本文主要研究低价股的溢价异象,并从行为金融学视角分析指出股票的名义价格幻觉是造成低价股溢价效应的重要原因。基于1999-2014年中国A股上市公司175,736个月度样本数据的实证分析表明,中国资本市场存在显著持续的低价股溢价现象,而且上市公司的散户规模越大,低价股的溢价效应越强,证实了本文的理论观点和预期。与此同时,我们发现机构投资者持股、证券分析师关注、卖空机制等都有利于降低低价股的溢价程度,从而帮助资本市场矫正误定价和资源错配问题。进一步,我们还发现上市公司的管理者还会通过发放股票股利以利用投资者的名义价格幻觉和迎合投资者对低价股的偏好,从而实现市值管理的目的。本文的研究结论对于揭开中国资本市场低价股的溢价之谜和提高资本市场的定价效率都具有重要的实践启示和政策参考。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.国家自然科学基金项目(71202061和71572160)；福建省高等学校新世纪优秀人才支持计划(2015年)；福建省高校杰出青年科研人才培育计划(2015年)的资助
