wang. 2009. “Stock Market Mispricing: Money Illusion or Resale Option?” Journal of Financial and Quantitative Analysis, 44(5): 1125~1147.
|
|
Chen, C. R., P. P. Lung, and F. A. Wang. 2009. “Stock Market Mispricing: Money Illusion or Resale Option?” Journal of Financial and Quantitative Analysis, 44(5): 1125~1147.
|
| [20] |
Christie, A. A. 1982. “The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects”. Journal of Financial Economics, 10(4): 407~432.
|
|
Christie, A. A. 1982. “The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects”. Journal of Financial Economics, 10(4): 407~432.
|
| [21] |
Diamond, D. W., and R. E. Verrecchia. 1987. “Constraints on Short-selling and Asset Price Adjustments to Private Information”. Journal of Financial Economics, 18(2): 277~311.
|
|
Diamond, D. W., and R. E. Verrecchia. 1987. “Constraints on Short-selling and Asset Price Adjustments to Private Information”. Journal of Financial Economics, 18(2): 277~311.
|
| [22] |
Dubofsky, D. A., and D. W. French. 1988. “Share Price Level and Risk: Implications for Financial Management”. Managerial Finance, 14(1): 6~15.
|
|
Dubofsky, D. A., and D. W. French. 1988. “Share Price Level and Risk: Implications for Financial Management”. Managerial Finance, 14(1): 6~15.
|
| [23] |
Edmister, R. O., and J. B. Greene. 1980. “Performance of Super-low-price Stocks”. Journal of Portfolio Management, 7(1): 36~41.
|
|
Edmister, R. O., and J. B. Greene. 1980. “Performance of Super-low-price Stocks”. Journal of Portfolio Management, 7(1): 36~41.
|
| [24] |
Fritzemeier L. H. 1936. “Relative Price Fluctuations of Industrial Stocks in Different Price Groups”. The Journal of Business of the University of Chicago, 9(2): 133~154.
|
|
Fritzemeier L. H. 1936. “Relative Price Fluctuations of Industrial Stocks in Different Price Groups”. The Journal of Business of the University of Chicago, 9(2): 133~154.
|
| [25] |
Gilbertson, R. A. C., J. F. Affleck-Graves, and A. H. Money. 1982. “Trading in Low Priced Shares: An Empirical Investigation 1968-1979”. Investment Analysts Journal, 11(19): 21~29.
|
|
Gilbertson, R. A. C., J. F. Affleck-Graves, and A. H. Money. 1982. “Trading in Low Priced Shares: An Empirical Investigation 1968-1979”. Investment Analysts Journal, 11(19): 21~29.
|
| [26] |
Goodman, D. A., and J. W. Peavy. 1986. “The Low Price Effect: Relationship with Other Stock Market Anomalies”. Review of Business and Economics Research, 22(1): 18~37.
|
|
Goodman, D. A., and J. W. Peavy. 1986. “The Low Price Effect: Relationship with Other Stock Market Anomalies”. Review of Business and Economics Research, 22(1): 18~37.
|
| [27] |
Harvey, C., and A. Siddique. 2000. “Conditional Skewness in Assets Pricing Tests”. Journal of Finance, 55(3): 1263~1295.
|
|
Harvey, C., and A. Siddique. 2000. “Conditional Skewness in Assets Pricing Tests”. Journal of Finance, 55(3): 1263~1295.
|
| [28] |
Heins, A. J., and S. L. Allison. 1966. “Some Factors Affecting Stock Price Variability”. Journal of Business, 39(1): 19~23.
|
|
Heins, A. J., and S. L. Allison. 1966. “Some Factors Affecting Stock Price Variability”. Journal of Business, 39(1): 19~23.
|
| [29] |
Hong, H., J. Scheinkman, and W. Xiong. 2006. “Asset Float and Speculative Bubbles”. Journal of Finance, 61(3): 1073~1117.
|
|
Hong, H., J. Scheinkman, and W. Xiong. 2006. “Asset Float and Speculative Bubbles”. Journal of Finance, 61(3): 1073~1117.
|
| [30] |
Hwang, S., and C. Lu. 2008. “Is Share Price Relevant?”, Working Paper.
|
|
Hwang, S., and C. Lu. 2008. “Is Share Price Relevant?”, Working Paper.
|
| [31] |
Strong, R. A. 1983. “Do Share Price and Stock Splits Matter?” The Journal of Portfolio Management, 10(1): 58~64.
|
|
Strong, R. A. 1983. “Do Share Price and Stock Splits Matter?” The Journal of Portfolio Management, 10(1): 58~64.
|
| [32] |
Waelkens, K., and M. Ward. 1997. “The Low Price Effect on the Johannesburg Stock Exchange”. Investment Analyst Journal, 26(45): 35~48.
|
|
Waelkens, K., and M. Ward. 1997. “The Low Price Effect on the Johannesburg Stock Exchange”. Investment Analyst Journal, 26(45): 35~48.
|
| [33] |
Weld, W. C., R. Michaely, R. H. Thaler, and S. Benartzi. 2009. “The Nominal Share Price Puzzle”. Journal of Economic Perspective, 23(2): 121~142.
|
|
Weld, W. C., R. Michaely, R. H. Thaler, and S. Benartzi. 2009. “The Nominal Share Price Puzzle”. Journal of Economic Perspective, 23(2): 121~142.
|
|
|
|
